Employing an augmented univariate EGARCH model, we estimate the dynamic impact of information arrival as measured by volume on asymmetric news in the pre and post 2009 global financial crisis in the Athens Stock Exchange (ASE). Our results reveal that trading volume appears to capture a...

The purpose of this paper is to provide a method by which the economic value of loan advice can be measured. This is achieved by defining advice in terms of the forecasts of future repayments in order to produce a disutility-minimising loan strategy. The economic value of this strategy is then...

This paper employs the Bai and Perron (1998, 2003) structural break methodology to investigate whether the CAPM betas for banking sector stocks are time invariant. I find evidence for three large structural shifts in my monthly (1941.02–2008.01) sample. The third break corresponds with a...

This article provides a procedure for the estimation of parametric homogeneous stochastic volatility (SV) pricing formulae based on option data. Our estimator has the advantage of being (i) based on option data, (ii) easy to implement in practice, (iii) with clear statistic properties and (iv)...

In this note, we quantify the deterioration of achievable stabilization outcomes when monetary policy operates under imperfect credibility and weak anchoring of long-term expectations. Within a medium-scale Dynamic Stochastic General Equilibrium (DSGE) model, we introduce, through a simple...

This letter evaluates forecasts from probit models that use the slope of the yield curve to forecast recessions. These models give reliable non-probabilistic warnings of recessions, but the estimated probabilities do not match the conditional frequency of recession months.

We suggest a new unit-root test with a Fourier function in the deterministic term in a Dickey–Fuller type regression framework. Our suggested test can complement the Fourier LM and DF-GLS unit root tests. They have good size and power properties.

We reassess the relationship between money and output using quarterly data from the US economy. We use several tools based on wavelets, the wavelet power transform and the wavelet coherence with which we analyze this relationship in both time and frequency. We find evidence of a weaker...

This study shows that the private sector accurately predicts short-term interest rate targets set by the Brazilian monetary authorities. With increased transparency under inflation targeting, such evidence suggests that the public perceives the central bank as credible.