This paper investigates the stability of the German money supply focusing on the period 1991 - 1998. It is shown that the standard ARIMA-Transfer model approach in the literature needs to be augmented by a cointegration term to adequately model the dynamics of money supply in Germany. Additional...

We investigate the source of the high persistence in the Federal Funds Rate relative to the predictions of simple Taylor rules. While much of the literature assumes that this reflects interest-smoothing on the part of monetary policy-makers, an alternative explanation is that it represents...

Market efficiency hypothesis suggests a zero level for the intraday interest rate. However, a liquidity crisis introduces frictions related to news, which can cause an upward jump of the intraday rate. This paper documents that these dynamics can be partially predicted during turbulent times. A...

This paper investigates the impact of macroeconomic news on the dynamics of interest rates and stock returns during "low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our results suggest that securities volatility is higher...

Shocks to equity options' ATM implied volatility (ATMIV) are followed by persistently lower short-term rates. Shocks to the ratio of OTM puts' over OTM calls' implied volatilities (P/C) are followed by persistently higher rates. The stock's and Treasury bond's ATMIV indices, which measure market...

In the present paper the negative impact of interest rates on stock returns will be estimated for the European economies. Data are monthly during the year 2008 and cover the following countries: Belgium, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain. The elaboration of...

The primary focus of this research is to study the impact of Foreign Exchange Reserve changes on key economic indicators, namely Inflation and the Exchange Rate of Bangladesh. In addition, the article seeks to illustrate the effects of recent theft from Bangladesh Bank's reserve on Bangladeshi...

This paper applies ARDL and Nonlinear ARDL models to long-term inflation targeting policy mechanisms in the United States and China to assess the impact of oil price dynamics and asymmetries on inflation expectations in the two countries, as well as the difference of this impact before and after...

The paper evaluates the ability of market participants to anticipate monetary policy decisions in the euro area and in 13 other countries. First, by looking at the magnitude and the volatility of the changes in the money market rates we show that the days of policy meetings are special days for...

Central banks' operations and efficiency arguments would suggest that the intraday interest rate should be set to zero. However, a liquidity crisis introduces frictions related to news, which can cause an upward jump of the intraday rate. This paper documents that these dynamics can be partially...