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Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data
Ülkü, Numan; Weber, Enzo - In: Journal of Banking & Finance 37 (2013) 8, pp. 2733-2749
This paper introduces a new method for identifying the simultaneity between returns and trading flows. The proposed method enables us to identify the intraday interaction using daily data, and provides measures of the information content of trading flows, and their instantaneous response to...
Persistent link: https://www.econbiz.de/10011065736
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Non-stationary interest rate differentials and the role of monetary policy
Matros, Philipp; Weber, Enzo - 2011
bivariate cointegration between domestic and foreign interest rates. We explain non-stationarity of the interest differential … stochastic trend into the system. Trivariate cointegration between the interest rates and the exchange rate accounts for the …
Persistent link: https://www.econbiz.de/10010281908
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Non-stationary interest rate differentials and the role of monetary policy
Matros, Philipp; Weber, Enzo - 2011
bivariate cointegration between domestic and foreign interest rates. We explain non-stationarity of the interest differential … stochastic trend into the system. Trivariate cointegration between the interest rates and the exchange rate accounts for the … ; Monetary Policy Rules ; Cointegration ; Vector-Error Correction Model …
Persistent link: https://www.econbiz.de/10009511974
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Non-Stationary Interest Rate Differentials and the Role of Monetary Policy
Matros, Philipp - 2011
bivariate cointegration between domestic and foreign interest rates. We explain non-stationarity of the interest differential … stochastic trend into the system. Trivariate cointegration between the interest rates and the exchange rate accounts for the …
Persistent link: https://www.econbiz.de/10013124253
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Non-Stationary Interest Rate Differentials and the Role of Monetary Policy
Matros, Philipp; Weber, Enzo - Wirtschaftswissenschaftliche Fakultät, Universität … - 2010
bivariate cointegration between domestic and foreign interest rates. We explain non-stationarity of the interest differential … stochastic trend into the system. Trivariate cointegration between the interest rates and the exchange rate accounts for the …
Persistent link: https://www.econbiz.de/10008764303
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Non-Stationary Interest Rate Differentials and the Role of Monetary Policy
Matros, Philipp; Weber, Enzo - Institut für Ost- und Südosteuropaforschung (IOS) - 2011
bivariate cointegration between domestic and foreign interest rates. We explain non-stationarity of the interest differential … stochastic trend into the system. Trivariate cointegration between the interest rates and the exchange rate accounts for the …
Persistent link: https://www.econbiz.de/10008854244
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What happened to the transatlantic capital market relations?
Weber, Enzo - 2007
European and US government bond yields. Since the mid-1990s though, cointegration can only be achieved additionally considering …
Persistent link: https://www.econbiz.de/10010263680
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Economic integration and the foreign exchange
Weber, Enzo - 2007
This paper demonstrates effects of economic convergence processes on the foreign exchange behaviour in a monetary modelling approach. Since the exchange rate represents the relative price of two currencies, commonness of stochastic trends between the fundamental determinants of supply and demand...
Persistent link: https://www.econbiz.de/10010263691
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Macro wine in financial skins: the Oil-FX interdependence
Weber, Enzo - 2008
This paper analyses mutual causalities between crude oil price and euro / US dollar exchange rate. Instead of focusing on long-run macroeconomic linkages like the bulk of the relevant literature takes a financial markets perspective using daily data. The fast-running simultaneousimpacts are...
Persistent link: https://www.econbiz.de/10010263739
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Macro Wine in Financial Skins: The Oil-FXInterdependence
Weber, Enzo - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
This paper analyses mutual causalities between crude oil price and euro / US dollar exchange rate. Instead of focusing on long-run macroeconomic linkages like the bulk of therelevant literature, the present approach takes a financial markets perspective using daily data. The fast-running...
Persistent link: https://www.econbiz.de/10005860502