Showing 1 - 10 of 994
Persistent link: https://www.econbiz.de/10000991781
This note examines how the DEM/USD rate and US short-term and long-term interest rates respond to the release of payroll announcements. In contrast to a recent paper by Edison (1997), who employs a linear econometric model, we test the influence of news by comparing the absolute values of the...
Persistent link: https://www.econbiz.de/10010504320
To measure the global spillovers of a Chinese slowdown on the long-term nominal interest rates in the US/Germany, I model the US/German nominal term structure jointly in the post financial crisis (FC) sample, including the Chinese leading indicator as a new factor. I use an affine term structure...
Persistent link: https://www.econbiz.de/10012913804
This paper studies the effects of fiscal policy on GDP, prices and interest rates in 5 OECD countries, using a structural Vector Autoregression approach. Its mains results can be summarized as follows; 1) The effects of fiscal policy on GDP and its components have become substantially weaker in...
Persistent link: https://www.econbiz.de/10013320219
This note examines how the DEM/USD rate and US short-term and long-term interest rates respond to the release of payroll announcements. In contrast to a recent paper by Edison (1997), who employs a linear econometric model, we test the influence of news by comparing the absolute values of the...
Persistent link: https://www.econbiz.de/10010301765
Taking the mean-variance portfolio model as a benchmark, we compute the optimally diversified portfolio for banks located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We compare these optimal portfolios to the actual cross-border assets of banks...
Persistent link: https://www.econbiz.de/10011604475
This paper examines whether macroeconomic convergence is an automatic outcome of forming a currency union by combining an analysis of real interest parity (RIP) in the EU with the argument for the endogeneity of the Optimum Currency Area (OCA) criteria. Using the DF-GLS and the CIPS* panel unit...
Persistent link: https://www.econbiz.de/10010290576
Using recent advances in time-varying spectral methods, this research analyses the growth cycles of the core of the euro area in terms of frequency content and phasing of cycles. The methodology uses the continuous wavelet transform (CWT) and also Hilbert wavelet pairs in the setting of a...
Persistent link: https://www.econbiz.de/10014223612
The purpose of this article is to analyse factors that can influence on the European country's credit rating. The analysis was performed according to the level of economic development in accordance with the division proposed by the World Bank. There were applied static and dynamic panel data...
Persistent link: https://www.econbiz.de/10012981027
We compute optimally diversified international asset portfolios for banks located in France, Germany, Italy, the U.K., and the U.S., using the mean-variance portfolio model with currency hedging. We compare these benchmark portfolios to the actual cross-border asset positions of banks from...
Persistent link: https://www.econbiz.de/10013150715