Showing 1 - 10 of 229
Persistent link: https://www.econbiz.de/10003229527
"Although ARCH-related models have proven quite popular in finance, they are less frequently used in macroeconomic applications. In part this may be because macroeconomists are usually more concerned about characterizing the conditional mean rather than the conditional variance of a time series....
Persistent link: https://www.econbiz.de/10003739144
Persistent link: https://www.econbiz.de/10003780274
"This paper explores similarities and differences between the run-up of oil prices in 2007-08 and earlier oil price shocks, looking at what caused the price increase and what effects it had on the economy. Whereas historical oil price shocks were primarily caused by physical disruptions of...
Persistent link: https://www.econbiz.de/10003851045
This paper explores the properties of daily changes in the prices for near-term fed funds futures contracts. The paper finds these contracts to be excellent predictors of the fed funds rate, and shows that the claim of a nonzero term premium in the short-horizon contracts is more sensitive to...
Persistent link: https://www.econbiz.de/10003468359
Persistent link: https://www.econbiz.de/10003594614
Persistent link: https://www.econbiz.de/10003746100
Persistent link: https://www.econbiz.de/10002643508
Persistent link: https://www.econbiz.de/10001487736
This paper uses a flexible approach to characterize the nonlinear relation between oil price changes and GDP growth. The paper reports clear evidence of nonlinearity, consistent with earlier claims in the literature-- oil price increases are much more important than oil price decreases, and...
Persistent link: https://www.econbiz.de/10012470995