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Surfing the waves of globalization: Asia and financial globalization in the context of the trilemma
Aizenman, Joshua; Chinn, Menzie D.; Ito, Hiro - 2011
choices matter for output volatility and the medium-term level of inflation. Greater monetary independence is associated with … lower output volatility while greater exchange rate stability implies greater output volatility, which can be mitigated if a … inflation rate. We find that trilemma policy configurations affect output volatility through the investment or trade channel …
Persistent link: https://www.econbiz.de/10010331079
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Measuring and Predicting Heterogeneous Recessions
Çakmaklı, Cem; Paap, Richard; van Dijk, Dick - 2012
This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with 'mild' and 'severe'...
Persistent link: https://www.econbiz.de/10010500207
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Productivity Shocks and Aggregate Cycles in an Estimated Endogenous Growth Model
Malley, Jim; Woitek, Ulrich - 2009
Using a two-sector endogenous growth model, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate cycles in output, consumption, investment and hours. To contextualize our findings, we also assess whether the human capital...
Persistent link: https://www.econbiz.de/10014207350
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Bilateral Exchange Rates and Jobs
Bekkers, Eddy; Francois, Joseph - 2012
We study the labor market effects of bilateral exchange rate realignment. We place emphasis on the composition of trade, the role of intermediates, and the underlying conditions of the labor market. Employment effects hinge on the fraction exported to and imported from the trading partner. A...
Persistent link: https://www.econbiz.de/10010294878
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Is the Chinese currency substantially misaligned to warrant further appreciation?
Qin, Duo; He, Xinhua - 2010
This study provides quarterly time-series estimates of the misalignment in the REER of the Renminbi (RMB). The estimation is based on a commonly used economic approach, but with a wider and more up-to-date coverage of data and a more extensive use of econometric modelling techniques. Our...
Persistent link: https://www.econbiz.de/10010280745
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Forecasting exchange rates with a large Bayesian VAR
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008
Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the same problem. In this paper, we propose to forecast exchange rates with a...
Persistent link: https://www.econbiz.de/10010280768
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Libor Market Model with Regime-Switching Volatility
Elliott, Robert; Valchev, Stoyan - Institut für Schweizerisches Bankwesen <Zürich> - 2004
This paper provides regime-switching stochastic volatility extensions of the LIBOR market model. First, the … instantaneous forward LIBOR volatility is modulated by a continuous time homogeneous Markov chain. In a second parameterization, the … volatility is modelled by a square root process with a regime-switching reference level. We obtain analytical solutions for the …
Persistent link: https://www.econbiz.de/10005858810
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MCMC method for Markov mixture simultaneous-equation models: a note
Sims, Christopher A.; Zha, Tao - 2004
This paper extends the methods developed by Hamilton (1989) and Chib (1996) to identified multiple-equation models. It details how to obtain Bayesian estimation and inference for a class of models with different degrees of time variation and discusses both analytical and computational difficulties.
Persistent link: https://www.econbiz.de/10010397597
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Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility
Mayer, Klaus; Schmid, Thomas; Weber, Florian - 2011
an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different …
Persistent link: https://www.econbiz.de/10010305714
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Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden.
Berg, Lennart - 2000
seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish … stock market has an impact on and eliminates to some extent seasonal patterns in conditional volatility. The daily turnover … correlated. We can also conclude that a feedback from the US stock market to the conditional volatility in the Swedish market …
Persistent link: https://www.econbiz.de/10010321733