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The forecasting power of international yield curve linkages
Modugno, Michele; Nikolaou, Kleopatra - 2009
(the US, Germany and the UK). This novel methodology is based on dynamic factor models, the EM algorithm and the Kalman … reveal clear international dependency patterns, strong enough to improve forecasts of Germany and to a lesser extent UK. The …
Persistent link: https://www.econbiz.de/10003832611
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The behaviour of the real exchange rate : evidence from regression quantiles
Nikolaou, Kleopatra (contributor) - 2006
We test for mean reversion in real exchange rates using a recently developed unit root test for non-normal processes based on quantile autoregression inference in semi-parametric and non-parametric settings. The quantile regression approach allows us to directly capture the impact of different...
Persistent link: https://www.econbiz.de/10003358655
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A new approach to measuring competition in the loan markets of the euro area
Leuvensteijn, Michiel van; Bikker, Jacob A.; Rixtel, … - 2007
on the lending markets in the five major EU countries as well as, for comparison, the UK, the US and Japan. Bearing the …, whereas overall loan markets in Germany and Spain were among the best competitive in the EU. The Netherlands occupied a more …, particularly in Germany and the US, than savings and cooperative banks …
Persistent link: https://www.econbiz.de/10003484173
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Monetary Policy Committees : meetings and outcomes
Berk, Jan Marc; Bierut, Beata K. - 2009
Monetary Policy Committees differ in the way the interest rate proposal is prepared and presented in the policy meeting. In this paper we show analytically how different arrangements could affect the voting behaviour of individual MPC members and therefore policy outcomes. We then apply our...
Persistent link: https://www.econbiz.de/10003867075