Similar Search Results

UK Natural Gas: Gas-Specific or Oil Driven Pricing?

Asche, Frank; Oglend, Atle; Osmundsen, Petter - CESifo - 2013

In this paper we investigate the time-varying relationship between oil and natural gas in the UK. We develop a model where relative prices can move between pricing-regimes; markets switch between being decoupled and integrated. Our model endogenously accounts for periods where oil and natural...

Persistent link: https://www.econbiz.de/10010721610

Exchange Rates and Markov Switching Dynamics

Cheung, Yin-Wong; Erlandsson, Ulf G. - CESifo - 2004

This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent the statistical inference problem inherent to the test of regime-switching behavior. Two data...

Persistent link: https://www.econbiz.de/10005766259

Markov Perfect Equilibria in Differential Games with Regime Switching Strategies

Long, Ngo Van; Prieur, Fabien; Puzon, Klarizze; … - CESifo - 2014

We propose a new methodology exploring Markov perfect equilibrium strategies in differential games with regime switching. Specifically, we develop a general game with two players having two kinds of strategies. Players choose an action that influences the evolution of a state variable, and...

Persistent link: https://www.econbiz.de/10010747209

Modeling UK Natural Gas Prices when Gas Prices Periodically Decouple from the Oil Price

Asche, Frank; Oglend, Atle; Osmundsen, Petter - CESifo - 2015

When natural gas prices are subject to periodic decoupling from oil prices, for instance due to peak-load pricing, conventional linear models of price dynamics such as the Vector Error Correction Model (VECM) can lead to erroneous inferences about cointegration relationships, price adjustments...

Persistent link: https://www.econbiz.de/10011194232

The Consumption-Based Determinants of the Term Structure of Discount Rates

Gollier, Christian - CESifo - 2005

The efficient rate of return of a zero-coupon bond with maturity t is determined by our expectations about the mean (+), variance (-) and skewness (+) of the growth of aggregate consumption between 0 and t. The shape of the yield curve is thus determined by how these moments vary with t. We...

Persistent link: https://www.econbiz.de/10005094448

An Extended Macro-Finance Model with Financial Factors

Dewachter, Hans; Iania, Leonardo - CESifo - 2010

This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...

Persistent link: https://www.econbiz.de/10008572472

Resolving the Spanning Puzzle in Macro-Finance Term Structure Models

Bauer, Michael D.; Rudebusch, Glenn D. - CESifo - 2015

Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is...

Persistent link: https://www.econbiz.de/10011155372

The Micro Dynamics of Macro Announcements

Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - CESifo - 2013

response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …

Persistent link: https://www.econbiz.de/10010877723

Commodity Price Volatility, Democracy and Economic Growth

Arezki, Rabah; Gylfason, Thorvaldur - CESifo - 2011

We use a new dataset on non-resource GDP to examine the impact of commodity price volatility on economic growth in a … panel of up to 158 countries during the period 1970-2007. Our main finding is that commodity price volatility leads to a … result, we show that increased commodity price volatility leads to a statistically significant and quantitatively large …

Persistent link: https://www.econbiz.de/10009352227

The Relative Volatility of Commodity Prices: A Reappraisal

Arezki, Rabah; Lederman, Daniel; Zhao, Hongyan - CESifo - 2011

This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in … evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. The literature tends … to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and …

Persistent link: https://www.econbiz.de/10009391720