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Estimating a Banking-Macro Model for Europe Using a Multi-Regime VAR

Semmler, Willi; Mittnik, Stefan - EcoMod Network - 2012

This paper introduces a Banking-Macro Model and estimates the linkages through a Multi-Regime VAR (MRVAR). We first introduce a dynamic model which is akin to the Brunnermeier and Sannikov (BS) model (2010). The banking sector borrows from capital markets, issues liabilities, accumulates assets,...

Persistent link: https://www.econbiz.de/10010902509

Modelling and Forecasting Volatility with VIX index

Spieser, Philippe. K.; Kockerols, Thore - EcoMod Network - 2012

The main objective of our study is to model and forecast volatility as measured by the VIX index, with the aim of producing information to banks and also to macroeconomists. We begin with Arma/Arima models, augmented with Garch errors and exogenous regressors : some macroeconomic leading...

Persistent link: https://www.econbiz.de/10010902517

Connectedness Cycles in Equity Markets: A Wavelet Approach

Schmidbauer, Harald; Rösch, Angi; Uluceviz, Erhan - EcoMod Network - 2012

The connectedness of international equity markets can be measured building on the well-established forecast error variance decomposition framework. This approach permits the assessment of the propagation of shocks (spillovers) across equity markets on a day-to-day basis. The focus of our...

Persistent link: https://www.econbiz.de/10010902532

Modelling and forecasting the volatility of petroleum futures prices

Yoon, Seong-Min; Kang, Sang Hoon - EcoMod Network - 2012

We investigate volatility models and their forecasting abilities for three types of petroleum futures contracts traded on the New York Mercantile Exchange (West Texas Intermediate crude oil, heating oil #2, and unleaded gasoline) and suggest some stylized facts about the volatility of these...

Persistent link: https://www.econbiz.de/10010902546

Interaction between levels and volatilities of Stock market returns and exchange rate in the BRICS grouping

Bonga-Bonga, Lumengo - EcoMod Network - 2012

The emergence of the BRICS (Brazil, Russia, India, China and South Africa) grouping and the rapid advancement of their stock market may results in the acceleration of the appreciation of their respective currencies and ultimately the loss of their trade competitiveness. Conversely, exchange rate...

Persistent link: https://www.econbiz.de/10010902549

The Satisfaction, Repurchase Intention and Shareholder Value Linkage: A Longitudinal Examination of Fixed and Firm Specific Effects.

Yalcin, Atakan; Aksoy, Lerzan; Keiningham, Timothy L.; … - EcoMod Network - 2012

For virtually all firms, the means of generating shareholder value comes by having customers consistently come back. The measurement of customer satisfaction and repurchase intention is therefore critical to managers and researchers. Unfortunately, recent research studying the effect that 1)...

Persistent link: https://www.econbiz.de/10010902573

The validity of Wagner’s Law in United Kingdom for the period 1850-2010.

Paparas, Dimitrios; Richter, Christian; Paparas, Dimitrios - EcoMod Network - 2012

can be applied in the U.K. public spending expansion for the period 1850-2010. According to Wagner’s hypothesis …, fundamental economic growth is a determinant to the public sector growth. The public sector is said to be able to grow at a very … support of Wagner’s and Keynesian hypotheses. The Keynesian hypothesis proves to be true in UK and means that the public …

Persistent link: https://www.econbiz.de/10010902583

A Financial Social Accounting Matrix (SAM) for Luxembourg

Hubic, Amela - EcoMod Network - 2012

A Social Accounting Matrix (SAM) is a comprehensive, economy-wide data framework of real accounts, typically representing the economy of a nation but also providing the link between the economy and the rest of the world in terms of trade flows. However, in order to have complete picture of the...

Persistent link: https://www.econbiz.de/10010886624

Fiscal forecast errors: governments vs independent agencies?

Perez, Javier J.; Merola, Rossana - EcoMod Network - 2012

The fact that the literature tends to find biases in national fiscal projections has led to a growing claim in the academic and policy arenas for the need to introduce independent forecasts in the fiscal domain, prepared by independent agencies, like the European Commission (EC) in the case...

Persistent link: https://www.econbiz.de/10010887887