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Volatility in Equity Markets and Monetary Policy Rate Uncertainty
Kaminska, Iryna - 2018
link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses … for equity variance and volatility at weekly, monthly and even quarterly horizons. The findings imply that market views of …
Persistent link: https://www.econbiz.de/10012925787
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Nonlinear relationship between exchange rate volatility and economic growth
Phiri, Andrew - 2018
In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …
Persistent link: https://www.econbiz.de/10011870188
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Central Bank Communication Choices : Adverse Selection, Volatility and Liquidity in a Market With Fast and Slow Traders
Benamar, Hedi; Chaboud, Alain; Vega, Clara - 2021
We study the impact of different central bank communication practices on the trading behavior and profitability of fast and slow traders in the foreign exchange market. We focus, in particular, on how the Bank of Japan's practice of introducing some randomness to the time at which it releases...
Persistent link: https://www.econbiz.de/10013247078
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A note on the volatilities of the interest rate and the exchange rate under different monetary policy instruments : Mexico 1998 - 2008
Benavides, Guillermo; Capistrán Carmona, Carlos - 2009
transition from the former to the latter. With respect to the volatility transmission from interest rates to exchange rates and … ; Multivariate volatility …
Persistent link: https://www.econbiz.de/10003893830
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A Note on the Volatilities of the Interest Rate and the Exchange Rate Under Different Monetary Policy Instruments : Mexico 1998-2008
Benavides, Guillermo - 2010
transition from the former to the latter. With respect to the volatility transmission from interest rates to exchange rates and …
Persistent link: https://www.econbiz.de/10013144183
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Identifying the weights in exchange market pressure
Klaassen, Franc - 2011
Exchange market pressure (EMP) measures the pressure on a currencyto depreciate. It adds to the actual depreciation a weightedcombination of policy instruments used to ward off depreciation,such as interest rates and foreign exchange interventions, where theweights are their effectiveness. The...
Persistent link: https://www.econbiz.de/10011383023
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The International Transmission of Monetary Policy in Presence of Government Debt : A GVAR Approach
Assadi, Marzieh - 2016
This paper aims to contribute to the empirical literature on the international spillovers of US monetary policy, whilst accounting for fiscal policy. The main motivation of the paper is to identify the way in which fiscal policy is able to influence the monetary transmission mechanism and...
Persistent link: https://www.econbiz.de/10012976879
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A VAR model for monetary policy analysis in a small open economy
Jacobson, Tor; Jansson, Per; Vredin, Anders; Warne, Anders - 1999
for economic analysis. This paper demonstrates how a VAR model with long run restrictions justified by economic theory can …
Persistent link: https://www.econbiz.de/10011584357
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Euro area real-time density forecasting with financial or labor market frictions
McAdam, Peter; Warne, Anders - 2018
We compare real-time density forecasts for the euro area using three DSGE models. The benchmark is the Smets-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds financial frictions and expands the observables to include a...
Persistent link: https://www.econbiz.de/10011813503
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DSGE model forecasting : rational expectations vs. adaptive learning
Warne, Anders - 2023
This paper compares within-sample and out-of-sample fit of a DSGE model with rational expectations to a model with adaptive learning. The Galí, Smets and Wouters model is the chosen laboratory using quarterly real-time euro area data vintages, covering 2001Q1-2019Q4. The adaptive learning model...
Persistent link: https://www.econbiz.de/10013492913