Several models have been developed to capture the dynamics of the conditional correlations between time series of financial returns, but few studies have investigated the determinants of the correlation dynamics. A common opinion is that the market volatility is a major determinant of the...

The monetary authority affects the aggregate demand and investment expenditure via controlling short run interest rates. It is important to satisfy the price stability together with working interest rate channel. This study aims to investigate the validity of interest rate channel in Turkey...

The present paper assesses whether monetary policy effects are asymmetric over the business cycle by estimating a univariate model for GDP including additionally the first difference of the 3-month Austrian interest rate as a measure for monetary policy. The asymmetry of the effects is captured...

The information contained in a large panel data set is used to date historical turning points of the Austrian business cycle and to forecast future ones. We estimate groups of series with similar time series dynamics and link the groups with a dynamic structure. The dynamic structure identifies...

This paper investigates both cross-sectional asymmetry (related to bank-speci.c characteristics like size and liquidity) and asymmetries over time (potentially related to the overall state of the economy) in Austrian bank lending reaction to monetary policy. The first type of asymmetry is...

In the present paper, time series on industrial production growth of individual countries are used to investigate the following questions: (i) Is there a common growth cycle for the euro area countries? (ii) Did the synchronization change over time? (iii) Can we discriminate between a "European"...

This paper studies the effects of central bank intervention during the 1992- 1993 EMS crises on the D-mark/peseta and D-mark/French franc exchange rate. In particular, it is analyzed how interventions affected the probability of a speculative attack and market participants’ expectations...

In the present paper we use a balanced bank panel data set to obtain an inference on two dimensions of the asymmetric response of bank lending to interest rate changes. The cross-sectional dimension is captured by group-specific parameters whereby each bank’s group membership is estimated...

This paper intends to examine the volatility spillover effect between selective developed markets including U.S., U.K., Germany, Japan and Hong Kong over the sample period from 1996 to 2011. We introduce a Markov switching causality method to model the potential instability of volatility...

We develop a formal statistical approach to investigate the possibility that leading indicator variables have different lead times at business cycle peaks and troughs. For this purpose, we propose a novel Markov switching vector autoregressive model, where economic growth and leading indicators...