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Global Risk and the Dollar
Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2021
How does global risk impact the world economy? In taking up this question, we focus on the dollar’s role in the international adjustment mechanism. First, we rely on high-frequency surprises in the price of gold to identify the effects of global risk shocks in a Bayesian Proxy VAR model. They...
Persistent link: https://www.econbiz.de/10013310676
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Inflation and Inflation Uncertainty in the Euro Area
Caporale, Guglielmo Maria - 2010
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … change associated with the start of EMU in 1999. The main findings are as follows. Steadystate inflation and inflation … can achieve lower inflation uncertainty by lowering the inflation rate …
Persistent link: https://www.econbiz.de/10013141028
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Macroeconomic Uncertainty and the Impact of Oil Shocks
Van Robays, Ine - 2014
This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil demand and supply shocks. The results show that...
Persistent link: https://www.econbiz.de/10013065408
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What Can Probability Forecasts Tell Us About Inflation Risks?
Garcia, Juan A. - 2007
A crucial but often ignored element of inflation expectations is the amount of perceived inflation risk. This paper …) using a new methodology. The main conclusion from our analysis is that, when monitoring inflation expectations, limiting … attention to a point prediction is not sufficient. The analysis of inflation expectations should take into account inflation …
Persistent link: https://www.econbiz.de/10012775829
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Deflationary Financial Shocks and Inflationary Uncertainty Shocks : An SVAR Investigation
De Santis, Roberto A.; Van der Veken, Wouter - 2022
What are the economic implications of financial and uncertainty shocks? We show that financial shocks cause a decline in output and goods prices, while uncertainty shocks cause a decline in output and an increase in goods prices. In response to un-certainty shocks, firms increase their markups,...
Persistent link: https://www.econbiz.de/10014076665
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Cross-border diversification in bank asset portfolios
Buch, Claudia M.; Driscoll, John C.; Ostergaard, Charlotte - 2005
Taking the mean-variance portfolio model as a benchmark, we compute the optimally diversified portfolio for banks located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We compare these optimal portfolios to the actual cross-border assets of banks...
Persistent link: https://www.econbiz.de/10011604475
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Towards European monetary integration: the evolution of currency risk premium as a measure for monetary convergence prior to the implementation of currency unions
González, Fernando; Launonen, Simo - 2005
We assess monetary convergence preceding the implementation of the European Monetary Union (EMU) through Kalman filtering estimates of the risk premium of eleven forward exchange rates of European and non-European currencies. Since all participating currencies are in effect identical from...
Persistent link: https://www.econbiz.de/10011604615
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The geography of international portfolio flows, international CAPM and the role of monetary policy frameworks
De Santis, Roberto A. - 2006
Using bilateral data on international equity and bond flows, we find that the prediction of the International Capital Asset Pricing Model is partially met and that global equity markets might be more integrated than global bond markets. Moreover, over the turbulent 1998-2001 period characterised...
Persistent link: https://www.econbiz.de/10011604724
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The uncovered return parity condition
Cappiello, Lorenzo; De Santis, Roberto A. - 2007
This paper proposes an equilibrium relationship between expected exchange rate changes and differentials in expected returns on risky assets. We show that when expected returns on a risky asset in a certain economy are higher than the returns that are expected from investing in a risky asset in...
Persistent link: https://www.econbiz.de/10011604858
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What lies beneath the euro's effect on financial integration? Currency risk, legal harmonization, or trade?
Kalemli-Ozcan, Sebnem; Papaioannou, Elias; Peydró, … - 2010
Although recent research shows that the euro has spurred cross-border financial integration, the exact mechanisms remain unknown. We investigate the underlying channels of the euro’s effect on financial integration using data on bilateral banking linkages among twenty industrial countries in...
Persistent link: https://www.econbiz.de/10011605262