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Markov Switching Causality and the Money-Output Relationship

Psaradakis, Zacharias; Ravn, Morten O; Sola, Martin - C.E.P.R. Discussion Papers - 2003

The empirical relationship between money and output is one of the most studied issues in macroeconomics, and a large literature has examined the causal links between monetary variables and output. One puzzle from this literature is that the results of causality tests appear to be sensitive with...

Persistent link: https://www.econbiz.de/10005114140

Competing for Securities Underwriting Mandates: Banking Relationships and Analyst Recommendations

Ljungqvist, Alexander P.; Marston, Felicia; Wilhelm Jr, … - C.E.P.R. Discussion Papers - 2003

the endogeneity of analyst behaviour and the bank’s decision to provide analyst coverage. Contrary to recent allegations …, we find no evidence that aggressive analyst recommendations or recommendation upgrades increased a bank’s probability of …

Persistent link: https://www.econbiz.de/10005067469

Structural Adjustment in European Retail Banking: Some Views from Industrial Organisation

Neven, Damien J - C.E.P.R. Discussion Papers - 1989

bank strategies in terms of the quality of service they choose to offer, in terms of the number and locations of their …

Persistent link: https://www.econbiz.de/10005281299

Competition in Spanish Banking

Caminal, Ramon; Gual, Jordi; Vives, Xavier - C.E.P.R. Discussion Papers - 1989

We assess the state of competition in the Spanish banking system at the dawn of the integration of the European financial market. Banking in Spain has undergone a strong liberalization process in the last fifteen years, which has accelerated recently, evolving from a situation of tight...

Persistent link: https://www.econbiz.de/10005792462

Regime Changes and Financial Markets

Ang, Andrew; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2011

Regime switching models can match the tendency of financial markets to often change their behavior abruptly and the phenomenon that the new behavior of financial variables often persists for several periods after such a change. While the regimes captured by regime switching models are identified...

Persistent link: https://www.econbiz.de/10009205067

Moving the Escudo into the Euro

Braga de Macedo, Jorge; Catela Nunes, Luís; Covas, … - C.E.P.R. Discussion Papers - 1999

inflationary. Nevertheless, thanks to the efforts of successive ministers of finance/central bank governor pairs, the criteria for … realignment, was more stable in the ERM than when it was inconvertible and the central bank controlled the currency. The … central bank to speculative attacks during the crises regime. …

Persistent link: https://www.econbiz.de/10005123635

Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes

Sarno, Lucio; Valente, Giorgio; Wohar, Mark E - C.E.P.R. Discussion Papers - 2003

We investigate the dynamic relationship between the US dollar exchange rate and its fundamentals across different exchange rate regimes using data going back to the late 1800s or early 1900s for six industrialized countries. For these countries there is evidence of a long-run relation between...

Persistent link: https://www.econbiz.de/10005136592

On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts

Driffill, John; Kenc, Turalay; Sola, Martin; Spagnolo, Fabio - C.E.P.R. Discussion Papers - 2004

We examine several continuous-time term-structure models, in which the short rate is subject to discrete shifts. Our empirical analysis suggests that inquiring which parameters of the short-term interest rate equation are allowed to switch is crucial, as failing to do so may result in switching...

Persistent link: https://www.econbiz.de/10005497966

Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency

Meenagh, David; Minford, Patrick; Peel, David - C.E.P.R. Discussion Papers - 2006

A model of profits switches between four regimes with fixed probabilities; the rationally expected profits stream implies the stock market value. This efficient market model is not rejected by UK post-war time-series behaviour of either profits or the FTSE index.

Persistent link: https://www.econbiz.de/10005504613

Britain's Return to Gold and Entry into the EMS: Expectations, Joining Conditions and Credibility

Miller, Marcus; Sutherland, Alan - C.E.P.R. Discussion Papers - 1990

In this paper the surprising conclusion of Smith and Smith (1990) that the prospect of Britain's return to gold in 1925 had the effect of weakening sterling is subjected to critical analysis. It is shown that this conclusion is reversed when the trend in the UK money stock prior to joining the...

Persistent link: https://www.econbiz.de/10005281368