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Identifying the Effects of Chinese Treasury Purchases Using High-Frequency Data
Martin, Christopher - 2014
I use a new measure of surprise foreign official Treasury purchases, high-frequency data, and identification by heteroskedasticity to estimate the effect of Chinese official purchases of US Treasury securities on Treasury yields. Over the past decade, foreign official institutions have purchased...
Persistent link: https://www.econbiz.de/10013043014
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Excess returns on net foreign assets: the exorbitant privilege from a global perspective
Habib, Maurizio Michael - 2010
did not contribute to its exorbitant privilege. The econometric panel analysis also fails to find a robust positive …
Persistent link: https://www.econbiz.de/10011605204
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Excess returns on net foreign assets : the exorbitant privilege from a global perspective
Habib, Maurizio Michael - 2010
did not contribute to its exorbitant privilege. The econometric panel analysis also fails to find a robust positive …
Persistent link: https://www.econbiz.de/10003971137
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Excess Returns on Net Foreign Assets : The Exorbitant Privilege From a Global Perspective
Habib, Maurizio Michael - 2021
did not contribute to its exorbitant privilege. The econometric panel analysis also fails to find a robust positive …
Persistent link: https://www.econbiz.de/10013316259
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Intraday effect of news on emerging European forex markets : an event study analysis
Kočenda, Evžen; Moravcová, Michala - 2018
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011-2015. Our...
Persistent link: https://www.econbiz.de/10011902959
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Intraday effect of news on emerging European forex markets : an event study analysis
Kočenda, Evžen; Moravcova, Michala - 2016
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an Event Study Methodology to analyze intra-day data from 2011-2015. Our...
Persistent link: https://www.econbiz.de/10011568576
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What Drives Investors' Behaviour in Different FX Market Segments? A Var-Based Return Decomposition Analysis
Castren, Olli; Osbat, Chiara; Sydow, Matthias - 2021
We apply the Campbell-Shiller return decomposition to exchange rate returns and fundamentals in a stationary panel …
Persistent link: https://www.econbiz.de/10013317302
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Financial deepening and stock market returns : panel data analyses for selected developed and developing economies
Rahman, A. K. M. Matiur; Mustafa, Muhammad - In: International journal of monetary economics and finance 10 (2017) 1, pp. 96-109
Persistent link: https://www.econbiz.de/10011660730
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Is it Beneficial to Be Included in a Sustainability Stock Index? A Panel Data Study for European Firms
Ziegler, Andreas - 2014
, namely the Dow Jones Sustainability World Index (DJSI World), on corporate financial performance. On the basis of panel data … assets and even insignificant for Tobin's Q in the flexible panel data models that include unobserved firm heterogeneity …. Therefore, we conclude that the application of misspecified panel data approaches, similar to cross-sectional models, can lead …
Persistent link: https://www.econbiz.de/10013070646
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Does bilateral market and financial integration explains international co-movement patterns
Ur Rehman, Mobeen; Shah, Syed Muhammad Amir - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-13
This study aims to explore the relationship between market integration, foreign portfolio equity holding and inflation rates on international stock market linkages between Pakistan and India. To measure stock equity interlinkage, we constructed international co-movement index through rolling...
Persistent link: https://www.econbiz.de/10011474476