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HERYÁN, Tomáš; STAVÁREK, Daniel - In: European Financial and Accounting Journal 2010 (2010) 3, pp. 42-55

January 2004 to March 2010. Using Johansen cointegration and Granger causality tests on monthly data we investigate long …

Persistent link: https://www.econbiz.de/10011195305

One size does not fit all. A non-linear analysis of European monetary transmission

Cifarelli, Giulio; Paladino, Giovanna - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2014

/or stochastic structural breaks. We detect significant differences across countries. Cointegration between the Euribor and the long …

Persistent link: https://www.econbiz.de/10010942508

Who was in the driving seat in Europe during the nineties, International financial markets or the BUBA?

Hammersland, Roger - Norges Bank - 2004

The purpose of this paper is to reexamine empirically the relationship between long-term interest rates in well integrated ?nancial markets. The analysis focuses on long-term interest rates in the US and Germany and has been carried out within the framework of a ?ve dimensional VAR for the...

Persistent link: https://www.econbiz.de/10005063083

Crédito, Exceso de Toma de Riesgo, Costo del Crédito y Ciclo Económico en Chile

Garcia, Carlos; Sagner, Andrés - ILADES, Facultad de Economía y Negocios - 2011

This paper studies the interaction between the business cycle and the credit market. A first result is that the business cycle has procyclical effects on different types of credit (i.e., consumer, commercial and mortgage loans). The results area obtained through the identification of structural...

Persistent link: https://www.econbiz.de/10010553255

The Role of Monetary Policy Uncertainty in the Term Structure of Interest Rates

Koeda, Junko; Kato, Ryo - Institute for Monetary and Economic Studies, Bank of Japan - 2010

We examine the effect of uncertainty arising from policy-shock volatility on yield-curve dynamics. In contrast to the assumption of many macro-finance models, policy-shock processes appear to be time varying and persistent. We allow for this heteroskedasticity by constructing a no-arbitrage...

Persistent link: https://www.econbiz.de/10008671372

Large T and small N : A three-step approach to the identification of cointegrating relationships in time series models with a small cross-sectional dimension.

Hammersland, Roger - Norges Bank - 2004

This paper addresses cointegration in small cross-sectional panel data models. In addition to dealing with … cointegrating relationships within the cross-sectional dimension, the paper explicitly addresses the issue of cointegration between …

Persistent link: https://www.econbiz.de/10005481451

Regime Sensitive Cointegration with an Application to Interest rate Parity.

Siklos, P.L.; Granger, C.W.J. - Department of Economics, School of Business and Economics - 1997

)), and the presence of cointegration only beyond some threshold (Balke and Fomby (1996)). In this paper we propose the … concept of regime sensitive cointegration whereby the underlying series need not be cointegrated at all times. We show that … cointegration can be switched off when a common stochastic trend is added. Alternatively, cointegration can be switched on or off …

Persistent link: https://www.econbiz.de/10005404478

The French-German Interest Rate Differential since German Unification: The Impact of the 1992 and 1993 EMS Crisis

Henry, Jerome; Weidmann, Jens - University of Bonn, Germany - 1994

The EMS crisis of 1992-1993, which resulted in the widening of the exchange rate bands, may have had some impact on the long-run structure of the system consisting of daily 1-month-Eurorates on German Mark, US-Dollar and French Franc. First, we find that both the US Eurorate and the...

Persistent link: https://www.econbiz.de/10004968284

The impact of the financial crisis on the interbank money markets behavior. Evidence from several CEE transition economies

Mutu, Simona; Breşfelean, Vasile Paul; Göndör, Mihaela - Volkswirtschaftliche Fakultät, … - 2011

cointegration analysis and proposing some Vector Autoregressive models. Finally, we asses the cointegration between the interbank …

Persistent link: https://www.econbiz.de/10011258912

Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure

Soloschenko, Max; Weber, Enzo - Wirtschaftswissenschaftliche Fakultät, Universität … - 2014

This paper deals with simultaneous interactions between the determinants of the US yield curve. For this purpose, we derive a multivariate unobserved components model based on the expectation hypothesis. The influencing factors of the term structure that arise from the structural model are a...

Persistent link: https://www.econbiz.de/10010897015