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Stock Market Integration between Three CEECs, Russia and the UK
Caporale, Guglielmo Maria - 2013
Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …
Persistent link: https://www.econbiz.de/10013095004
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Testing Uncovered Interest Rate Parity Using LIBOR
Omer, Muhammad - 2013
We test Uncovered Interest Parity (UIP) using LIBOR interest rates for a wide range of maturities. In contrast to other markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm, Smeekes, and Urbain (2010) and cointegration...
Persistent link: https://www.econbiz.de/10013090772
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Systematic Consumption Risk in Currency Returns
Hoffmann, Mathias - 2013
We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...
Persistent link: https://www.econbiz.de/10013080499
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Interest Income Tax Evasion, the EU Savings Directive, and Capital Market Effects
Klautke, Tina - 2013
The Savings Directive has been celebrated as a major political break-through in coordinating taxation in Europe. Against this background, the present paper evaluates the real-world effects of this directive. The directive has left a loophole by providing grandfathering (exemption from...
Persistent link: https://www.econbiz.de/10012753596
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Modeling Optimism and Pessimism in the Foreign Exchange Market
De Grauwe, Paul; Rovira Kaltwasser, Pablo - 2021
In this paper we model how the existence of different beliefs about the underlying fundamental value of a currency affects the dynamics of the exchange rate. We find that a divergence of beliefs creates the potential for waves of optimism and pessimism that alternate in an unpredictable way....
Persistent link: https://www.econbiz.de/10013317108
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Testing Uncovered Interest Rate Parity Using LIBOR
Omer, Muhammad; Haan, Jakob de; Scholtens, Bert - CESifo - 2012
We test Uncovered Interest Parity (UIP) using LIBOR interest rates for a wide range of maturities. In contrast to other markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm, Smeekes, and Urbain (2010) and cointegration...
Persistent link: https://www.econbiz.de/10010552442
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Systematic Consumption Risk in Currency Returns
Hoffmann, Mathias; Suter, Rahel - CESifo - 2013
We sort currencies by countries’ consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...
Persistent link: https://www.econbiz.de/10010667417
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Predictability of Asset Returns and the Efficient Market Hypothesis
Pesaran, M. Hashem - CESifo - 2010
considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical …
Persistent link: https://www.econbiz.de/10008572494
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Networks of Volatility Spillovers Among Stock Markets
Baumohl, Eduard - 2017
volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market – volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …
Persistent link: https://www.econbiz.de/10012954361
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International Portfolio Flows and Exchange Rate Volatility for Emerging Markets
Caporale, Guglielmo Maria - 2015
This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …
Persistent link: https://www.econbiz.de/10013009868