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The effectiveness of stock prices on the phase of short-term interest rates : evidence from Eastern European countries
Yıldırım, Nurtac; Ozcelebi, Oguzhan; Kansu, Aydan - In: Advances in management & applied economics 3 (2013) 4, pp. 21-35
In recent years the issue of the role of asset prices in monetary setting has become increasingly topical since booms and busts in asset market are associated with the fluctuations in overall economic activity through its impacts on aggregate spending. In this study, we use Smooth Transition...
Persistent link: https://www.econbiz.de/10010148062
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An interpretation of an affine term structure model for Chile
Ochoa, J. Marcelo - In: Estudios de economía 33 (2006) 2, pp. 155-184
This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no-arbitrage term structure model for Chile. The dynamics of yields in the model are explained by two latent factors, namely...
Persistent link: https://www.econbiz.de/10009959071
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Empirical testing on uncovered interest rate parity in Malaysia
Jaratin Lily; Mori Kogid; Mohd Rahimie Abd Karim; … - In: Journal of applied finance & banking 1 (2011) 2, pp. 95-114
Malaysia-Singapore has the smallest standard deviation. Moreover, the volatility analysis on the UIRP deviation using simple … volatility shocks on UIRP deviation does not exist in any cases. -- Malaysia ; UIRP ; volatility ; OLS ; GARCH …
Persistent link: https://www.econbiz.de/10010009075
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The impact of the Bank of Japan’s news announcements on the Japanese Yen, US Dollar, and the Euro
Kurihara, Yutaka - In: Journal of applied finance & banking 2 (2012) 3, pp. 39-50
This article examines the impact of news about the Bank of Japan monetary policy announcements regarding the Japanese yen, US dollar, and the Euro interest rates. Whether or not the announcements from the monetary authorities impact the domestic markets is related to the success of their...
Persistent link: https://www.econbiz.de/10010009133
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Simple, compound and continuous interest discounts : a comparative study
Parada-Daza, José Rigoberto - In: Journal of applied finance & banking 3 (2013) 1, pp. 31-43
This article makes an analytical comparison between simple, compound and continuous interest discount factors. It studies the equivalency relations between the three discount factors. An analysis is performed for a limited time period and of normal economy interest rates. It makes use of the...
Persistent link: https://www.econbiz.de/10010118436
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The effect of target federal funds rate changes on the foreign exchange markets : an event study approach
Wang, Alan T.; Hung, Shu-hsun; Jiang, I-ming - In: Journal of applied finance & banking 3 (2013) 3, pp. 117-132
This paper examines the effect of target Federal funds rate changes on major five foreign exchange markets: Canada, Australia, Euro, Japan and the UK during the period from 2000 to 2007. Two different approaches of Rai, Seth and Mohanty (2007) and the event study of Brown and Warner (1980, 1985)...
Persistent link: https://www.econbiz.de/10010148088
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Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox
Sukhomlin, Nikolay; Santana Jiménez, Lisette Josefina - In: Revista de métodos cuantitativos para la economía y … 10 (2010), pp. 73-98
volatility expressed as a function of quantifiable market parameters and known variables. We discover the existence of two values … of the volatility for an underlying asset, in the referred model, which means that the model's traditional assumptions do … not define it univocally. We find the cause that the Black-Cox model contains two values of the volatility. Besides, we …
Persistent link: https://www.econbiz.de/10009957380
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The role of savings in the economic development of the Republic of Azerbaijan
Bairamli, Nagi; Kostoglou, Vassilis - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 99-110
This article aims to analyze the possibilities of the accumulation and mobilization of savings and their role in the economic development of the Republic of Azerbaijan. Currently, the national economic growth is mostly based on the resource components; crude oil, natural gas and oil products....
Persistent link: https://www.econbiz.de/10009958056
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The effect of stock market wealth on private consumption in Zimbabwe
Bindu, Samuel; Chigusiwa, Lloyd; Mazambani, D.; … - In: International journal of economic sciences and applied … 4 (2011) 2, pp. 125-142
The study seeks to examine stock market wealth effects on private non-durable consumption for Zimbabwean households using quarterly data from 1994(1) to 2008(2). The bounds testing approach to cointegration is employed to test the long run relationship between stock market wealth and...
Persistent link: https://www.econbiz.de/10009958072
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¿Cómo valorar los planes de pensiones del sistema individual en España?
García Padrón, Yaiza; García Boza, Juan - In: Estudios de economía 33 (2006) 1, pp. 21-43
We analyse diverse multifactor pricing models in order to determine if they allow to explain the variability of the returns on the personal Pension Plans in Spain between 1995 and 2003, as well as to find their sources of risks. We test the following models: APT, the one suggested by Chen, Roll...
Persistent link: https://www.econbiz.de/10009959069