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Time-Varying Spot and Futures Oil Price Dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - CESifo - 2010

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...

Persistent link: https://www.econbiz.de/10008534005

Investigating the U.S. Oil-Macroeconomy Nexus using Rolling Impulse Responses

Gronwald, Marc - CESifo - 2009

This paper is concerned with the apparent change in the U.S. oil price-macroeconomy relationship. It is investigated to what extent this change can be accounted for by the large oil price surges witnessed in the 1970s. The innovative approach of rolling impulse responses is applied and both the...

Persistent link: https://www.econbiz.de/10005013074

Did US Consumers 'Save for a Rainy Day' Before the Great Recession?

Anundsen, André Kallåk; Nymoen, Ragnar - CESifo - 2015

The ‘saving for a rainy day’ hypothesis implies that households’ saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...

Persistent link: https://www.econbiz.de/10011278934

Spend-and-Tax Adjustments and the Sustainability of the Government's Intertemporal Budget Constraint

Legrenzi, Gabriella Deborah; Milas, Costas - CESifo - 2010

We apply non-linear error-correction models to the empirical testing of the sustainability of the government’s intertemporal budget constraint. Our empirical analysis, based on Italy, shows that the Italian government is meeting its intertemporal budget constraint, in spite of the high levels...

Persistent link: https://www.econbiz.de/10008596593

Forecasting Economic and Financial Variables with Global VARs

Pesaran, M. Hashem; Schuermann, Til; Smith, L. Vanessa - CESifo - 2008

This paper considers the problem of forecasting real and financial macroeconomic variables across a large number of countries in the global economy. To this end a global vector autoregressive (GVAR) model previously estimated over the 1979Q1-2003Q4 period by Dees, de Mauro, Pesaran, and Smith...

Persistent link: https://www.econbiz.de/10005406358

On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010

Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - CESifo - 2013

This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...

Persistent link: https://www.econbiz.de/10010636593

Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility

Hillebrand, Eric; Schnabl, Gunther; Ulu, Yasemin - CESifo - 2006

We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate …. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility … increase in volatility associated with interventions. During the period 1999 through 2004, the estimations are consistent with …

Persistent link: https://www.econbiz.de/10005181300

Non-Linearities in the Relation between the Exchange Rate and its Fundamentals

Altavilla, Carlo; Grauwe, Paul De - CESifo - 2005

This paper investigates the relationship between the euro-dollar exchange rate and its underlying fundamentals. First, we develop a simple theoretical model in which chartists and fundamentalists interact. This model predicts the existence of different regimes, and thus non-linearities in the...

Persistent link: https://www.econbiz.de/10005406011

Business Cycles, International Trade and Capital Flows: Evidence from Latin America

Caporale, Guglielmo Maria; Girardi, Alessandro - CESifo - 2012

This paper adopts a flexible framework to assess both short- and long-run business cycle linkages between six Latin American (LA) countries and the four largest economies in the world (namely the US, the Euro area, Japan and China) over the period 1980:I-2011:IV. The result indicate that within...

Persistent link: https://www.econbiz.de/10010595388

Carry Funding and Safe Haven Currencies: A Threshold Regression Approach

Hossfeld, Oliver; MacDonald, Ronald - CESifo - 2014

In this paper, we analyze which currencies can be regarded as safe haven currencies. Our empirical approach allows us to distinguish between a low- and high stress regime, and to control for the impact of carry trade reversals and other fundamental determinants. We therefore address the question...

Persistent link: https://www.econbiz.de/10011097944

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