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Essays on monetary economics and financial economics
Jansen, Dennis (contributor) - 2006
In this dissertation three different economic issues have been analyzed. The firstissue is whether monetary policy rules can improve forecasting accuracy of inflation.The second is whether the preference of a central bank is symmetry or not. The last issueis whether the behavior of aggregate...
Persistent link: https://www.econbiz.de/10009465152
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Price Transmission Asymmetries and Nonlinearities in the International Coffee Supply Chain
Lee, Jun; Gomez, Miguel I. - 2011
We examine two distinct and important dimensions (e.g. symmetry vs. asymmetry and linearity vs. nonlinearity) of price …
Persistent link: https://www.econbiz.de/10009444363
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Network effects, compatibility, and adoption of standards
Grajek, Michał - 2005
standard and international trade. The estimation results allow us to formulate some interesting policy conclusions. …
Persistent link: https://www.econbiz.de/10009467122
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Asymmetrische Effekte der Geldpolitik auf die Industrie in der Bundesrepublik Deutschland - eine Untersuchung auf Branchenebene
Hock, Thorsten - 2003
Die Arbeit setzt sich mit Unterschieden des geldpolitischen Transmissionsprozesses im Verarbeitenden Gewerbe der Bundesrepublik Deutschland auseinander. Dazu wird der Sektor nach der Systematik der BACH-Datenbank der europäischen Kommission in 10 Branchen eingeteilt. An eine kurze Betrachtung...
Persistent link: https://www.econbiz.de/10009433722
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The Levered Equity Risk Premium and Credit Spreads: A Unified Framework
Bhamra, Harjoat S.; Kuehn, Lars-Alexander; Strebulaev, … - 2009
We embed a structural model of credit risk inside a dynamic continuous-time consumption-based asset pricing model, which allows us to price equity and corporate debt in a unified framework. Our key economic assumptions are that the first and second moments of earnings and consumption growth...
Persistent link: https://www.econbiz.de/10009441109
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Does the US Government Hedge against Fiscal Risk?
Berndt, Antje; Lustig, Hanno; Yeltekin, Sevin - 2009
We develop a method for measuring the amount of insurance the portfolio of government liabilities provides against scal shocks, and apply it to postwar US data. We dene scal shocks as surprises in defense spending. Our results indicate that the US federal government is partially hedged against...
Persistent link: https://www.econbiz.de/10009441130
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Review of monetary policy in South Africa since 1994
Aron, Janine; Muellbauer, John - 2006
and reasonable predictability of monetary policy since adopting inflation targeting in 2000. The SA Reserve Bank's view on …
Persistent link: https://www.econbiz.de/10009441502
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Two essays on the predictability of asset prices:"Benchmarking problems and long horizon abnormal returns"and,"Low R square in the cross section of expected returns"
Sanchez, Benito - 2007
This dissertation consists of two essays on predictability of asset prices. "Benchmarkingproblems and long horizon … in the benchmark measurementor estimation of the price of market risk the difference in R-squares can be quite large due …
Persistent link: https://www.econbiz.de/10009468641
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The research of usage of shares valuation models for stock market predictability in Vilnius stock exchange
Jagminas, Lauras - 2008
The purpose of this diploma paper is to choose the most suitable methods and models of stock market predictability … after the evaluation of the peculiarities of Lithuanian’s and perform the research of stock price predictability. This … predictability are analysed in the first chapter of this work. The methodology of predictability research of Lithuanian’s stock …
Persistent link: https://www.econbiz.de/10009478732
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Economic significance of predictability in Australian equities
Gray, P. - 2008
This paper examines evidence of predictability in Australian equities using both statistical and economic metrics of … economically significant degree of return predictability. A $A1 investment in the switching strategy (market) in January 1980 grows … metrics of return predictability can lead to divergent conclusions, and to emphasize the importance of subjecting apparent …
Persistent link: https://www.econbiz.de/10009448712