Similar Search Results - EconBiz

Four essays in econometrics and macroeconomics

Born, Benjamin - 2011

Persistent link: https://www.econbiz.de/10009422848

Testing for UIP : nonlinearities, monetary announcements and interest rate expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...

Persistent link: https://www.econbiz.de/10012508617

Testing for UIP-type relationships : nonlinearities, monetary announcements and interest rate expectations

Anderl, Christina; Caporale, Guglielmo Maria - In: Open economies review 33 (2022) 4, pp. 705-749

Persistent link: https://www.econbiz.de/10013455611

Identifying Information Asymmetry in Securities Markets

Back, Kerry - 2018

are consistent with theory. We illustrate how the estimates can be used to detect information events in the time series …

Persistent link: https://www.econbiz.de/10012937478

Time series variation in the interest-rate response to money announcements : a re-examination of the evidence

Roley, Vernon Vance; Wheatley, Simon M. - 1994

Persistent link: https://www.econbiz.de/10000906579

Monetary policy shocks : we got news!

Gomes, Sandra; Iskrev, Nikolay; Mendicino, Caterina - In: Journal of economic dynamics & control 74 (2017), pp. 108-128

Persistent link: https://www.econbiz.de/10011740491

Inflation, inflation expectations and central bank communication in emerging markets

Sánchez-Fung, José R. - In: Macroeconomics and finance in emerging market economies 15 (2022) 3, pp. 215-230

Persistent link: https://www.econbiz.de/10013415762

Constructing high-frequency monetary policy surprises from SOFR futures

Acosta, Miguel; Brennan, Connor M.; Jacobson, Margaret M. - 2024

Persistent link: https://www.econbiz.de/10015055664

Expectation formation in the foreign exchange market : a time-varying heterogeneity approach using survey data

Prat, Georges; Uctum, Remzi - In: Applied economics 47 (2015) 34/36, pp. 3673-3695

Persistent link: https://www.econbiz.de/10011293469

On the optimality of adaptive expectations: muth revisited and Optimal properties of exponentially weighted forecasts in the presence of different information sources

Satchell, Stephen; Timmermann, Allan - 1993

Persistent link: https://www.econbiz.de/10000891418

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