We investigate the relation between aggregate trading imbalances and interest rates in the Euro money market. We use data for OTC contracts as well as information from the major electronic trading platform in Europe to study the presence of cointegration between trading pressures and money...

This article studies the forecasting properties of linear GARCH models for closing-day futures prices on crude oil, first position, traded in the New York Mercantile Exchange from January 1995 to November 2005. To account for fat tails in the empirical distribution of the series, we compare...

This note studies the persistence of CPI inflation for 12 OECD countries. The fraction order of integration is estimated through the wavelet-OLS estimator of Jensen (1999). The results show that CPI inflation is characterized by mean reversion in the long run with finite variance.

This article investigates the transmission of volatility from longer maturities to the overnight segment of the Euro area money market. I use nonparametric estimates of the daily variance of swap rates to test for block exogeneity with respect to the overnight. The results suggest that there...

Yes. For the preturmoil period, exogeneity tests from vector autoregression (VAR) models suggest the presence of a transmission channel from longer maturities to the overnight. This disappears in the subsample starting in 9 August, 2007. The results of the semiparametric tests of Cappiello et...