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The day-of-the-week effect revisited: An alternative testing approach

Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002

This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...

Persistent link: https://www.econbiz.de/10010292794

Combining forecasts based on multiple encompassing tests in a macroeconomic core system

Costantini, Mauro; Kunst, Robert M. - 2009

We investigate whether and to what extent multiple encompassing tests may help determine weights for forecast averaging in a standard vector autoregressive setting. To this end we consider a new test-based procedure, which assigns non-zero weights to candidate models that add information not...

Persistent link: https://www.econbiz.de/10010294025

The Impact of Trade Liberalization on the Return to Education in Vietnam: Wage versus Employment Effect

Oostendorp, Remco H.; Quang, Doan Hong - 2011

Several studies have identified the impact of trade liberalization in developing countries on the return to education within a Mincerian framework through a difference-in-difference estimator or with industry-level measures of trade openness. These studies have typically estimated the return to...

Persistent link: https://www.econbiz.de/10010325919

Systemic Risk Diagnostics

Schwaab, Bernd; Lucas, Andre; Koopman, Siem Jan - 2010

A macro-prudential policy maker can manage risks to financial stability only if currentand future risks can be reliably assessed. We propose a novel framework to assessfinancial system risk. Using a dynamic factor framework based on state-space methods, we model latent macro-financial and credit...

Persistent link: https://www.econbiz.de/10010325790

The effects of Dollar/Sterling exchange rate volatility of futures markets for coffee and cocoa

Jumah, Adusei; Kunst, Robert M. - 1999

The paper investigates the extent to which the dollar/sterling exchange rate fluctuations affect coffee and cocoa futures prices on the London LIFFE and the New York CSCE by means of multivariate GARCH models - under the assumption that traders in perfectly competitive markets have equal access...

Persistent link: https://www.econbiz.de/10010291928

Identifying the Weights in Exchange Market Pressure

Klaassen, Franc - 2011

Exchange market pressure (EMP) measures the pressure on a currency to depreciate. It adds to the actual depreciation a weighted combination of policy instruments used to ward off depreciation, such as interest rates and foreign exchange interventions, where the weights are their effectiveness....

Persistent link: https://www.econbiz.de/10010325742

Has the Euro increased Trade?

Bun, Maurice J.G.; Klaassen, Franc J.G.M. - 2002

A major economic reason for the introduction of the euro was its supposedly positive effect on intra-EMU trade …. Existing studies examine this suspicion indirectly using non-EMU data and report ambiguous results. We estimate the euro … euro has significantly increased trade, with an effect of 4% in the first year and cumulating to around 40% in the long …

Persistent link: https://www.econbiz.de/10010325067

Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle

Kraeussl, R.; Lucas, A.; Rijsbergen, D.; van der Sluis, P.J. - 2008

This paper tests the policitcal dimensions of the presidential cycle effect in U.S. financial markets. The presidential cycle effect states that average stock market returns are significantly higher in the last two years compared to the first two years of a presidential term. We confirm the...

Persistent link: https://www.econbiz.de/10010325930

On mean reversion in real interest rates: An application of threshold cointegration

Jumah, Adusei; Kunst, Robert M. - 2002

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis....

Persistent link: https://www.econbiz.de/10010292774

Tail-dependence in stock-return pairs

Fortin, Ines; Kuzmics, Christoph - 2002

The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...

Persistent link: https://www.econbiz.de/10010292792