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Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?

Beckmann, Joscha; Czudaj, Robert - 2013

Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided. In addition, previous studies have mostly neglected...

Persistent link: https://www.econbiz.de/10009771139

Is Switzerland an interest rate island after all? : time series and non-linear switching regime evidence

Feld, Lars P.; Köhler, Ekkehard A. - 2015

Has the "Swiss interest rate anomaly" persisted after the financial crisis? Regarding the hypothesis that the Swiss interest rate anomaly results from systemic risk anticipation, we discuss whether Switzerland remains an interest rate island in the wake of the financial crisis. We find evidence...

Persistent link: https://www.econbiz.de/10011392550

Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2014

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have...

Persistent link: https://www.econbiz.de/10010233639

Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2014

Persistent link: https://www.econbiz.de/10010233991

Can stock price fundamentals properly be captured? : using Markov switching in hetereskedasticity models to test identification schemes

Velinov, Anton - 2013

Structural identification schemes are of essential importance to vector autoregressive (VAR) analysis. This paper tests a commonly used structural parameter identification scheme to assess whether it can properly capture fundamental and non-fundamental shocks to stock prices. In particular, five...

Persistent link: https://www.econbiz.de/10010229662

Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2014

Persistent link: https://www.econbiz.de/10010249640

Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity

Lütkepohl, Helmut; Velinov, Anton - 2016

Long-run restrictions have been used extensively for identifying structural shocks in vector autoregressive (VAR) analysis. Such restrictions are typically justidentifying but can be checked by utilizing changes in volatility. This paper reviews and contrasts the volatility models that have been...

Persistent link: https://www.econbiz.de/10011878239

The relation between monetary policy and the stock market in Europe

Lütkepohl, Helmut; Netšunajev, Aleksei - In: Econometrics : open access journal 6 (2018) 3, pp. 1-14

We use a cointegrated structural vector autoregressive model to investigate the relation between monetary policy in the euro area and the stock market. Since there may be an instantaneous causal relation, we consider long-run identifying restrictions for the structural shocks and also used...

Persistent link: https://www.econbiz.de/10011887655

The relation between monetary policy and the stock market in Europe

Lütkepohl, Helmut; Netšunajev, Aleksei - 2018

We use a cointegrated structural vector autoregressive model to investigate the relation between euro area monetary policy and the stock market. Since there may be an instantaneous causal relation we consider long-run identifying restrictions for the structural shocks and also use (conditional)...

Persistent link: https://www.econbiz.de/10011810177

Hidden Markov models in time series, with applications in economics

Kaufmann, Sylvia - 2016

time series process. Model estimation proceeds by data augmentation. We derive the basic forward-filtering backward …-smoothing/sampling algorithm to infer on the latent state indicator in maximum likelihood and Bayesian estimation procedures. Emphasis is again …. With simulated data, we show that the estimation of parameters under a probit functional form is more efficient. However, a …

Persistent link: https://www.econbiz.de/10011538665