Narrow search
Showing 1 - 10 of 24,613
Cover Image
Interest rate and exchange rate volatility spillovers : multiscale perspective of monetary policy transmission in Ghana
Akosah, Nana Kwame; Alagidede, Paul; Schaling, Eric - In: Journal of central banking theory and practice 9 (2020) 1, pp. 135-167
Persistent link: https://www.econbiz.de/10012167220
Cover Image
BEMGIE : Belgian Economy in a Macro General and International Equilibrium model
De Walque, Gregory; Lejeune, Thomas; Rannenberg, Ansgar; … - 2023
This paper outlines the three-country New Keynesian Dynamic Stochastic General Equilibrium model of the National Bank of Belgium. The model is named BEMGIE for Belgian Economy in a Macro General and International Equilibrium model. It features imperfect market competition, standard real and...
Persistent link: https://www.econbiz.de/10014233574
Cover Image
Asymmetric semi-volatility spillover effects in EMU stock markets
Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230
Persistent link: https://www.econbiz.de/10012006352
Cover Image
Monetary policy spillovers and inter-market dynamics perspective of preferred habitat model
Wahid, Abdul; Kowalewski, Oskar - In: Economies : open access journal 12 (2024) 5, pp. 1-16
-market transfer of mean returns and the diffusion of price volatility in Pakistani investment markets. It examines the extent to which … shifts, USD exchange rate volatility, and domestic inflation trends. Employing a methodological arsenal that includes the … assesses the propagation of mean returns and volatility across markets. The analysis uncovers significant linkages between …
Persistent link: https://www.econbiz.de/10014636021
Cover Image
Policy Analysis and Forecasting in the World Economy : A Panel Unobserved Components Approach
Vitek, Francis - 2012
This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model features a monetary transmission mechanism, a fiscal transmission mechanism, and extensive macrofinancial linkages, both within...
Persistent link: https://www.econbiz.de/10013102206
Cover Image
Policy and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach
Vitek, Francis - 2014
This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover...
Persistent link: https://www.econbiz.de/10013040410
Cover Image
Monetary shocks and production network in the G7 countries
Bratu, Mihaela; Schneider, Nicolas - In: Journal of economic structures : JES; the official … 12 (2023), pp. 1-32
Understanding the structure and properties of production networks is essential to identify the transmission channels from monetary shocks. While growingly studied, this literature keeps displaying critical caveats from which the investigation of G-7 economies is not spared. To fill this gap,...
Persistent link: https://www.econbiz.de/10014497240
Cover Image
Unobserved Components with Stochastic Volatility in U.S. Inflation : Estimation and Signal Extraction
Li, Mengheng - 2018
subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … increased during the 2008 financial crisis while it has recently returned to its pre-crisis level. The extracted volatility …
Persistent link: https://www.econbiz.de/10012924242
Cover Image
Monetary Policy Regimes : Implications for the Yield Curve and Bond Pricing
Filipova, Kameliya - 2013
We develop a multivariate dynamic term structure model, which takes into account the nonlinear (time-varying) relationship between interest rates and the state of the economy. In contrast to the classical term structure literature, where nonlinearities are captured by increasing the number of...
Persistent link: https://www.econbiz.de/10013085262
Cover Image
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 volatility risk premium, futures-trading volume, and leverage appear to …
Persistent link: https://www.econbiz.de/10010395968