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Volatility of interest rates in the euro area

Cassola, Nuno; Morana, Claudio - 2003

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …

Persistent link: https://www.econbiz.de/10009635972

Risk sharing through financial markets with endogenous enforcement of trades

Köppl, Thorsten V. - 2004

When people share risk in financial markets, intermediaries provide costly enforcement for most trades and, hence, are an integral part of financial marketsu0092 organization. We assess the degree of risk sharing that can be achieved through financial markets when enforcement is based on the...

Persistent link: https://www.econbiz.de/10009636542

Interpolation and backdating with a large information set

Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano - 2003

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...

Persistent link: https://www.econbiz.de/10009635924

Interpolation and backdating with a large information set

Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano - 2003

Persistent link: https://www.econbiz.de/10009640916

Econometric analysis of high dimensional VARs featuring a dominant unit

Pesaran, M. Hashem; Chudik, Alexander - 2010

This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...

Persistent link: https://www.econbiz.de/10009640346

Weak and strong cross section dependence and estimation of large panels

Chudik, Alexander; Pesaran, Hashem; Tosetti, Elisa - 2009

This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...

Persistent link: https://www.econbiz.de/10009640487

Ethical framework for assessing research, production and use of energy

Maurizio SALVI (contributor) - Europäische Kommission / European Group on Ethics in … - 2013

Persistent link: https://www.econbiz.de/10009750609

Non-fundamental exchange rate volatility and welfare

Straub, Roland; Tchakarov, Ivan - 2004

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open … empirically. In the second part, we investigate the effect of non-fundamental exchange rate volatility in a stochastic open …

Persistent link: https://www.econbiz.de/10009636551

Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB

Vähämaa, Sami - 2004

This paper uses data on German government bond futures options to examine the behaviour of market expectations around monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market expectations, as measured by the skewness of...

Persistent link: https://www.econbiz.de/10009636538

Raising rival's costs in the securities settlement industry

Holthausen, Cornelia; Tapking, Jens - 2004

The competition between a central securities depository (CSD) and a custodian bank is analysed in a Stackelberg model. The CSD sets its prices first, the custodian bank follows. There are many investor banks each of which has to decide whether to use the service of the CSD or of the custodian...

Persistent link: https://www.econbiz.de/10009639430