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Minimax optimal estimation of general bandable covariance matrices
Xue, Lingzhou; Zou, Hui - In: Journal of Multivariate Analysis 116 (2013) C, pp. 45-51
there is a tapering estimator that simultaneously attains the minimax optimal rates of convergence under the two norms …
Persistent link: https://www.econbiz.de/10011041948
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Systemic risk in energy derivative markets: a graph theory analysis
Lautier, Delphine; Raynaud, Franck - HAL - 2012
This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross- and inter-market linkages, both within the commodity complex and between...
Persistent link: https://www.econbiz.de/10010820627
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Estimation and inference of FAVAR models
Bai, Jushan; Li, Kunpeng; Lu, Lina - Volkswirtschaftliche Fakultät, … - 2014
The factor-augmented vector autoregressive (FAVAR) model, first proposed by Bernanke, Bovin, and Eliasz (2005, QJE), is now widely used in macroeconomics and finance. In this model, observable and unobservable factors jointly follow a vector autoregressive process, which further drives the...
Persistent link: https://www.econbiz.de/10011108720
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Systemic Risk in Energy Derivative Markets: A Graph-Theory Analysis
Raynaud, Franck; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2012
This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross- and intermarket linkages, both within the commodity complex and between...
Persistent link: https://www.econbiz.de/10011166411
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The effectiveness of non-standard monetary policy measures: evidence from survey data
Altavilla, Carlo; Giannone, Domenico - 2016
We assess professional forecasters’ perceptions of the effects of the unconventional monetary policy measures announced by the US Federal Reserve after the collapse of Lehman Brothers. Using survey data, collected at individual level, we analyze the change in the forecasts for Treasury and...
Persistent link: https://www.econbiz.de/10011605996
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Examining US monetary spillover to Indonesian local currency government bonds in volatile periods
Nugraha, Muhammad Fajar - 2023
yield, particularly when the Federal Reserve (Fed) implemented the quantitative easing (QE), tapering off, Fed fund rate … anticipating the monetary normalization policy amidst COVID-19 uncertainty. Changes in US monetary policy in the form of tapering …
Persistent link: https://www.econbiz.de/10014540420
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Impact of reserve option mechanism on exchange rate volatility during the FED's tapering period
Demirbas, Erkan; Can, Nurettin - In: Journal of Central Banking Theory and Practice 11 (2022) 3, pp. 155-178
This study investigates the effectiveness of ROM. We conducted the GARCH (1,1) Model to determine whether ROM contributed to decreasing the volatility of USD/TL exchange rate for the period 2013-2014. We construct four Models where four different variables are separately used that represent the...
Persistent link: https://www.econbiz.de/10014558527
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The effectiveness of nonstandard monetary policy measures: Evidence from survey data
Altavilla, Carlo; Giannone, Domenico - 2015
We assess the perception of professional forecasters regarding the effectiveness of unconventional monetary policy measures announced by the U.S. Federal Reserve after the collapse of Lehman Brothers. Using survey data collected at the individual level, we analyze the change in forecasts of...
Persistent link: https://www.econbiz.de/10011460644
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Assessing the spillover effects of U.S. monetary policy normalization on Nigeria sovereign bond yield
Tule, Kpughur Moses; Odonye, Osana Jackson; Afangideh, … - In: Financial Innovation 5 (2019) 1, pp. 1-16
This study examines the spillover effects of U.S. monetary policy normalization on Nigeria 10-Year Treasury bond yield between 2011 and 2017, using the vector error correction model approach. Our results reveal that domestic factors, such as exchange rate and inflation, rather than the U.S....
Persistent link: https://www.econbiz.de/10012602826
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Quantitative easing and tapering uncertainty: Evidence from Twitter
Meinusch, Annette; Tillmann, Peter - 2015
Easing ("tapering") impact asset prices. To quantify beliefs of market participants, we use data from Twitter, the social … media application. Our data set covers the entire Twitter volume on Federal Reserve tapering in 2013. Based on the time … series of beliefs about an early or late tapering, we estimate a VAR model with appropriate sign restrictions on the impulse …
Persistent link: https://www.econbiz.de/10010507623