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volatility. Empirical evidence indicates that a risky currency is associated with a relatively high interest rate. Taken together …, these two statements associate high-interest-rate currencies with low pricing kernel volatility. We document evidence … identification strategy revolves around using interest rate volatility differentials to make inferences about pricing kernel …
Persistent link: https://www.econbiz.de/10013089595
volatility. Empirical evidence implies that a risky currency is associated with a relatively high interest rate. Taken together …, these two statements associate high-interest-rate currencies with low pricing kernel volatility. We document evidence … suggesting that the opposite is true. We approximate the volatility of the pricing kernel with the volatility of the short …
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This paper uses the panel data of 15 countries from 2009 to 2020 to construct the time-varying parameter panel vector error correction model for testing the hypothesis of dynamic hedging characteristics of gold on exchange rate. As the existing literature has never considered that the foreign...
Persistent link: https://www.econbiz.de/10012668314
This paper analyzes the dynamic effects of different macroeconomic shocks on unemployment in Germany. In a first step …, a cointegration analysis of productivity, prices, real wages, employment, and the unemployment rate reveals two long run …
Persistent link: https://www.econbiz.de/10011446670
employees in multinational companies were confronted with an increased volatility of their jobs. Using a unique firm … deutschem Eigentum während der Rezession eine stabilisierende Rolle für den tschechischen Arbeitsmarkt einnahmen. …
Persistent link: https://www.econbiz.de/10010488273