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and could drive their economies out of alignment (Salvatore, 2002).The literature on the topic suggests a theory also …
Persistent link: https://www.econbiz.de/10009449317
En este trabajo utilizamos un modelo VAR estructural con parámetros variables en el tiempo y volatilidad estocástica para investigar si la Reserva Federal ha respondido sistemáticamente a los precios de los activos y si esta respuesta ha cambiado con el tiempo. Para recuperar el componente...
Persistent link: https://www.econbiz.de/10012530552
En este artículo se evalúa el papel que desempeña el movimiento conjunto sectorial en la propagación de choques de política monetaria hacia el mercado de valores. En particular, se propone un modelo de vectores autorregresivos aumentado con factores, el cual permite cambios heterogéneos de...
Persistent link: https://www.econbiz.de/10012530569
This paper examines (real-time) equilibrium interest rates in the Czech Republic in 2001:1- 2005:12 estimating various specifications of simple Taylor-type monetary policy rules. First, we estimate it using GMM. Second, we apply structural time-varying coefficient model with endogenous...
Persistent link: https://www.econbiz.de/10009476886
significantly integrated with the world market during the sample period. Interestingly, our findings imply that the impact of stock …
Persistent link: https://www.econbiz.de/10009429052
This study analyzes the association between the degree of international involvement (DOI) and risk. Both systematic risk (measured by the market model beta) and total rishk (measured by variance of return) are analyzed. Betas of fully diversified foreign stock portfolios are shown to be lower...
Persistent link: https://www.econbiz.de/10009430695
In this dissertation, we are interested in the relationships among monetary policy, stock prices and exchange rates. This thesis argues that on the one hand, monetary policy affects both stock prices and the exchange rate, on the other hand, stock prices and exchange rates affect monetary policy...
Persistent link: https://www.econbiz.de/10009431226
Approximately 50% of the households in America invest in the stock market. In many cases the investor's buy and hold strategy leads to negative returns. Given the stock market fluctuates up and down as time progresses, analysts examine stock prices, volumes traded and ratios to recommend buy and...
Persistent link: https://www.econbiz.de/10009431244
This paper provides new insight into the relationship between short sales and stock market returns using a sample of stocks sold short in Canada. Short interest is defined in relation to trading volume. The results strongly support the assertion that short sales and excess returns are...
Persistent link: https://www.econbiz.de/10009459116
This paper examines whether favorable information conveyed by stock split announcements transfers to non-splitting firms within the same industry. We find that there exists intra-industry reaction; shareholders of non-splitting firms experience significant positive abnormal returns during the...
Persistent link: https://www.econbiz.de/10009468579