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Volatility spillovers of Federal Reserve and ECB balance sheet expansions to emerging market economies
Apostolou, Apostolos; Beirne, John - 2017
This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED) and European Central Bank (ECB) to emerging market economies (EMEs) from 2003 to 2014. We find that EME bond markets are most susceptible to positive volatility spillovers from...
Persistent link: https://www.econbiz.de/10011667194
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Volatility spillovers of Federal Reserve and ECB balance sheet expansions to emerging market economies
Apostolou, Apostolos; Beirne, John - 2017
This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED) and European Central Bank (ECB) to emerging market economies (EMEs) from 2003 to 2014. We find that EME bond markets are most susceptible to positive volatility spillovers from...
Persistent link: https://www.econbiz.de/10011636172
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Real-time price discovery in stock, bond and foreign exchange markets
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004
We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...
Persistent link: https://www.econbiz.de/10010298290
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Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - School of Economics and Management, University of Aarhus - 2007
Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps, hence high-frequency stock, bond and exchange rate dynamics...
Persistent link: https://www.econbiz.de/10005440071
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Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004
We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...
Persistent link: https://www.econbiz.de/10005022409
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Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting
Georgetown University, Department of Economics - 2005
This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro … model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine … forecasting over horizons from one day to one month (the one-month horizon being where micro and macro analysis begin to overlap …
Persistent link: https://www.econbiz.de/10005622961
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Dynamic currency linkages between select emerging market economies: An empirical study
Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-31
correlation (ADCC)-EGRARCH framework, we find that the average correlation between BRIS currencies in the pre-crisis period is low … and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and …
Persistent link: https://www.econbiz.de/10014001605
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Dynamic currency linkages between select emerging market economies : an empirical study
Mittal, Arjun; Sehgal, Sanjay; Mittal, Anand - In: Cogent economics & finance 7 (2019) 1, pp. 1-31
correlation (ADCC)-EGRARCH framework, we find that the average correlation between BRIS currencies in the pre-crisis period is low … and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and …
Persistent link: https://www.econbiz.de/10014232595
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Wool and Wool-Based Textiles in the West European Economy, c.800 - 1500: Innovations and Traditions in Textile Products, Technology, and Industrial Organisation
Munro, John H. - University of Toronto, Department of Economics - 2000
This paper is a necessary companion to the one entitled The West European Woollen Industries and their Struggles for International Markets, c.1000 - 1500. No one can properly comprehend that five-century history of international competition for textile markets, without some basic understanding...
Persistent link: https://www.econbiz.de/10005827217
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The Changing Fortunes of Fairs in Medieval and Early Modern Europe: Warfare, Transaction Costs, and the 'New Institutional Economics'
Munro, John H. - University of Toronto, Department of Economics - 2000
This paper revisits, modifies, and combines elements of three major 'institutional' international-trade models, none of which has yet fully received the attention that it deserves, to provide a new explanation for the growth, decline, and then rebirth of internationally-oriented fairs in the...
Persistent link: https://www.econbiz.de/10005827218