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Testing the expectations hypothesis when interest rates are near integrated
Beechey, Meredith Jane; Hjalmarsson, Erik; Österholm, Pär - 2008
Persistent link: https://www.econbiz.de/10009269043
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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
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The impact of expectations on the co-integration relationship between the stock and REIT markets
Erol, Umit; Yüksel, Aydın; Yüksel, Aslı; Ozturk, Hakki - In: Global business & economics review 27 (2022) 1, pp. 20-42
Persistent link: https://www.econbiz.de/10013453730
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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
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The relationship between oil prices, global economic policy uncertainty and financial market stress
Ziaei, Sayyed Mahdi - In: The journal of energy markets 14 (2021) 3, pp. 1-16
Persistent link: https://www.econbiz.de/10012805332
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Three empirical essays on the informational content of financial prices
Bernoth, Kerstin - 2004
Persistent link: https://www.econbiz.de/10002524759
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Interest rate futures : evidence on forecast power, expected premiums, and the unbiased expectations hypothesis
Krehbiel, Timothy L. - In: The journal of futures markets 14 (1994) 5, pp. 531-543
Persistent link: https://www.econbiz.de/10001169817
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Interest rate expectations and the exchange rate
Mauleón Torres, Ignacio - In: International advances in economic research : IAER ; an … 4 (1998) 2, pp. 179-191
Persistent link: https://www.econbiz.de/10001249205
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Central Bank Transparency and Financial Market Expectations : The Case of Emerging Markets
Neuenkirch, Matthias - 2013
In this paper, we study how central bank transparency influences the formation of money market expectations in emerging markets. The sample covers 25 countries for the period from January 1998 to December 2009. We find, first, that transparency reduces the bias (the difference between the money...
Persistent link: https://www.econbiz.de/10013092453
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Central Bank Transparency and Financial Market Expectations : The Case of Emerging Markets
Neuenkirch, Matthias - 2015
In this paper, we study how central bank transparency influences the formation of money market expectations in emerging markets. The sample covers 25 countries for the period from January 1998 to December 2009. We find, first, that transparency reduces the bias (the difference between the money...
Persistent link: https://www.econbiz.de/10013013746