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Systemic tail risk: high-frequency measurement, evidence and implications
Erdemlioglu, Deniz; Neely, Christopher J.; Yang, Xiye - 2023
Persistent link: https://www.econbiz.de/10014320683
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Assessing the uncertainty in central banks' inflation outlooks
Knüppel, Malte; Schultefrankenfeld, Guido - In: International journal of forecasting 35 (2019) 4, pp. 1748-1769
Persistent link: https://www.econbiz.de/10012305527
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On business cycle fluctuations in USA macroeconomic time series
Kiani, Khurshid M. - In: Economic modelling 53 (2016), pp. 179-186
Persistent link: https://www.econbiz.de/10011640993
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Monetary policy uncertainty and jumps in advanced equity markets
Bouri, Elie; Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: Journal of risk 23 (2020/2021) 1, pp. 101-112
Persistent link: https://www.econbiz.de/10012500112
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The term structure of inflation expectations
Adrian, Tobias (contributor); Wu, Hao (contributor) - 2009
break-even inflation rates when market volatility is high. Our model’s ability to be updated weekly makes it suitable for … real-time monetary policy analysis. -- Affine term structure models ; inflation expectations ; stochastic volatility …
Persistent link: https://www.econbiz.de/10003812556
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Modelling impact of monetary policy on stock market liquidity : a dynamic copula approach
Chu, Xiaojun - In: Applied economics letters 22 (2015) 10/12, pp. 820-824
Persistent link: https://www.econbiz.de/10011286077
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The high-frequency asymmetric response of stock returns to monetary policy for high oil price events
Tsai, Chun-li - In: Energy economics 36 (2013), pp. 166-176
Persistent link: https://www.econbiz.de/10009724743
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The impact of monetary policy on bond returns: a segmented markets approach
Mizrach, Bruce Marshall; Occhino, Filippo - In: Journal of economics & business 60 (2008) 6, pp. 485-501
Persistent link: https://www.econbiz.de/10003815406
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The impact of monetary policy on bond returns volatility : a segmented markets approach
Mizrach, Bruce Marshall (contributor);  … - 2004 - [Elektronische Ressource]
matches their volatility as a function of maturity. …
Persistent link: https://www.econbiz.de/10001889186
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Monetary Policy and Exchange Rate Returns : Time-Varying Risk Regimes
Calomiris, Charles W. - 2019
We develop an empirical model of exchange rate returns, applied separately to samples of developed (DM) and developing (EM) economies' currencies against the dollar. Monetary policy stance of the global central banks, measured via a natural-language-based approach, has a large effect on exchange...
Persistent link: https://www.econbiz.de/10012889481