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The Euro/Dollar exchange rate: Chaotic or non-chaotic?
Federici, Daniela; Gandolfo, Giancarlo - 2011
econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our …
Persistent link: https://www.econbiz.de/10010274880
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Monetary policy spillovers and emerging market credit: The impact of Federal Reserve communications on sovereign CDS spreads
Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - 2011
In this paper, we study the effects of US target rate changes and related communications by members of the Federal Reserve Board of Governors on spreads for emerging market sovereign credit default swaps (CDS). Using GARCH models, we find that during the pre-financial crisis sub-sample (April...
Persistent link: https://www.econbiz.de/10010286429
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China and its Dollar exchange rate: A worldwide stabilizing influence?
McKinnon, Ronald; Schnabl, Gunther - 2011
We argue that criticism concerning the Chinese dollar peg is misplaced as no predictable link exists between the exchange rate and the trade balance of an international creditor economy. The stable nominal yuan/dollar rate is argued to have stabilized Chinese, East Asian and global growth....
Persistent link: https://www.econbiz.de/10010275052
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, … - 2009
subgroups including Euro area countries, the UK and the US respectively, provides evidence of a global convergence …
Persistent link: https://www.econbiz.de/10010274514
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Econometric analysis of high dimensional VARs featuring a dominant unit
Pesaran, Mohammad Hashem; Chudik, Alexander - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10010276270
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Escaping from a combination of liquidity trap and credit crunch
Heinemann, Frank - 2008
This brief exposition suggests that the Federal Reserve System temporarily guarantee a lower bound on stock prices in order to escape the current combination of liquidity trap and credit crunch. It shortly discusses reasons for this measure, consequences, and some alternatives. It is meant as a...
Persistent link: https://www.econbiz.de/10010264478
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Is socially responsible investing really beneficial? New empirical evidence for the US and European stock markets
Mollet, Janick Christian; Ziegler, Andreas - 2012
This paper empirically examines the theoretically ambivalent relationship between socially responsible investing (SRI) and stock performance. It extends the existing literature by considering both the US and the entire European stock markets as well as by using consistent world-wide corporate...
Persistent link: https://www.econbiz.de/10010294388
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Tomatoes or Tomato Pickers? - Free Trade and Migration in the NAFTA Case
del Río, Amaranta Melchor; Thorwarth, Susanne - 2006
This paper examines the relationship between trade liberalisation and migration in the case of Mexico. The increasing bilateral trade between Mexico and the United States after signing the North American Free Trade Agreement (NAFTA) was supposed to stem the illegal Mexican migration flow by...
Persistent link: https://www.econbiz.de/10011422132
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Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates
Cserna, Balázs - 2008
We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias … reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find … that an alternative estimation based on NOWMAN (1997) does not sufficiently solve the problem of time aggregation. We …
Persistent link: https://www.econbiz.de/10011422171
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Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: the UECCC GARCH Model
Conrad, Christian; Karanasos, Menelaos - 2008
This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad and Karanasos (2008) to examine the intertemporal relationship between the uncertainties of inflation and output growth in the US. We find that inflation uncertainty effects...
Persistent link: https://www.econbiz.de/10011422179