In this paper, which is the third installment of the author´s trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin loans to retail clients. We describe the basic...

This study investigates the predictability of revisions to Euro-area major macroeconomic variables using real-time data from the European Central Bank. The application of nonparametric and semiparametric tests enables robust conclusions about the predictability of revisions. Though there is wide...

Extending the data set used in Beyer (2009) to 2017, we estimate I(1) and I(2) money demand models for euro area M3. After including two broken trends and a few dummies to account for shifts in the variables following the global financial crisis and the ECB's non-standard monetary policy...

In this paper, the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe’s law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's...

This paper examines the relevance of the Lucas critique for euro area money demand. Based on the money in the utility function approach, a vector error correction model is specified to investigate the relationship between money and inflation in times of policy shifts. A well defined equation for...

An accurate liquidity forecast is necessary for an effective implementation of monetary policy. Its quality is determined by the quality of its components: the projected demand for bank reserves and of the, so called, autonomous monetary factors, such as the demand for bills and coins of the...

The broad aim of this paper is to estimate the money demand function for the case of six Gulf Cooperation Council countries. By applying panel cointegration tests, the empirical results reveal strong evidence of cointegration between the variables of the model for individual countries as well as...

The broad aim of this paper is to estimate the money demand function for the case of six Gulf Cooperation Council countries. By applying panel cointegration tests, the empirical results reveal strong evidence of cointegration between the variables of the model for individual countries as well as...

The paper functionally describes the income velocity of money by including the cost of a key substitute to money: exchange credit. Financial innovation causes the cost of credit to fall, the quantity of money demanded to fall, and the velocity to rise, all without shifting the money demand...