Showing 1 - 10 of 10,177
Persistent link: https://www.econbiz.de/10011876256
This study investigates the dynamics and spillovers between international monetary policy, between cryptocurrencies and across the two using daily data for four major economies (Eurozone, Japan, UK and US) and three key cryptocurrencies (Bitcoin, Litecoin and Ripple) over the period August 5,...
Persistent link: https://www.econbiz.de/10013292074
to variations in asset returns. We distinguish between low-volatility (bull) and high-volatility (bear) markets and … employ a TVP-VAR approach with stochastic volatility to assess the evolution of the interest rate in relation to housing and … spanning the period from 1890 to 2012 indicate that the interest rate responds more strongly to asset returns during low-volatility …
Persistent link: https://www.econbiz.de/10013007288
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 volatility risk premium, futures-trading volume, and leverage appear to …
Persistent link: https://www.econbiz.de/10010395968
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 volatility risk premium, futures-trading volume, and leverage appear to …
Persistent link: https://www.econbiz.de/10013026088
This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of … linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary … volatility processes. The first factor shows how persistent volatility shocks are trasmitted along the term structure, while the …
Persistent link: https://www.econbiz.de/10013317311
This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of … linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary … relating all series, except the overnight rate. The common long memory factor analysis points to a two-factor volatility curve …
Persistent link: https://www.econbiz.de/10013094748
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
This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...
Persistent link: https://www.econbiz.de/10012292914
This paper investigates the impact of monetary policy surprises by the FED or Bundesbank/ECB on the return volatility … of German stocks and bonds using a GARCH-M model. We show that stock return volatility is susceptible to monetary policy … surprises in the United States, whereas monetary policy surprises in the Euro zone matter for bond return volatility. These …
Persistent link: https://www.econbiz.de/10013142117