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The coordination channel of foreign exchange intervention : a nonlinear microstructural analysis

Reitz, Stefan (contributor); Taylor, Markt P. (contributor) - 2006

The coordination channel has been proposed as a means by which foreign exchange market intervention may be effective, in addition to the traditional portfolio balance and signaling channels. If strong and persistent misalignments of the exchange rate are caused by non-fundamental influences,...

Persistent link: https://www.econbiz.de/10003304957

Real-time macroeconomic data and ex ante predictability of stock returns

Döpke, Jörg (contributor); Hartmann, Daniel (contributor); … - 2006

We report results on the ex ante predictability of monthly excess stock returns in Germany using real-time and revised macroeconomic data. Our real-time macroeconomic data cover the period 1994-2005. We report three results. 1) Real-time macroeconomic data did not contribute much to ex ante...

Persistent link: https://www.econbiz.de/10003304970

Forecasting the price of crude oil via convenience yield predictions

Knetsch, Thomas A. (contributor) - 2006

The paper develops an oil price forecasting technique which is based on the present value model of rational commodity …

Persistent link: https://www.econbiz.de/10003314736

Threshold dynamics of short-term interest rates : empirical evidence and implications for the term structure

Archontakis, Theofanis (contributor); … - 2007

This paper studies a nonlinear one-factor term structure model in discrete time. The single factor is the short-term interest rate, which is modeled as a self-exciting threshold autoregressive (SETAR) process. Our specification allows for shifts in the intercept and the variance. The process is...

Persistent link: https://www.econbiz.de/10003417530

Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities

Scharnagl, Michael (contributor); … - 2007

This paper addresses the relative importance of monetary indicators for forecasting inflation in the euro area in a Bayesian framework. Bayesian Model Averaging (BMA)based on predictive likelihoods provides a framework that allows for the estimation of inclusion probabilities of a particular...

Persistent link: https://www.econbiz.de/10003461220

Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?

Mol, Christine de (contributor); … - 2006

This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range...

Persistent link: https://www.econbiz.de/10003380561

Seasonality in house prices

Kajuth, Florian; Schmidt, Tobias - 2011

The contribution of this paper is to offer a rationale for the observed seasonal pattern in house prices. We first document seasonality in house prices for the US and the UK using formal statistical tests and illustrate its quantitative importance. In the second part of the paper we employ a...

Persistent link: https://www.econbiz.de/10008990894

Central bank accountability and transparency : theory and some evidence

Eijffinger, Sylvester C. W.; Hoeberichts, Marco - 2000

System). In the second part, we present a theory of central bank accountability. Two aspects of accountability are considered … Japan, Bank of England und Federal Reserve System). Im zweiten Teil stellen wir eine Theorie über die Rechenschaftspflicht …

Persistent link: https://www.econbiz.de/10011418852

The stable long-run CAPM and the cross-section of expected returns

Kurz-Kim, Jeong-Ryeol - 2002

, neither the fat-tails of return data nor the price relationship between an asset of interest and the bench market portfolio …

Persistent link: https://www.econbiz.de/10011431316

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be … used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts … estimate daily the diffusion process of the underlying futures contract for foreign exchange, based on the price of the …

Persistent link: https://www.econbiz.de/10011431367