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The yield curve as a predictor and emerging economies
Mehl, Arnaud - 2006
inflation and growth persistence, at both short and long forecast horizons, and that it often improves out-of-sample forecasting …
Persistent link: https://www.econbiz.de/10012148521
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The yield curve as a predictor and emerging economies
Mehl, Arnaud - 2006
-of-sample forecasting performance. Differences across countries are seemingly linked to market liquidity. The paper further finds that the …
Persistent link: https://www.econbiz.de/10011604737
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The yield curve as a predictor and emerging economies
Mehl, Arnaud - European Central Bank - 2006
-of-sample forecasting performance. Differences across countries are seemingly linked to market liquidity. The paper further finds that the …
Persistent link: https://www.econbiz.de/10005530689
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Determinants of Country Beta Risk in Poland
Wdowinski, Piotr - 2004
In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...
Persistent link: https://www.econbiz.de/10010315819
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Determinants of Country Beta Risk in Poland
Wdowinski, Piotr - CESifo - 2004
In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...
Persistent link: https://www.econbiz.de/10005249463
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Determinants of country beta risk in Poland
Wdowinski, Piotr - 2004
In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...
Persistent link: https://www.econbiz.de/10011402721
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Term-Structure Estimation in Markets with Infrequent Trading
Cortazar, Gonzalo - 2013
There are two issues that are of central importance in term-structure analysis. One is the modelling and estimation of the current term structure of spot rates. The second is the modelling and estimation of the dynamics of the term structure. These two issues have been addressed independently in...
Persistent link: https://www.econbiz.de/10013076205
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COUNTRY RISK: Economic Policy, Contagion Effect or Political noise?
Nogués, Julio; Grandes, Martín - In: Journal of Applied Economics IV (2001) May, pp. 125-162
The opening of the capital account was one of the important structural reforms implemented by Argentina. This liberalization increased the linkage of the real economy with the changing conditions of the international financial markets. In particular, recent data show a clear relation between...
Persistent link: https://www.econbiz.de/10005168959
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Interactions between US and UK interest rates and news spillovers: the impact of the EMU
Kuhry, Yves; Tuysuz, Sukriye - In: Brussels Economic Review 52 (2009) 1, pp. 79-99
This paper studies interactions between UK and US interest rates. We determine how interest rates’ means and volatilities react to key economic/financial news. We analyse the integration of the American and British economies by studying spillover and feedback effects between rates and news...
Persistent link: https://www.econbiz.de/10008868091
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Country Risk : Economic Policy, Contagion Effect or Political Noise?
Nogués, Julio J.; Grandes, Martín - 2019
The opening of the capital account was one of the important structural reforms implemented by Argentina. This liberalization increased the linkage of the real economy with the changing conditions of the international financial markets. In particular, recent data show a clear relation between...
Persistent link: https://www.econbiz.de/10014071001