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Non-fundamental exchange rate volatility and welfare
Straub, Roland; Tchakarov, Ivan - 2004
We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open … empirically. In the second part, we investigate the effect of non-fundamental exchange rate volatility in a stochastic open …
Persistent link: https://www.econbiz.de/10009636551
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The transmission of euro area monetary policy to financially euroised countries
Moder, Isabella - 2021
This paper provides a comprehensive analysis of the interest rate pass-through of euro area monetary policy to retail rates outside the euro area, contributing to the literature on the consequences of unofficial financial euroisation and on the transmission channels of monetary policy...
Persistent link: https://www.econbiz.de/10012648952
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Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012156426
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Starting from a blank page? : semantic similarity in central bank communication and market volatility
Ehrmann, Michael; Talmi, Jonathan - 2017
. It shows that similar press releases generate less market volatility, but that more substantial textual changes after a … sequence of very similar statements lead to much larger volatility. …
Persistent link: https://www.econbiz.de/10011637411
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Fiscal policy and inflation volatility
Rother, Philipp C. - 2004
Among the harmful effects of inflation, the negative consequences of inflation volatility are of particular concern … inflation volatility. Major results are robust for unconditional and conditional inflation volatility, the latter derived from …
Persistent link: https://www.econbiz.de/10009636540
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A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
Hillebrand, Eric (contributor); Schnabl, Gunther (contributor) - 2006
volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …
Persistent link: https://www.econbiz.de/10003337476
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Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - 2009
volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series. - Dynamic … Factor Models ; Multivariate GARCH ; Conditional Covariance ; Inflation Forecasting ; Volatility Forecasting …
Persistent link: https://www.econbiz.de/10003969239
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Fiscal policy and inflation volatility
Rother, Philipp C. (contributor) - 2004
Persistent link: https://www.econbiz.de/10002124898
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The impact of the euro on financial markets
Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006
We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...
Persistent link: https://www.econbiz.de/10003297541
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Inflation and inflation uncertainty in the euro area
Caporale, Guglielmo Maria; Onorante, Luca; Paesani, Paolo - 2010
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates their linkages in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The main...
Persistent link: https://www.econbiz.de/10003993972