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Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

Persistent link: https://www.econbiz.de/10009636533

Taking stock

Ehrmann, Michael; Fratzscher, Marcel - 2004

is a directional change in the monetary policy stance and during periods of high market uncertainty. We show that …

Persistent link: https://www.econbiz.de/10009639408

The informational content of over-the-counter currency options

Christoffersen, Peter; Mazzotta, Stefano - 2004

Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset...

Persistent link: https://www.econbiz.de/10009639420

Liquidity, information, and the overnight rate

Ewerhart, Christian; Cassola, Nuno; Ejerskov, Steen; … - 2004

We model the interbank market for overnight credit with heterogeneous banks and asymmetric information. An unsophisticated bank just trades to compensate its liquidity imbalance, while a sophisticated bank will exploit its private information about the liquidity situation in the market. It is...

Persistent link: https://www.econbiz.de/10009639432

An empirical study of liquidity and information effects of order flow on exchange rate

Breedon, Francis; Vitale, Paolo - 2004

We propose a simple structural model of exchange rate determination which draws from the analytical framework recently proposed by Bacchetta and van Wincoop (2003) and allows us to disentangle the liquidity and information effects of order flow on exchange rates. We estimate this model employing...

Persistent link: https://www.econbiz.de/10009639485

Price and trading response to public information

Malinowska, Magdalena - 2010

In their seminal paper French and Roll (1986) postulate that public information affects prices before anyone can trade on it. In contrast, several models assuming heterogeneous investors show that public news releases are directly followed by high trading volume. Empirical evidence on this...

Persistent link: https://www.econbiz.de/10009640364

Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area

Kavonius, Ilja Kristian; Castrén, Olli - 2009

The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock … extend this accounting-based network of interlinked exposures to risk-based balance sheets which are sensitive to changes in … constitute important channels through which local risk exposures and balance sheet dislocations can be transmitted, with the …

Persistent link: https://www.econbiz.de/10009640455

The stock market reaction to the 2005 non-tradable share reform in China

Beltratti, Andrea; Bortolotti, Bernardo; Caccavaio, Marianna - 2011

stage of financial market development. Our analysis, based on the time series of risk factors and on the cross section of …

Persistent link: https://www.econbiz.de/10009640778

does aggregating forecasts by HICP component improve forecast accuracy?

Hubrich, Kirstin - 2003

series models and distinguishes between different forecast horizons, HICP components and inﬂation measures. Various … indicate that aggregating forecasts by component does not necessarily help forecast year-on-year inﬂation twelve months …

Persistent link: https://www.econbiz.de/10009635954

Budgetary forecasts in Europe - the track record of stability and convergence programmes

Strauch, Rolf; Hallerberg, Mark; Hagen, Jürgen von - 2004

that the cyclical position and the form of fiscal governance are major determinants of forecast biases. Projected changes …

Persistent link: https://www.econbiz.de/10009636530