Similar Search Results

On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting

Chevallier, Julien; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009

issue by characterizing the conditional and unconditional distributions of the realized volatility for the 2008 futures … volatility measures from naive, kernel-based and subsampling estimators are used to obtain inferences about the distributional … and dynamic properties of the ECX emissions futures volatility. The distribution of the daily realized volatility in …

Persistent link: https://www.econbiz.de/10005078954

The changing international transmission of US monetary policy shocks: is there evidence of contagion effect on OECD countries

Kazi, Irfan Akbar; Wagan, Hakimzadi; Akbar, Farhan - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2012

We study the changing international transmission of US monetary policy shocks to 14 major OECD countries over the period 1981Q1-2010Q4. We use a time-varying parameter factor augmented VAR approach to study the effective federal funds rate shocks together with a large data set of 265, major...

Persistent link: https://www.econbiz.de/10010552492

Propositions for the Building of a Quantitative Austrian Modelling: An Answer to Prof. Rizzo and to Prof. Vriend

Buda, Rodolphe - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2007

In this paper, we try to promote the building of a Quantitative Austrian Modelling (QAM). QAM must be viewed as a complementary quantitative prolongation of the Austrian methods and as a complementary approach to the already existing quantitative approaches - especially we would like here to...

Persistent link: https://www.econbiz.de/10005094010

Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession

Ferrara, Laurent; Marsilli, Clément - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2012

The global economic recession, referred to as the Great Recession, endured by the main industrialized countries during the period 2008-09, in the wake of the financial and banking crisis, has pointed out the current importance of the financial sector in macroeconomics. In this paper, we evaluate...

Persistent link: https://www.econbiz.de/10010570417

Nominal and Real Exchange Rate Models in South Africa: How Robust Are They?

Égert, Balázs - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2012

This paper addresses difficulties in modelling exchange rates in South Africa. Real exchange rate models of earlier research seem to be sensitive to the sample period considered, alternative variable definition, data frequency and estimation methods. Alternative exchange rate models proposed in...

Persistent link: https://www.econbiz.de/10010992383

Revisiting the theory of optimum currency areas: Is the CFA franc zone sustainable?

COUHARDE, Cécile; Guerreiro, David; Mignon, Valérie; … - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2012

This paper aims at explaining why the CFA countries have successfully maintained a currency union for several decades, despite failing to meet many of optimum currency area criteria. We suggest that the CFA zone, while not optimal, has been at least sustainable. We test this sustainability...

Persistent link: https://www.econbiz.de/10010992384

Optimality of a monetary union : New evidence from exchange rate misalignments in West Africa

Coulibaly, Issiaka; Gnimassoun, Blaise - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2012

This paper aims to study the optimality of a monetary union in West Africa by using a new methodology based on the analysis of convergence and co-movements between exchange rate misalignments. Two main advantages characterize this original framework. First, it brings together the information...

Persistent link: https://www.econbiz.de/10010992386

The impact of macro news and central bank communication on emerging European forex markets

Égert, Balázs; Kočenda, Evžen - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2012

We analyze the impact of macroeconomic news and central bank communication on the exchange rates of three Central and Eastern European (CEE) currencies against the euro. In doing so, we first estimate standard and extended versions of the monetary model to capture deviations from the long-term...

Persistent link: https://www.econbiz.de/10010992391

A multi-country DSGE model with incomplete Exchange Rate Pass-through: application for the Euro area

Razafindrabe, Tovonony - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2014

, China, Japan and Switzerland yields the following results. First, exchange rate volatility contributes to a large part of …

Persistent link: https://www.econbiz.de/10010992392

Financial integration, financial turmoil and risk premia in emerging markets

Boubakri, Salem; COUHARDE, Cécile; RAYMOND, Helene - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2014

The aim of this article is to study the dynamics of financial integration and of the risk premia in emerging markets. Accordingly, we estimate a variant of the International Asset Pricing Model (IAPM) developed by Errunza and Losq (1985) and Carrieri et al. (2007), allowing for time-varying...

Persistent link: https://www.econbiz.de/10010992406