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Interpreting implied risk-neutral densities

Hördahl, Peter; Vestin, David - 2003

This paper examine differences between risk-neutral and objective probability densities of future interest rates. The identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs, are used as indicators of actual beliefs of...

Persistent link: https://www.econbiz.de/10009635905

Country and sector-specific spillover effects in the euro area, the United States and Japan

Kaltenhaeuser, Bernd - 2003

Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects originating from one of the three currency areas and...

Persistent link: https://www.econbiz.de/10009635881

Identifying fiscal shocks and policy regimes in OECD countries

Arcangelis, Giuseppe de; Lamartina, Serena - 2003

The aim of this paper is twofold. First, for West Germany, France, Italy and US, we econometrically select within a SVAR model some fiscal policy regimes, i.e. a u0094set of rulesu0094 for the implementation of fiscal policies. Second, we identify the fiscal policy shocks related to different...

Persistent link: https://www.econbiz.de/10009635887

Measuring contagion with a Bayesian, time-varying coefficient model

Ciccarelli, Matteo; Rebucci, Alessandro - 2003

To measure contagion empirically, we propose using a Bayesian time-varying coeﬃcient model estimated with Markov ChainMonte Carlo methods. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...

Persistent link: https://www.econbiz.de/10009635914

Pass-through of external shocks to euro area inflation

Hahn, Elke - 2003

This paper investigates the pass-through of external shocks, i.e. oil price shocks, exchange rate shocks, and non-oil import price shocks to euro area inﬂation at different stages of distribution (import prices, producer prices and consumer prices). The analysis is based on a VAR model that...

Persistent link: https://www.econbiz.de/10009635958

Measurement of contagion in banks' equity prices

Gropp, Reint; Moerman, Gerard - 2003

This paper uses the co-incidence of extreme shocks to banksu0092 risk to examine within country and across country contagion among large EU banks. Banksu0092 risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper...

Persistent link: https://www.econbiz.de/10009636520

Inflation and relative price asymmetry

Ratfai, Attila - 2004

By placing store-level price data into bivariate Structural VAR models of inflation and relative price asymmetry, this study evaluates the quantitative importance of idiosyncratic pricing shocks in short-run aggregate price change dynamics. Robustly to alternative definitions of the relative...

Persistent link: https://www.econbiz.de/10009636524

Equilibrium unemployment, job flows and inflation dynamics

Trigari, Antonella - 2004

worker, job creation and job destruction conditional on a shock to monetary policy. Moreover, allowing for variation of the … helps to explain the sluggishness of inflation and the persistence of output after a monetary policy shock. The ability of …

Persistent link: https://www.econbiz.de/10009636527

International risk-sharing and the transmission of productivity shocks

Corsetti, Giancarlo; Dedola, Luca; Leduc, Sylvain - 2004

A central puzzle in international finance is that real exchange rates are volatile and, in stark contradiction to … consumer prices and lower the impact of terms-of-trade changes on optimal agentsu0092 decisions. Two very different patterns of … with a strengthening, the other with a deterioration of the terms of trade and real exchange rate. Evidence on the effect …

Persistent link: https://www.econbiz.de/10009636531

Monetary policy shocks in the euro area and global liquidity spillovers

Sousa, João; Zaghini, Andrea - 2004

including a global liquidity aggregate. The impulse responses obtained show that a positive shock to extra-euro area liquidity …

Persistent link: https://www.econbiz.de/10009636532