Showing 1 - 10 of 1,476
We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...
Persistent link: https://www.econbiz.de/10012009157
We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...
Persistent link: https://www.econbiz.de/10012015831
We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...
Persistent link: https://www.econbiz.de/10012029090
Granger Causality test is employed to ascertain the direction of causality. Findings - The F-bounds test reveals cointegration …
Persistent link: https://www.econbiz.de/10015163511
We estimate the response of Asian stock market prices to exogenous monetary policy shocks using a vector error correction model. In our paper, monetary policy transmits to stock market price through three routes: money by itself, exchange rate, and inflation. Our result points to the fact that...
Persistent link: https://www.econbiz.de/10010400823
applies both the cointegration technique and Granger causality within the vector error correction (VEC) framework. The …
Persistent link: https://www.econbiz.de/10012149851
This paper examines the dynamics of euro-denominated (EUR) long-term interest rate swap yields. It shows that the short-term interest rate has an economically and statistically significant effect on EUR swap yields of different maturity tenors, after controlling for various key macroeconomic...
Persistent link: https://www.econbiz.de/10014531240
inflation by estimating a threshold cointegration model. The paper finds that asymmetric monetary shocks passing-through food …
Persistent link: https://www.econbiz.de/10015393663
Persistent link: https://www.econbiz.de/10012176109
Persistent link: https://www.econbiz.de/10012424812