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Common trends and common cycles among interest rates of the G7-countries

Lindenberg, Nannette; Westermann, Frank - 2009

operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration … ; comovement ; cointegration ; serial correlation common feature ; codependence …

Persistent link: https://www.econbiz.de/10003807777

On the influence of oil prices on stock markets : evidence from panel analysis in GCC countries

Arouri, Mohamed; Rault, Christophe - 2009

This paper implements recent bootstrap panel cointegration techniques and Seemingly Unrelated regression (SUR) methods … October 2008, and from January 1996 to December 2007, our investigation shows that there is evidence for cointegration of oil … stock prices, except in Saudi Arabia. -- GCC stock markets ; oil prices ; panel cointegration analysis …

Persistent link: https://www.econbiz.de/10003854428

How stable are monetary models of the Dollar-Euro exchange rate? : a time-varying coefficient approach

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009

-periods. -- Structural exchange rate models ; cointegration ; structural breaks ; switching regression ; time-varying coefficient approach …

Persistent link: https://www.econbiz.de/10003898577

Price discovery in Canadian Government bond futures and spot markets

Chung, Christopher (contributor); … - 2007

In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative...

Persistent link: https://www.econbiz.de/10003463671

Trading the bond-CDS basis : the role of credit risk and liquidity

Gehde-Trapp, Monika - 2009

We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...

Persistent link: https://www.econbiz.de/10003919401

Oil prices and stock markets : what drives what in the gulf corporation council countries?

Arouri, Mohamed; Rault, Christophe - 2010

In the empirical literature, only few studies have focused on the relationship between oil prices and stock markets in net oil-importing countries. In net oil-exporting countries this relationship has not been widely researched. This paper implements the panel-data approach of Kónya (2006),...

Persistent link: https://www.econbiz.de/10003937088

The weekly structure of US stock prices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...

Persistent link: https://www.econbiz.de/10008732289

The relationship between credit default swap and cost of equity capital

Barone-Adesi, Giovanni; Brughelli, Moreno - 2010

default swap using a cointegration approach. We demonstrated the existence of a cointegrating relationship between those two …

Persistent link: https://www.econbiz.de/10008797690

How stable are monetary models of the dollar-euro exchange rate? : a time-varying coefficient approach

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009

. -- Structural exchange rate models ; cointegration ; structural breaks ; switching regression ; time-varying coefficient approach …

Persistent link: https://www.econbiz.de/10003877676

Determinants of government bond spreads in new EU countries

Alexopoulou, Ioana; Bunda, Irina; Ferrando, Annalisa - 2009

Based on a rich database of government bond spreads and macroeconomic indicators over the period 2001-2008, we propose an empirical assessment of the role of fundamentals in driving long-term sovereign bond spreads of the new EU countries (Bulgaria, Czech Republic, Latvia, Lithuania, Hungary,...

Persistent link: https://www.econbiz.de/10003963768