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Have financial markets become more informative?
Bai, Jennie; Philippon, Thomas; Savov, Alexi - 2012
The finance industry has grown. Financial markets have become more liquid. Information technology has improved. But have prices become more informative? Using stock and bond prices to forecast earnings, we find that the information content of market prices has not increased since 1960. The...
Persistent link: https://www.econbiz.de/10009657611
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Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets
Kilic, Erdem - In: Economic modelling 62 (2017), pp. 51-67
Persistent link: https://www.econbiz.de/10011813162
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Financial crises, exchange rate linkages and uncovered interest parity : evidence from G7 markets
Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - In: Economic modelling 66 (2017), pp. 112-120
Persistent link: https://www.econbiz.de/10011813672
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Is the survival of the euro area at risk? : an economic analysis of exit and contagion possibilities
Canofari, Paolo; Messori, Marcello - In: Economic modelling 69 (2018), pp. 58-66
Persistent link: https://www.econbiz.de/10012016083
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Dynamic transmission effects between the interest rate, the US dollar, and gold and crude oil prices
Wang, Yu-shan; Chueh, Yen Ling - In: Economic modelling 30 (2013), pp. 792-798
Persistent link: https://www.econbiz.de/10009708796
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On the risk comovements between the crude oil market and U.S. dollar exchange rates
Truchis, Gilles de; Keddad, Benjamin - In: Economic modelling 52 (2016), pp. 206-215
Persistent link: https://www.econbiz.de/10011645629
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Credit risk and sustainable debt : a model and estimations of why the euro is stable in the long-run
Semmler, Willi; Wöhrmann, Peter - In: Economic modelling 21 (2004) 6, pp. 1145-1160
Persistent link: https://www.econbiz.de/10002388992
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Exchange rate regime, real misalignment and currency crises
Holtemöller, Oliver; Mallick, Sushanta Kumar - In: Economic modelling 34 (2013), pp. 5-14
Persistent link: https://www.econbiz.de/10010360656
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Extremes, return level and identification of currency crises
Qin, Xiao; Liu, Liya - In: Economic modelling 37 (2014), pp. 439-450
Persistent link: https://www.econbiz.de/10010417634
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One-sided test for an unknown breakpoint : theory, computation, and application to monetary theory
Estrella, Arturo (contributor);  … - 2005
The econometrics literature contains a variety of two-sided tests for unknown breakpoints in time-series models with one or more parameters. This paper derives an analogous one-sided test that takes into account the direction of the change for a single parameter. In particular, we propose a sup...
Persistent link: https://www.econbiz.de/10003226093