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Downward nominal rigidities and bond premia
Gourio, François; Ngo, Phuong - 2024
We develop a parsimonious New Keynesian macro-finance model with downward nominal rigidities to understand secular and cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation dynamics: a higher level of inflation makes prices more...
Persistent link: https://www.econbiz.de/10014505834
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Foreign exchange market interventions and the $-¥ exchange rate in the long run
Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2013
This paper tries to clarify the question of whether foreign exchange market interventions conducted by the Bank of Japan are important for the dollar-yen exchange rate in the long run. Our strategy relies on a re-examination of the empirical performance of a monetary exchange rate model. This is...
Persistent link: https://www.econbiz.de/10010255146
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Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors
Fu, Man; Bidarkota, Prasad V. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 97-132
output gap shows evidence of cointegration in the DJIA and S&P 500 index data. Nonetheless, a sup augmented Dickey …
Persistent link: https://www.econbiz.de/10011555939
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The present value model of U.S. stock prices revisited : long-run evidence with structural breaks, 1871-2012
Esteve García, Vicente; Navarro Ibáñez, Manuel; … - 2017
regression models, 2010) as well as the cointegration tests developed in Arai and Kurozumi (Testing for the null hypothesis of … cointegration with a structural break, 2007) and Kejriwal (Cointegration with structural breaks: an application to the Feldstein …- Horioka Puzzle, 2008). The results obtained are consistent with the existence of linear cointegration between the log stock …
Persistent link: https://www.econbiz.de/10011745419
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Adaptive order flow forecasting with multiplicative error models
Härdle, Wolfgang; Mihoci, Andrija; Ting, Christopher … - 2014
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...
Persistent link: https://www.econbiz.de/10010374563
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Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis
Hernández, Juan R. - 2014
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10010370903
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Are there bubbles in stock prices? : testing for fundamental shocks
Velinov, Anton; Chen, Wenjuan - 2014
This paper investigates whether there are bubbles in stock prices. We do this using a previously studied structural vector autoregressive (SVAR) model claiming to distinguish fundamental and non-fundamental shocks to real stock prices. TheSVAR model relies on an identification restriction in...
Persistent link: https://www.econbiz.de/10010349257
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Fractional cointegration and tests of present value models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …
Persistent link: https://www.econbiz.de/10009582383
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Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors
Fu, Man - 2011
output gap shows evidence of cointegration in the DJIA and S&P 500 index data. Nonetheless, a sup augmented Dickey …
Persistent link: https://www.econbiz.de/10013119302
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A Cointegration Test to Verify the Housing Bubble
Arshanapalli, Bala - 2015
applies the statistical technique of cointegration to substantiate the presence of a housing bubble. The paper finds the …
Persistent link: https://www.econbiz.de/10013039155