Similar Search Results

Firm-level exchange rate exposure in the Eurozone

Hutson, Elaine; O'Driscoll, Anthony

Using a sample of 1154 European firms from 11 countries, we show that firm-levelexchange exposure for Eurozone and non-Eurozone … European firms has increased sincethe introduction of the euro, but this rise was smaller for Eurozone than non … Eurozone countries, so the advent of the euroappears to have been associated with a shift in exchange risk from systematic to …

Persistent link: https://www.econbiz.de/10009475709

Imperfectly competitive cycles with Keynesian and Walrasian features

Kaas, Leo; Madden, Paul - 2005

We consider a multi-sector overlapping generations model with oligopolistic firms in the output markets and wage-setting trade unions in the labour markets. A coordination problem between firms creates multiple temporary equilibria which are either Walrasian or of the Keynesian unemployment...

Persistent link: https://www.econbiz.de/10009471636

Stabilizing chaos in a dynamic macroeconomic model

Kaas, Leo - 1998

Within a macroeconomic disequilibrium model it turns out that stationary and simple adaptive policies are not capable of stabilizing efficient steady states and lead to periodic or irregular fluctuations for large sets of policy parameters. The application of recent control methods for chaotic...

Persistent link: https://www.econbiz.de/10009471677

Empirical Puzzles of Chilean Stabilization Policy

Calvo, Guillermo A.; Mendoza, Enrique G. - 1998

This paper reviews Chilean stabilization policy during the 1990s andargues that, while the merits of Chilean policy should be praised, there are fourpuzzles in conventional interpretations of the Chilean experience worth studying.First, the policy of targeting indexed interest rates does not...

Persistent link: https://www.econbiz.de/10009450769

Zinssensitivität und Fristentransformation deutscher Finanzdienstleister – Eine empirische Untersuchung anhand von Kapitalmarktdaten

Simon, Stephan Kurt Hermann - 2008

1. Fragestellung und MotivationDie Übernahme und Transformation von Zinsrisiken ist eine wesentliche Leistung von Finanzdienstleistern.In der Literatur sind zahlreiche Ansätze identifizierbar, die das Zinsänderungsrisiko von Finanzdienstleistern erfassen. Während frühe Arbeiten meist auf...

Persistent link: https://www.econbiz.de/10009447147

Essays on financial markets and the macroeconomy

Mönch, Emanuel - 2006

Charakterisierung der Geldpolitik wird dann die Zinsstruktur unter der Annahme fehlender Arbitragemöglichkeiten hergeleitet. Das …. Die Analyse offenbart, dass der "curvature"-Faktor informativer in Bezug auf die zukünftige Entwicklung der Zinsstruktur …

Persistent link: https://www.econbiz.de/10009467089

Vergleich statistischer Zinsmodelle

Scheck, Dominik - 2001

In der vorliegenden Arbeit werden im theoretischen Teil die bekannten Verfahren zur Schätzung der deutschen Zinsstrukturkurve vorgestellt.Im praktischen Teil werden drei Modelle an Hand von wöchentlichen Anleihepreisdaten von Januar 1999 bis Dezember 2000 miteinanderverglichen. Außerdem...

Persistent link: https://www.econbiz.de/10009471672

Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives

HEIDARI, MASSOUD; WU, LIUREN - 2002

Dynamic term structure models (DTSMs) price interest rate derivatives based on the modelimplied fair values of the yield curve, ignoring any pricing residuals on the yield curve that are either from model approximations or market imperfections. In contrast, option pricing in practice often takes...

Persistent link: https://www.econbiz.de/10009440749

The Yield Curve as a Predictor of Growth and Recession in Australia

Karunaratne, Neil Dias - 1999

This paper estimates the slope of the yield curve using quarterly data on real GDP and the nominal spread proxied by the difference in returns from the 10 year bond rate and the 90 day bill rate. The time-series analysis after proper unit root tests using stationary variables revealed that the...

Persistent link: https://www.econbiz.de/10009447991

Essays on Interest Rate Analysis with GovPX Data

Park, Joon Y. (contributor) - 2009

U.S. Treasury Securities are crucially important in many areas of finance. However, zero-coupon yields are not observable in the market. Even though published zero-coupon yields exist, they are sometimes not available for certain research topics or for high frequency. Recently, high frequency...

Persistent link: https://www.econbiz.de/10009465113