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Carbon Price Dynamics – Evidence from Phase II of the European Emission Trading Scheme
Rickels, Wilfried; Görlich, Dennis; Oberst, Gerrit; … - Institut für Weltwirtschaft (IfW) - 2012
In this paper we empirically investigate potential determinants of allowance (EUA) price dynamics in the European Union Emission Trading Scheme (EU ETS) during Phase II. In contrast to previous papers, we analyze a significantly longer time series, place particular emphasis on the importance of...
Persistent link: https://www.econbiz.de/10010886917
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The Information Content and Redistribution Effects of State and Municipal Rating Changes in Mexico
Mendoza-Velázquez, Alfonso - Institut für Weltwirtschaft (IfW) - 2009
bad and good news, a negative association between market volatility and the level of bond returns and significant effects … the mean equation that allows conditional volatility, we find strong support for the Information Content Signaling …) bond returns. In addition to this, we find high volatility persistence, significant asymmetric responses of volatility to …
Persistent link: https://www.econbiz.de/10005097463
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Explaining European Emission Allowance Price Dynamics: Evidence from Phase II
Rickels, Wilfried; Görlich, Dennis; Oberst, Gerrit - Institut für Weltwirtschaft (IfW) - 2010
In 2005, the European Emission Trading Scheme (EU-ETS) established a new commodity: the right to emit a ton of CO2 (EUA). Since its launch, the corresponding price has shown rather turbulent dynamics, including nervous reactions to policy announcements and a price collapse after a visible...
Persistent link: https://www.econbiz.de/10008682210
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Modeling and predicting the market volatility index: The case of VKOSPI
Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - Institut für Weltwirtschaft (IfW) - 2015
) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 … options and (b) macroeconomic and financial variables that can predict the implied volatility process of the index, using … the VKOSPI. In addition, we find that the stock market return and implied volatility index of the US market (i.e., the S …
Persistent link: https://www.econbiz.de/10011170357
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Sentiment Dynamics and Stock Returns: The Case of the German Stock Market
Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2008
We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between investors' mood and subsequent stock price changes. In contrast to extant literature for other countries, a tri-variate vector autoregression for short-run...
Persistent link: https://www.econbiz.de/10005755276
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New Evidence on News-Driven Business Cycles
Haertel, Thomas; Lucke, Bernd - Institut für Weltwirtschaft (IfW) - 2007
We study the Beaudry and Portier (2006)-hypothesis of delayed-technology diffusion and newsdriven business cycles. For German data on TFP and stock prices we find qualitatively similar empirical evidence. Quantitatively, however, an impulse response analysis suggests that a substantial part of...
Persistent link: https://www.econbiz.de/10005083367
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The Impact of Seasonal and Price Adjustments on the Predictability of German GDP Revisions
Boysen-Hogrefe, Jens; Neuwirth, Stefan - Institut für Weltwirtschaft (IfW) - 2012
Releases of the GDP are subject to revisions over time. This paper examines the predictability of German GDP revisions using forecast rationality tests. Previous studies of German GDP covering data until 1997 finds that revisions of real seasonally adjusted GDP are predictable. This paper uses a...
Persistent link: https://www.econbiz.de/10009421749
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Global Governance of Global Monetary Relations: Rationale and Feasibility
Frieden, Jeffry A. - Institut für Weltwirtschaft (IfW) - 2008
Is there a valid argument for international cooperation, and some form of international governance structure, in the international monetary realm? On the purely economic front, the argument is not strong. Yet a broader political economy approach concludes that national currency policy can in...
Persistent link: https://www.econbiz.de/10005083396
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Measuring Long-Run Exchange Rate Pass-Through
de Bandt, Olivier; Banerjee, Anindya; Kozluk, Tomasz - Institut für Weltwirtschaft (IfW) - 2007
The paper discusses the issue of estimating short- and long-run exchange rate pass-through to import prices in euro area countries and reviews some problems with the measures recently proposed in the literature. Theoretical considerations suggest a long-run Engle and Granger cointegrating...
Persistent link: https://www.econbiz.de/10005083403
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Wechselkursunsicherheit und Außenhandel: Eine Analye der theoretischen Literatur
Fischer, Malte - Institut für Weltwirtschaft (IfW) - 1997
The impact of exchange rate uncertainty on international trade has been discussed controversially in economic policy and theory for a long time. The paper surveys the theoretical investigations on this topic. The early modeis which analyse the influence of exchange rate uncertainty on trade,...
Persistent link: https://www.econbiz.de/10009276144