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Inflation dynamics and persistence : the importance of the uncertainty channel
Canepa, Alessandra - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014534818
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Constrained interest rates and changing dynamics at the zero lower bound
Bäurle, Gregor; Kaufmann, Daniel; Kaufmann, Sylvia; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10012198531
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Can Central Bank interventions affect the exchange rate volatility? Multivariate GARCH approach using contrained nonlinear programming
C̜as̜kurlu, Tolga; Pinar, Mustafa C̜.; Altay-Salih, … - 2008
Persistent link: https://www.econbiz.de/10003753477
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Determinants of the CNY/USD exchange rate : a simultaneous-equation model
Hsing, Yu - In: International journal of monetary economics and finance 8 (2015) 3, pp. 274-281
Persistent link: https://www.econbiz.de/10011502648
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The response of stock market volatility to futures-based measures of monetary policy shocks
Gospodinov, Nikolaj; Jamali, Ibrahim - 2014
's effect on fundamentals. The estimation results from a bivariate VAR-GARCH model suggest that the Fed does not respond to the …
Persistent link: https://www.econbiz.de/10010395968
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Monetary shocks, equity returns and volatility : a firm-level panel data analysis
Luo, H. Arthur; Cheng, Jen-chi; Vijverberg, Chu-ping C. - In: Applied economics 48 (2016) 4/6, pp. 261-275
Persistent link: https://www.econbiz.de/10011412709
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Identifying shocks via time-varying volatility
Lewis, Daniel J. - 2018
An n-variable structural vector auto-regression (SVAR) can be identified (up to shock order) from the evolution of the residual covariance across time if the structural shocks exhibit heteroskedasticity (Rigobon (2003), Sentana and Fiorentini (2001)). However, the path of residual covariances is...
Persistent link: https://www.econbiz.de/10011926201
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Financial development and the volatility of growth : time series evidence for Mexico and United States
Cermeño, Rodolfo; Roa García, María José; González … - In: Monetaria : English edition 4 (2016) 2, pp. 195-232
Persistent link: https://www.econbiz.de/10011760389
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How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies
Wang, Xinyu; Qi, Zikang; Huang, Jianglu - In: Economic modelling 120 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014383984
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Inflation targeting under inflation uncertainty : multi-economy evidence from a stochastic volatility model
Hartmann, Matthias; Herwartz, Helmut; Ulm, Maren - In: Macroeconomic dynamics 26 (2022) 5, pp. 1302-1337
Persistent link: https://www.econbiz.de/10013270236