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Doubly multiplicative error models with long- and short-run components

Amendola, Adalgiso; Candila, V.; Cipollini, F.; Gallo, … - In: Socio-economic planning sciences : the international … 91 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014528556

Volatility of the 2008 Crisis

Cottrell, Paul - 2016

progressing as of 2012, in terms of civilian employment and GDP. Next we will investigate the stylized facts of the crisis and …

Persistent link: https://www.econbiz.de/10012993297

Utilizing Topographic Finance to Understand Volatility (Presentation Slides)

Cottrell, Paul - 2016

Topographic finance is the study of surfaces to describe financial systems in multiple dimensions. The problem with finance and economics is to describe accurately what is actually governing price dynamics. The price dynamics are behavioral and do not exhibit a rational maximization of a utility...

Persistent link: https://www.econbiz.de/10012996020

Macroeconomic implications of oil-price shocks to emerging economies : a Markov regime-switching approach

Togonidze, Sophio; Kočenda, Evžen - 2022

We investigate an impact of oil-price shocks on GDP and exchange rate dynamics in resource-heterogeneous economies. We …-exporting, and less-resource-intensive economies. On average, real GDP in oil-exporting economies exhibits substantial contraction …, while for metal exporters there is a significant real GDP expansion suggesting an offsetting effect of metal exports on oil …

Persistent link: https://www.econbiz.de/10013369064

Macroeconomic determinants of stock market returns, volatility and volatility risk-premia

Corradi, Valentina (contributor); … - 2008

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility and volatility risk-premia are stochastic and derive...

Persistent link: https://www.econbiz.de/10003848514

Macroeconomic determinants of stock market volatility and volatility risk-premiums

Corradi, Valentina; Distaso, Walter; Mele, Antonio - 2012

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of fluctuations in stock market volatility. We develop a model in which stock volatility and volatility risk-premia are stochastic and derive...

Persistent link: https://www.econbiz.de/10009558368

Core and 'Crust' : Consumer Prices and the Term Structure of Interest Rates

Ajello, Andrea - 2012

We propose a no-arbitrage model that jointly explains the dynamics of consumer prices as well as the nominal and real term structures of risk-free rates. In our framework, distinct core, food, and energy price series combine into a measure of total inflation to price nominal Treasuries. This...

Persistent link: https://www.econbiz.de/10013114689

Turkish Lira – A Fiat Currency that Resembles the Volatility of Cryptocurrencies : The Effects of Exchange Rate Volatility on Turkish Economy

Taskinsoy, John - 2019

The dollar's dominance as the world's reserve currency was inaugurated at the 1944 Bretton Woods conference where the agreement was signed by the 44 wartime allies, but the dollar's hegemony was solidified in 1971 when US President Nixon cut the dollar's link to gold. True, the fixed exchange...

Persistent link: https://www.econbiz.de/10012892702

The Macroeconomic Effects of Uncertainty Shocks : The Role of the Financial Channel

Popp, Aaron - 2016

This paper studies the macroeconomic effects of uncertainty shocks with an emphasis on the interaction between elevated uncertainty and credit market conditions when the economy is in different regimes (recessions vs. non-recessions). We use a smooth-transition factor-augmented vector...

Persistent link: https://www.econbiz.de/10013003975

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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