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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
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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
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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
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Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate
Balaban, Ercan - 1999
Persistent link: https://www.econbiz.de/10001399838
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A non-linear multivariate model of the UK real exchange rate
Milas, Costas - 2001
Persistent link: https://www.econbiz.de/10001636887
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Government debt spillovers and creditworthiness in a Federation
Landon, Stuart - 1999
Persistent link: https://www.econbiz.de/10013428255
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Climate policy induced investments in developing countries : the implications of investment risks
Böhringer, Christoph - 2002
Persistent link: https://www.econbiz.de/10013428546
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Estimation and testing for functional form and autocorrelation: a simultaneous approach
Savin, N. E.; White, Kenneth J. - 1976
Persistent link: https://www.econbiz.de/10003669374
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Specification testing in random coefficient models
Breunig, Christoph; Hoderlein, Stefan - 2018
In this paper, we suggest and analyze a new class of specification tests for random coefficient models. These tests allow to assess the validity of central structural features of the model, in particular linearity in coefficients, generalizations of this notion like a known nonlinear functional...
Persistent link: https://www.econbiz.de/10011899244
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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