Narrow search
Showing 1 - 10 of 704
Cover Image
Chinese monetary policy and the dollar peg
Reade, J. James; Volz, Ulrich - 2010
This paper investigates to what extent Chinese monetary policy is constrained by the dollar peg. To this end, we use a cointegration framework to examine whether Chinese interest rates are driven by the Fed's policy. In a second step, we estimate a monetary model for China, in which we include...
Persistent link: https://www.econbiz.de/10008796581
Cover Image
Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...
Persistent link: https://www.econbiz.de/10011663407
Cover Image
Carry funding and safe haven currencies : a threshold regression approach
Hossfeld, Oliver; MacDonald, Ronald - 2014
the estimation results, two currencies, the Swiss franc and (to a lesser extent) the US dollar qualify as safe haven … currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … analysis of bilateral euro-based exchange rates, given the euro’s prominent role during the euro area sovereign debt crisis. …
Persistent link: https://www.econbiz.de/10010433356
Cover Image
Climate policy induced investments in developing countries : the implications of investment risks
Böhringer, Christoph - 2002
Persistent link: https://www.econbiz.de/10013428546
Cover Image
A distribution-free test for outliers
Candelon, Bertrand; Metiu, Norbert - 2013
Determining whether a data set contains one or more outliers is a challenge commonly faced in applied statistics. This paper introduces a distribution-free test for multiple outliers in data drawn from an unknown data generating process. Besides, a sequential algorithm is proposed in order to...
Persistent link: https://www.econbiz.de/10009695964
Cover Image
Testing means-tested aid
Murphy, Richard; Wyness, Gill - 2015
Persistent link: https://www.econbiz.de/10011410606
Cover Image
How far can we forecast? : statistical tests of the predictive content
Breitung, Jörg; Knüppel, Malte - 2018
Forecasts are useless whenever the forecast error variance fails to be smaller than the unconditional variance of the target variable. This paper develops tests for the null hypothesis that forecasts become uninformative beyond some limiting forecast horizon h. Following Diebold and Mariano (DM,...
Persistent link: https://www.econbiz.de/10011826055
Cover Image
Testing missing at random using instrumental variables
Breunig, Christoph - 2017
This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure based on integrated squared distance is proposed. The statistic's...
Persistent link: https://www.econbiz.de/10011894725
Cover Image
Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2023
This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing...
Persistent link: https://www.econbiz.de/10014343097
Cover Image
Do speculative traders anticipate or follow USD/EUR exchange rate movements? : new evidence on the efficiency of the EUR currency futures market
Hossfeld, Oliver; Röthig, Andreas - 2015
favor of a causal relationship from speculative positions to exchange rate movements, and therefore an inefficient Euro …
Persistent link: https://www.econbiz.de/10011391722