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Fed and ECB : which is informative in determining the DCC between bitcoin and energy commodities?
Derbali, Abdelkader; Jamel, Lamia; Ltaifa, Monia Ben; … - In: Journal of capital markets studies 4 (2020) 1, pp. 77-102
) meeting dates and production announcements for the dynamic conditional correlation (DCC) between Bitcoin and energy … of DCC as introduced by Engle (2002) during the period from August 11, 2015 to March 31, 2018. Findings The authors … incorporated in variance. These results confirmed the financialization of Bitcoin and commodity energy markets. Finally, the DCC …
Persistent link: https://www.econbiz.de/10012395339
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A Tourism Conditions Index
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2014
the multivariate BEKK model for four TCI indicators to predict specific tourism and economic environmental indicators for …
Persistent link: https://www.econbiz.de/10010227695
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Asymmetric and Symmetric Volatility Models for Exchange Rates in India – The Impact of the Net Purchase of US Dollars by the Central Bank and Net Inflows by Foreign Institutional I...
Shah, Anand - 2017
In this study we model the monthly and the daily US, Euro Zone, UK and Australian exchange rates in India using the symmetric (sGARCH) and the asymmetric (GJR-GARCH and EGARCH) volatility models with the normal, the student t and the skewed student t error distributions. We also investigate the...
Persistent link: https://www.econbiz.de/10012962908
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Reversal of Monetary History : Is Return to Trimetalism a Viable Alternative?
Asadov, Alam - 2017
current work conducts empirical analysis of trimetalism using MGARCH-DCC and Wavelet Coherence analysis along with visual and …
Persistent link: https://www.econbiz.de/10012944822
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The Effect of Macroeconomic Announcements on Credit Markets : An Autometric General-to-Specific Analysis of the Greenspan Era
Forest, James J. - 2018
I show that a congruent, parsimonious, encompassing model discovered using David Hendry's econometric modelling approach and Autometrics can overcome the many inadequacies of the typical static models of US Treasury returns regressed on macroeconomic announcements. The typical specification...
Persistent link: https://www.econbiz.de/10012928522
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The response of stock market volatility to futures-based measures of monetary policy shocks
Gospodinov, Nikolaj; Jamali, Ibrahim - 2014
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to monetary policy shocks. Although the increase in the...
Persistent link: https://www.econbiz.de/10010395968
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Measuring connectedness of Euro area sovereign risk
Gätjen, Rebekka; Schienle, Melanie - 2015
We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...
Persistent link: https://www.econbiz.de/10010503874
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Integration of Key Worldwide Money Market Interest Rates and the Federal Funds Rate : An Empirical Investigation
Kasibhatla, Krishna M. - 2013
This study investigates whether there is an increased integration of U.S. domestic money market interest rates and the Eurodollar market interest rates following two important changes that the U.S Federal Reserve (the Fed) implemented. First, elimination of reserve requirements on Eurodollar...
Persistent link: https://www.econbiz.de/10013090108
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The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
Gospodinov, Nikolay - 2015
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to monetary policy shocks. Although the increase in the...
Persistent link: https://www.econbiz.de/10013026088
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Combining negative rates, forward guidance and asset purchases : identification and impacts of the ECB's unconventional policies
Rostagno, Massimo; Altavilla, Carlo; Carboni, Giacomo; … - 2021
This paper provides new empirical evidence that bears on the efficacy of unconventional monetary policies when the main policy rate is negative. When a negative interest rate policy (NIRP) is deployed in concert with rate forward guidance (FG) and quantitative easing (QE), the identification of...
Persistent link: https://www.econbiz.de/10012519567