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Testing for short and long-run causality : the case of the yield spread and economic growth
Breitung, Jörg; Candelon, Bertrand - 2001
To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...
Persistent link: https://www.econbiz.de/10009617950
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Forecasting the real output using fractionally integrated techniques
Gil-Alaña, Luis A. - 2001
The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of …
Persistent link: https://www.econbiz.de/10009613608
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The empirical determinants of the Euro : short and long run perspectives
Chinn, Menzie David - 2000
The behavior of the dollar/euro exchange rate is modeled using a monetary model of the exchange rate. The econometric … analysis is complicated by the short sample span of actual euro data available for analysis. Hence, data on a "synthetic" euro …, is identified for the 1991M08-1999M12 period using the Johansen procedure. The model implies that the euro was …
Persistent link: https://www.econbiz.de/10009583879
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Volatility estimates of the short term interest rate with an application to German data
Dankenbring, Henning - 1998
This paper proposes a procedure for testing alternative specifications of the short term interest rate's dynamics which takes into account that according to some restrictions the interest rate is nonstationary, i.e. the traditional test statistic has a non-standard distribution. Moreover, we do...
Persistent link: https://www.econbiz.de/10009578570
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The response of long-term interest rates to news about monetary policy actions : empirical evidence for the US and Germany
Nautz, Dieter; Wolters, Jürgen - 1998
We reexamine the expectations theory of the term structure focusing on the question how monetary policy actions indicated by changes in the very short rate affect long-term interest rates. Our main point is that the expectations hypothesis implies that very long rates should only react to...
Persistent link: https://www.econbiz.de/10009578577
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Estimating yield curves by Kernel smoothing methods
Linton, Oliver; Mammen, Enno; Nielsen, Jens Perch; … - 1998
We introduce a new method for the estimation of discount functions, yield curves and forward curves from government … although we do show how to impose various restrictions in the estimation. Our method is based on Kernel smoothing and is … our estimation procedure is iterative, rather like the backfitting method of estimating non-parametric models. We …
Persistent link: https://www.econbiz.de/10009580489
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A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds
Riedel, Frank - 1997
The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton [4] we...
Persistent link: https://www.econbiz.de/10009632605
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On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the Group of Seven
Herwartz, Helmut (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001918978
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The monetary model of the exchange rate : a structural interpretation
Moersch, Mathias; Nautz, Dieter - 1998
exchange rate. The separate estimation of long-run money demands leads to a "structural" error correction equation which allows …
Persistent link: https://www.econbiz.de/10009574885
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Flexible stochastic volatility structures for high frequency financial data
Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998
Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...
Persistent link: https://www.econbiz.de/10009578026