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Testing for UIP : nonlinearities, monetary announcements and interest rate expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...

Persistent link: https://www.econbiz.de/10012508617

Unemployment and debt dynamics in a highly indebted small open economy

Heer, Burkhard; Schubert, Stefan Franz - 2011

a highly indebted open economy. In contrast to the standard open economy framework, search unemployment and wage … intertemporal welfare gain, even though unemployment increases strongly in the short run. A 50% haircut of foreign debt … significantly reduces the initial response of the unemployment rate. In case of a temporary productivity shock, sticky wages imply …

Persistent link: https://www.econbiz.de/10009153857

Statements of ECB officials and their effect on the level and volatility of the Euro-Dollar exchange rate

Jansen, David-Jan; Haan, Jakob de - 2003

This paper studies the reaction of the mean and volatility of the euro-dollar exchange rate to statements of ECB officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We find that the Bundesbank has dominated the news...

Persistent link: https://www.econbiz.de/10011507830

Revealing downturns

Schmalz, Martin C.; Zhuk, Sergey - 2018

When Bayesian risk-averse investors are uncertain about their assets' cash flows' exposure to systematic risk, stock prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns. The reason is that, in good times, less desirable...

Persistent link: https://www.econbiz.de/10011794118

Missing events in event studies : identifying the effects of partially-measured news surprises

Gürkaynak, Refet S.; Kısacıkoğlu, Burçin; Wright, … - 2018

Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...

Persistent link: https://www.econbiz.de/10011900777

Should we be worried about the green paradox? : announcement effects of the acid rain program

Di Maria, Corrado; Lange, Ian; Van der Werf, Edwin - 2012 - This version: May 21, 2012

This paper presents the first empirical test of the green paradox hypothesis, according to which well-intended but imperfectly implemented policies may lead to detrimental environmental outcomes due to supply side responses. We use the introduction of the Acid Rain Program in the U.S. as a case...

Persistent link: https://www.econbiz.de/10009540097

The effect of U.S. climate policy on financial markets : an event study of the inflation reduction act

Bauer, Michael D.; Offner, Eric A.; Rudebusch, Glenn D. - 2023

The Inflation Reduction Act of 2022 (IRA) represents the largest climate policy action ever undertaken in the United States. Its legislative path was marked by two abrupt shifts as the likelihood of climate policy action fell to near zero and then rose to near certainty. We investigate equity...

Persistent link: https://www.econbiz.de/10014422560

The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021

This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...

Persistent link: https://www.econbiz.de/10012584220

Do people demand fact-checked news? : evidence from U.S. democrats

Anand Chopra, Felix; Haaland, Ingar; Roth, Christopher - 2021

In a large-scale online experiment with U.S. Democrats, we examine how the demand for a newsletter about an economic relief plan changes when the newsletter content is fact-checked. We first document an overall muted demand for fact-checking when the newsletter features stories from an...

Persistent link: https://www.econbiz.de/10012668494

Inflation hedging on main street? : evidence from retail TIPS fund flows

Nagel, Stefan; Yan, Zhen - 2022

Households participating in financial markets pay attention to inflation news when making their investment decisions, even in an environment of mostly low and stable inflation. ETFs and open-ended mutual funds holding Treasury Inflation-Protected Securities (TIPS) receive inflows from retail...

Persistent link: https://www.econbiz.de/10013463289

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