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Endividamento antes e após a introdução do euro: análise ARDL do caso português

Gaspar, Catarina; Fuinhas, José Alberto; Marques, … - 2014

were used. The UECM of the ARDL model was applied which allowed capturing the long-run and short-run effects. The results … the presence of different variables in explaining the level of indebtedness in both periods. In the first period (1991M1 …- 1998M12), only financial effort is relevant when explaining the level of indebtedness of the economic agents. In the second …

Persistent link: https://www.econbiz.de/10015243167

Does Fed Funds Target Interest Rate Lead Bank of England’s Bank Rate and European Central Bank’s Key Interest Rate?

Çelik, Sadullah; Deniz, Pınar - 2009

It has been a long debate whether Fed Funds target interest rate (FFTR) has significant explanatory power on interest rates in other countries. In this paper, we analyze the effects of FFTR on Bank of England (BOE) bank rate and European Central Bank (ECB) key interest rate employing-the rather...

Persistent link: https://www.econbiz.de/10015216565

Policy Brief: The Effects of Interest Rate Volatility and Money Demand in Sierra Leone using ARDL Estimation

Daboh, Foday; Jackson, Emerson Abraham - 2024

instability. Using the ARDL model and bolstered by the stability exhibited in CUSUM and CUSUM square tests, we explore the impact …

Persistent link: https://www.econbiz.de/10015213546

Estimación de la estructura de tasas utilizando el modelo Dinámico Nelson Siegel: resultados para Chile y EEUU

Alfaro, Rodrigo; Becerra, Juan Sebastian; Sagner, Andres - 2010

The model proposed by Nelson and Siegel (1987) has been used for several researcher to fit the yield curve. In this paper we propose a discrete-time version of that model by using dynamic factors, such that the model is dynamic in the sense proposed by Diebold and Li (2006). We found the exact...

Persistent link: https://www.econbiz.de/10015223702

The Term Structure of Interest Rate as a Predictor of Inflation and Real Economic Activity: Nonlinear Evidence from Turkey

Omay, Tolga - 2008

This study investigates whether the term structure of interest rates contains useful information about future real economic activity and inflation in Turkey during the 1991:7-2004:3 periods. In order to analyze these relationships, we have employed the Generalized Impulse Response (GIRF)...

Persistent link: https://www.econbiz.de/10015225485

The expectations hypothesis of the term structure: some empirical evidence for Portugal

Silva Lopes, Artur C.; M. Monteiro, Olga Susana - 2007

The purpose of this paper is to test the (rational) expectations hypothesis of the term structure of interest rates using Portuguese data for the interbank money market. The results obtained support only a very weak, long-run or "asymptotic" version of the hypothesis, and broadly agree with...

Persistent link: https://www.econbiz.de/10015229070

The Exchange Rate and Interest Rate Differential Relationship: Evidence from Two Financial Crises

Li, Kui-Wai; Wong, Douglas K T - 2011

This paper examines the contemporaneous and inter-temporal interaction between real exchange rate and real interest rate differential in the two financial crises of 1997 and 2008 by using data from thirteen countries from different world regions. The empirical result shows that negative...

Persistent link: https://www.econbiz.de/10015229682

Volatility and liquidity in the Italian money market

Palombini, Edgardo - 2003

This paper constructs unbiased and model-free measures of daily and hourly volatility of the overnight interest rate negotiated on the Italian interbank deposits market (e-MID) using high-frequency transaction data. We find that the largest increases in volatility and the most notable variations...

Persistent link: https://www.econbiz.de/10015234659

Impact of Total, Internal and External Government Debt on Interest Rate in Pakistan

Perveen, Asma; Munir, Kashif - 2017

loanable fund theory as theoretical model and ARDL bound testing approach for cointegration and Granger causality test to …

Persistent link: https://www.econbiz.de/10015258679

Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile

Pincheira, Pablo; Neumann, Federico - 2018

We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...

Persistent link: https://www.econbiz.de/10015262273