Narrow search
Showing 1 - 10 of 145
Cover Image
Assessing identifying restrictions in SVAR models
Piffer, Michele - 2016 - This draft: March 22, 2016
This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector Autoregressive models. The researcher is uncertain about the validity of some sign restrictions that she is contemplating to use. She therefore expresses her uncertainty with a...
Persistent link: https://www.econbiz.de/10011446039
Cover Image
Currency futures' risk premia and risk factors
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2020
The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We find that the forward premium puzzle (FFP) depends significantly on the maturity horizon of the futures contract and the choice of sampling...
Persistent link: https://www.econbiz.de/10012209529
Cover Image
Identifying uncertainty shocks using the price of gold
Piffer, Michele; Podstawski, Maximilian - 2016
construct the instrument for uncertainty shocks by exploiting variations in the price of gold around selected events. The events … capture periods of changes in uncertainty unrelated to other macroeconomic shocks. The variations in the price of gold around … such events provide a measure correlated with the underlying uncertainty shocks, due to the perception of gold as a safe …
Persistent link: https://www.econbiz.de/10011435972
Cover Image
Long-run forecasting in multicointegrated systems
Engsted, Tom; Siliverstovs, Boriss; Haldrup, Niels - 2003
We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to …, this new loss function entails high and increasing forecasting gains compared to both the standard MSFE criterion and …
Persistent link: https://www.econbiz.de/10011439254
Cover Image
Liquidity and asset prices : how strong are the linkages?
Dreger, Christian; Wolters, Jürgen - 2009
The appropriate design of monetary policy in integrated financial markets is one of the most challenging areas for central banks. One hot topic is whether the rise in liquidity in recent years has contributed to the formation of price bubbles in asset markets. If strong linkages exist, the...
Persistent link: https://www.econbiz.de/10003807460
Cover Image
Price formation on the EuroMTS platform
Caporale, Guglielmo Maria; Girardi, Alessandro - 2010
This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...
Persistent link: https://www.econbiz.de/10003934756
Cover Image
Price discovery and trade fragmentation in a multi-market environment : evidence from the MTS system
Caporale, Guglielmo Maria; Girardi, Alessandro - 2011
This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of...
Persistent link: https://www.econbiz.de/10009487898
Cover Image
The state dependent impact of bank exposure on sovereign risk
Podstawski, Maximilian; Velinov, Anton - 2016 - This version: February 11, 2016
The theoretical literature remains inconclusive on whether changes in bank exposure towards the domestic sovereign have an adverse effect on the sovereign risk position via a diabolic loop in the sovereign-bank nexus or reduce perceived default risk by acting as a disciplinary device for the...
Persistent link: https://www.econbiz.de/10011436025
Cover Image
The multifaceted impact of US trade policy on financial markets
Boer, Lukas; Menkhoff, Lukas; Rieth, Malte - 2021 - This (updated) version: May 2022
We study the multifaceted effects of trade policy shocks on financial markets using a structural vector autoregression identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively....
Persistent link: https://www.econbiz.de/10013253669
Cover Image
The multifaceted impact of US trade policy on financial markets
Boer, Lukas; Menkhoff, Lukas; Rieth, Malte - 2021
We study the multifaceted effects and persistence of trade policy shocks on financial markets in a structural vector autoregression. The model is identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously,...
Persistent link: https://www.econbiz.de/10012589569