Showing 1 - 10 of 14,750
Purpose - The study aims to determine the long and short-term causal relationships between the variables associated with the adjustment of monetary policy and the stock market in India in the presence of structural breaks. Design/methodology/approach - The study employed the autoregressive...
Persistent link: https://www.econbiz.de/10015163511
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
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This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a descriptive analysis of international long-term yields, we find evidence that long-term rates have followed a global downward trend prior to as well as during the financial crisis....
Persistent link: https://www.econbiz.de/10011414128
This paper is an empirical study of the links between monetary variables and inflation based on Cagan`s equation and its rational expectations solution, when the forcing variable is a fractionally integrated process. As demonstrated by Hamilton and Whiteman, the existence of bubbles and other...
Persistent link: https://www.econbiz.de/10012781804
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
We derive a new method of modelling the Taylor Rule in a system setting which expressly accounts for its combination of I(0) and I(1) series. Using a long sample of US data, our model provides modest support for an inertial Taylor-type rule. However, estimation across rolling windows indicates...
Persistent link: https://www.econbiz.de/10013114895
negative. Then, we estimate local projections for a super- visory shock hitting banks' credit standards and propose a new …
Persistent link: https://www.econbiz.de/10012865060
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