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Advances in financial risk management and economic policy uncertainty : an overview
Hammoudeh, Shawkat; McAleer, Michael - 2014
Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty … and financial crises. The purpose of this special issue on "Advances in Financial Risk Management and Economic Policy … methods have contributed significantly to the analysis of financial risk management when there is economic uncertainty …
Persistent link: https://www.econbiz.de/10010366930
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Macro news, riskfree rates, and the intermediary
Menkveld, Albert J.; Sarkar, Asani; Wel, Michel van der - 2007
Signed customer order flow correlates with permanent price changes in equity and nonequity markets. We exploit macro news events in the 30Y treasury futures market to identify causality from customer flow to riskfree rates. We remove the positive feedback trading part and establish that, in the...
Persistent link: https://www.econbiz.de/10011373834
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Are market makers uninformed and passive? : signing trades in the absence of quotes
Wel, Michel van der; Menkveld, Albert J.; Sarkar, Asani - 2009
We develop a new likelihood-based approach to sign trades in the absence of quotes. It is equally efficient as existing MCMC methods, but more than 10 times faster. It can deal with the occurrence of multiple trades at the same time, and noisily observed trade times. We apply this method to a...
Persistent link: https://www.econbiz.de/10011378307
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Speed, algorithmic trading, and market quality around macroeconomic news announcements
Scholtus, Martin L.; Dijk, Dick van; Frijns, Bart - 2012
Persistent link: https://www.econbiz.de/10009724343
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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also …
Persistent link: https://www.econbiz.de/10011940034
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A Tourism Conditions Index
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2014
This paper uses monthly data from April 2005 to August 2013 for Taiwan to propose a novel tourism indicator, namely the Tourism Conditions Index (TCI). TCI accounts for the spillover weights based on the Granger causality test and estimates of the multivariate BEKK model for four TCI indicators...
Persistent link: https://www.econbiz.de/10010227695
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A tourism financial conditions index
Chang, Chia-Lin; Hui-Kuang, Hsu; McAleer, Michael - 2014 - Revised: May 2014
The paper uses monthly data on financial stock index returns, tourism stock sub-index returns, effective exchange rate returns and interest rate differences from April 2005 – August 2013 for Taiwan that applies Chang’s (2014) novel approach for constructing a tourism financial indicator,...
Persistent link: https://www.econbiz.de/10010350798
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A tourism financial conditions index for tourism finance
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2017 - Revised version: August 2017
The paper uses monthly data on tourism related factors from April 2005 - June 2016 for Taiwan that applies factor analysis and Chang’s (2015) novel approach for constructing a tourism financial indicator, namely the Tourism Financial Conditions Index (TFCI). The TFCI is an adaptation and...
Persistent link: https://www.econbiz.de/10011699488
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Finance and growth : a survey of the theoretical and empirical literature
Eschenbach, Felix - 2004
This paper reviews the theoretical and empirical literature on links between domestic financial development and economic growth. It starts with the pioneers in this field and then classifies two main schools favouring liberal financial regimes. First McKinnon and Shaw advocated financial...
Persistent link: https://www.econbiz.de/10011335226
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Heterogeneous macro and financial effects of ECB asset purchase programs
Zwan, Terri van der; Kole, Erik; Wel, Michel van der - 2021
Central banks resorted to asset purchase programs to replace conventional policy measures, which became ineffective after interest rates approached the zero lower bound. We investigate their effects on financial markets and focus on heterogeneous transmission using a Bayesian structural vector...
Persistent link: https://www.econbiz.de/10012795397