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Foreign exchange market interventions and the $-¥ exchange rate in the long run
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2013
This paper tries to clarify the question of whether foreign exchange market interventions conducted by the Bank of Japan are important for the dollar-yen exchange rate in the long run. Our strategy relies on a re-examination of the empirical performance of a monetary exchange rate model. This is...
Persistent link: https://www.econbiz.de/10010255146
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Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors
Fu, Man; Bidarkota, Prasad V. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 97-132
output gap shows evidence of cointegration in the DJIA and S&P 500 index data. Nonetheless, a sup augmented Dickey …
Persistent link: https://www.econbiz.de/10011555939
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Deviations from triangular arbitrage parity in foreign exchange and Bitcoin markets
Reynolds, Julia E.; Sögner, Leopold; Wagner, Martin - In: Central European journal of economic modelling and … 13 (2021) 2, pp. 105-146
the triangular arbitrage parity for exchange rate triplets from a cointegration perspective. Due to increasing attention …
Persistent link: https://www.econbiz.de/10012619980
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Macroeconomic variables and long-term stock market performance : a panel ARDL cointegration approach for G7 countries
Humpe, Andreas; McMillan, David G. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7
cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We …
Persistent link: https://www.econbiz.de/10013179569
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How stable are monetary models of the dollar-euro exchange rate? : a time-varying coefficient approach
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009
This paper examines the significance of different fundamental regimes by applying various monetary models of the exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro (the DM). We use monthly data from 1975:01 to 2007:12....
Persistent link: https://www.econbiz.de/10010207061
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Foreign exchange market interventions and the $-Yen exchange rate in the long run
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2013
This paper tries to clarify the question of whether foreign exchange market interventions conducted by the Bank of Japan are important for the dollar-yen exchange rate in the long run. Our strategy relies on a re-examination of the empirical performance of a monetary exchange rate model. This is...
Persistent link: https://www.econbiz.de/10009779186
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TFP news, stock market booms and the business cycle : revisiting the evidence with VEC models
Di Casola, Paola; Sichlimiris, Spyridon - 2020
Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter...
Persistent link: https://www.econbiz.de/10012181050
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The present value model of U.S. stock prices revisited : long-run evidence with structural breaks, 1871-2012
Esteve García, Vicente; Navarro Ibáñez, Manuel; … - 2017
regression models, 2010) as well as the cointegration tests developed in Arai and Kurozumi (Testing for the null hypothesis of … cointegration with a structural break, 2007) and Kejriwal (Cointegration with structural breaks: an application to the Feldstein …- Horioka Puzzle, 2008). The results obtained are consistent with the existence of linear cointegration between the log stock …
Persistent link: https://www.econbiz.de/10011745419
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Stock market growth in Ghana : do financial sector reforms matter?
Kamasa, Kofi; Owusu, Linda; Asante, Grace Nkansa - In: Cogent business & management 10 (2023) 1, pp. 1-21
Owing to the significant role of financial sector reforms in economic growth, several studies have examined its transmission channels. This paper focuses on the stock market channel by investigating the impact of financial sector reforms on stock market growth in Ghana from 1990 to 2019. A...
Persistent link: https://www.econbiz.de/10014467956
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The interactions and trade-offs of sovereign Credit Default SWAP (CDS) and bond spreads in a dynamic context
Tampakoudis, Ioannis A.; Tamošiūnas, Andrius; … - In: Journal of business economics and management 20 (2019) 3, pp. 466-488
This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and bond spreads of the highly indebted southern European countries, considering an extensive time sample from the period before the global financial crisis to the latest developments...
Persistent link: https://www.econbiz.de/10012175748