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A tale of four tails: Inflation, the policy rate, longer-term rates, and stock prices
Anene, Dominic; D'Amico, Stefania - 2017
We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail...
Persistent link: https://www.econbiz.de/10012030329
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The economics of options-implied inflation probability density functions
Kitsul, Yuriy; Wright, Jonathan H. - 2012
quotes on these derivatives to construct probability densities for inflation. We study how these pdfs respond to news …
Persistent link: https://www.econbiz.de/10010397781
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Financial transactions taxes
Shome, Parthasarathi - 2011
taxes (FTT). It includes examples of FTT in the wider context, for example, on stocks and derivatives, currency transactions …
Persistent link: https://www.econbiz.de/10011807660
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Managing finance in emerging economies: The case of India
Sen, Sunanda - 2010
India has been experiencing rising inflows of overseas capital since the deregulation of its financial sector. Often looked upon as a success story among other emerging economies, the country has been subject to pitfalls and trilemmas that deserve attention. It has been officially recognized by...
Persistent link: https://www.econbiz.de/10010286487
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Multivariate return decomposition: Theory and implications
Anatolyev, Stanislav; Gospodinov, Nikolay - 2015
directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We …
Persistent link: https://www.econbiz.de/10011460618
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Foreign exchange predictability during the financial crisis: Implications for carry trade profitability
Anatolyev, Stanislav; Gospodinov, Nikolay; Jamali, Ibrahim - 2015
In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...
Persistent link: https://www.econbiz.de/10011460619
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A flexible copula regression model with Bernoulli and Tweedie margins for estimating the effect of spending on mental health
Marra, Giampiero; Fasiolo, Matteo; Radice, Rosalba; … - 2022
endogeneity of spending in a flexible copula regression model with Bernoulli and Tweedie margins and discuss its implementation in …
Persistent link: https://www.econbiz.de/10013262907
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Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang; Virbickaite, Audrone - 2022
propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship … show that investment portfolios, based on the proposed DSM copula model, are more accurate and produce better economic …
Persistent link: https://www.econbiz.de/10013331916
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Does Joint Modelling of the World Economy Pay Off? Evaluating Global Forecasts from a Bayesian GVAR
Dovern, Jonas; Feldkircher, Martin; Huber, Florian - 2015
density into its marginals and a copula term capturing the dependence structure across countries. The GVAR outperforms …
Persistent link: https://www.econbiz.de/10013370117
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Aggregate density forecast of models using disaggregate data - A copula approach
Paulsen, Kenneth Sæterhagen; Fastbø, Tuva Marie; … - 2022
We propose a novel copula approach to producing density forecasts of economic aggregates combining models using … disaggregate data. Our copula approach is more flexible compared to existing techniques, because it is applicable to any … consumer price index for underlying inflation (CPI-ATE). We find that the copula approach compares well to alternative methods …
Persistent link: https://www.econbiz.de/10013373835