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Risk and policy uncertainty on stock-bond return correlations : evidence from the US markets
Chiang, Thomas C. - In: Risks : open access journal 8 (2020) 2/58, pp. 1-16
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
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Change Detection and the Causal Impact of the Yield Curve
Hurn, Stan - 2016
Causal relationships in econometrics are typically based on the concept of predictability and are established in terms of tests for Granger causality. These causal relationships are susceptible to change, especially during times of financial turbulence, making the real-time detection of...
Persistent link: https://www.econbiz.de/10012977935
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Inference under covariate‐adaptive randomization with multiple treatments
Bugni, Federico A.; Canay, Ivan A.; Shaikh, Azeem M. - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1747-1785
This paper studies inference in randomized controlled trials with covariate‐adaptive randomization when there are multiple treatments. More specifically, we study in this setting inference about the average effect of one or more treatments relative to other treatments or a control. As in...
Persistent link: https://www.econbiz.de/10012202908
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Inference under covariate-adaptive randomization with multiple treatments
Bugni, Federico A.; Canay, Ivan A.; Shaikh, Azeem M. - 2017
This paper studies inference in randomized controlled trials with covariate-adaptive randomization when there are multiple treatments. More specifically, we study in this setting inference about the average effect of one or more treatments relative to other treatments or a control. As in Bugni...
Persistent link: https://www.econbiz.de/10011758009
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Inference under covariate-adaptive randomization with multiple treatments
Bugni, Federico A.; Canay, Ivan A.; Shaikh, Azeem M. - 2019
This paper studies inference in randomized controlled trials with covariate-adaptive randomization when there are multiple treatments. More specifically, we study in this setting inference about the average effect of one or more treatments relative to other treatments or a control. As in Bugni...
Persistent link: https://www.econbiz.de/10011958281
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Macroeconomic Impact on the Exchange Rate of SAARC Countries
Hossine Sharif, Sajjad - 2020
This paper is prepared with an intention to examine the impact of major macroeconomic variables which includes real interest rate, inflation rate, unemployment rate, GDP per capita, foreign direct investment inflows, export and import over the exchange rate of the countries who are the member of...
Persistent link: https://www.econbiz.de/10012855317
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The volatility curse : revisiting the paradox of plenty
Ploeg, Frederick van der; Poelhekke, Steven - 2009
mitigate the harmful causes of volatility. Our panel data estimation confirms our cross-country results, but we also offer …The volatility of unanticipated output growth in income per capita is detrimental to long-run development, controlling …. This effect is significant and robust over a wide range of specifications. We unravel the effects of volatility by opening …
Persistent link: https://www.econbiz.de/10003832092
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The Volatility Curse : Revisiting the Paradox of Plenty
van der Ploeg, Rick - 2013
mitigate the harmful causes of volatility. Our panel data estimation confirms our cross-country results, but we also offer …The volatility of unanticipated output growth in income per capita is detrimental to long-run development, controlling …. This effect is significant and robust over a wide range of specifications. We unravel the effects of volatility by opening …
Persistent link: https://www.econbiz.de/10012753136
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Stock market reactions to Brexit : case of selected CEE and SEE stock markets
Škrinjarić, Tihana - In: International Journal of Financial Studies : open … 7 (2019) 1/7, pp. 1-14
volatility series are being tested for significant reactions to the Brexit event. The results indicate mixed results regarding … the abnormal cumulative return series, but the volatility series were found to be significantly affected by the mentioned …
Persistent link: https://www.econbiz.de/10011964063
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Persistent Impact of Macroeconomic Announcements in Financial Market Data
Boitout, Nicolas - 2015
great deal of academic attention in efforts to quantify market responses in terms of volatility and jumps. We investigate … caused by the next release of the same macroeconomic value. We measure this impact by means of both post-event volatility …
Persistent link: https://www.econbiz.de/10013029402