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Fortin, Ines; Kuzmics, Christoph - 2002

-t distribution. A general test for one dependence structure versus another via the profilelikelihood is described and …

Persistent link: https://www.econbiz.de/10009725481

Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging

Jumah, Adusei; Kunst, Robert M. - 2008

Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes vector...

Persistent link: https://www.econbiz.de/10009735355

Identification and critical time forecasting of real estate bubbles in the USA and Switzerland

Ardila, Diego; Sanadgol, Dorsa; Cauwels, Peter; … - 2014

We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two elements: 1) the Log Periodic Power Law (LPPL) model to describe endogenous price dynamics originated from positive feedback loops between economic agents; and 2) a diffusion...

Persistent link: https://www.econbiz.de/10010411858

Chinese monetary policy and the dollar peg

Reade, J. James; Volz, Ulrich - 2010

This paper investigates to what extent Chinese monetary policy is constrained by the dollar peg. To this end, we use a cointegration framework to examine whether Chinese interest rates are driven by the Fed's policy. In a second step, we estimate a monetary model for China, in which we include...

Persistent link: https://www.econbiz.de/10008796581

Response speeds of direct and securitized real estate to shocks in the fundamentals

Oikarinen, Elias; Hoesli, Martin; Serrano, Camilo - 2010

We use sector level REIT and transaction-based direct real estate data for the U.S. to provide a clearer understanding of the dynamic relations between public and private real estate returns. We exclude leverage from REIT returns to make the REIT data more comparable with the direct market data....

Persistent link: https://www.econbiz.de/10008797757

Volatility spillovers, asymmetry and extreme events in securitized real estate returns

Hoesli, Martin; Reka, Kustrim - 2010

This paper analyzes the relationships between local and global securitized real estate markets, but also between securitized real estate and common stock markets. First, the volatility transmissions across markets are examined using an asymmetric t-BEKK (Baba-Engle-Kraft-Kroner) specification of...

Persistent link: https://www.econbiz.de/10008797759

Are REITs real estate? : evidence from international sector level data

Hoesli, Martin; Oikarinen, Elias - 2012

general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research … performance is much more closely related to the direct real estate market than to the general stock market. Consequently, REITs … relevance regarding the relationship between public and private markets in general, as the duality of the real estate markets …

Persistent link: https://www.econbiz.de/10009558452

On mean reversion in real interest rates : an application of threshold cointegration

Jumah, Adusei; Kunst, Robert M. - 2002

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis....

Persistent link: https://www.econbiz.de/10009725013

Measuring stylized business cycles facts using stochastic cycles

Rünstler, Gerhard - 1997

The study proposes a multivariate unobserved components model in order to examine relationships at business cycle frequencies among macroeconomic variables. The series are decomposed into non-stationary trends, stationary cycles, and an irregular component. The co-movements among the particular...

Persistent link: https://www.econbiz.de/10009699981

Identifying time variability in stock and interest rate dependence

Stein, Michael; Islami, Mevlud; Lindemann, Jens - 2012

The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with differing results in terms of strength and direction of the relationship. This paper uses models of the multivariate GARCH type which allow for time-variability and regime changes in...

Persistent link: https://www.econbiz.de/10009625556