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A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility

Hillebrand, Eric; Schnabl, Gunther - European Central Bank - 2006

intervention. Based on a GARCH framework and change point detection, we test for a structural break in the effectiveness of … volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized. JEL …

Persistent link: https://www.econbiz.de/10005530723

Breaks in the mean of inflation: how they happen and what to do with them

Corvoisier, Sandrine; Mojon, Benoît - European Central Bank - 2005

In most OECD countries, we cannot reject up to three breaks in the mean of inflation: one break in the late 1960’s-early 1970’s, one in the early-mid 1980’s and another break in the early 1990’s. These breaks tend to be associated more often to breaks in the mean of nominal variables...

Persistent link: https://www.econbiz.de/10005162906

How persistent is disaggregate inflation? An analysis across EU 15 countries and HICP sub-indices

Lünnemann, Patrick; Mathä, Thomas Y. - European Central Bank - 2004

This paper analyses the degree of inflation persistence in the EU15, the euro area and each of its member states using disaggregate price indices from the Harmonised Index of Consumer Prices. Our results reveal substantial heterogeneity across countries and indices. The overall results, based on...

Persistent link: https://www.econbiz.de/10005530795

Identifying the monetary transmission mechanism using structural breaks

Beyer, Andreas; Farmer, Roger E. A. - European Central Bank - 2003

We propose a method for estimating a subset of the parameters of a structural rational expectations model by exploiting changes in policy. We define a class of models, midway between a vector autoregression and a structural model, that we call the recoverable structure. As an application of our...

Persistent link: https://www.econbiz.de/10005222384

Optimal Prediction Pools

Geweke, John; Amisano, Gianni - European Central Bank - 2009

returns with prediction models from the ARCH, stochastic volatility and Markov mixture families. In this example models that …

Persistent link: https://www.econbiz.de/10005002781

The Euro bloc, the Dollar bloc and the Yen bloc: how much monetary policy independence can exchange rate flexibility buy in an interdependent world?

Fratzscher, Marcel - European Central Bank - 2002

The paper analyses the trade-off between exchange rate flexibility and monetary policy autonomy. It tests empirically the 'Possible Duality' hypothesis, i.e. whether countries with more flexible currency regimes are indeed able to exert more monetary policy autonomy than those with less flexible...

Persistent link: https://www.econbiz.de/10005530688

Do options-implied RND functions on G3 currencies move around the times of interventions on the JPY/USD exchange rate?

Castrén, Olli - European Central Bank - 2004

around the times of official interventions in the JPY/USD exchange rate. We estimate the options-implied risk-neutral density …

Persistent link: https://www.econbiz.de/10005530892

Comparing and evaluating Bayesian predictive distributions of assets returns

Geweke, John; Amisano, Gianni - European Central Bank - 2008

Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...

Persistent link: https://www.econbiz.de/10005530935

Sensitivity analysis of volatility: a new tool for risk management

Manganelli, Simone; Ceci, Vladimiro; Vecchiato, Walter - European Central Bank - 2002

The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest … to work with univariate portfolio GARCH models. We show how the multivariate dimension of the portfolio allocation … derive the sensitivity of the univariate portfolio GARCH variance to the portfolio weights, by analytically computing the …

Persistent link: https://www.econbiz.de/10005222359

Duration, volume and volatility impact of trades

Manganelli, Simone - European Central Bank - 2002

This paper develops a new econometric framework to model duration, volume and volatility simultaneously. We obtain an …

Persistent link: https://www.econbiz.de/10005816171