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Giver and the Receiver : Understanding Spillover Effects and Predictive Power in Cross-Market Bitcoin Prices

ALMaaitah, Ahmad - 2020

We identify and characterise the 'givers and the receivers' of volatility in cross-market Bitcoin prices and discuss … dynamic spillover effects to produce a best long-run prediction of the market. Our results show that Bitcoin prices depict … strong (dynamic) spillover in volatility, especially during episodes of high uncertainty. The Bitcoin-USD exchange rate …

Persistent link: https://www.econbiz.de/10012846944

The Effect of Macroeconomic Announcements on Credit Markets : An Autometric General-to-Specific Analysis of the Greenspan Era

Forest, James J. - 2018

I show that a congruent, parsimonious, encompassing model discovered using David Hendry's econometric modelling approach and Autometrics can overcome the many inadequacies of the typical static models of US Treasury returns regressed on macroeconomic announcements. The typical specification...

Persistent link: https://www.econbiz.de/10012928522

A Survey on the Determination of Nominal Exchange Rate for USD vis-à-vis INR

Pillin, Punit - 2018

In this paper, I have investigated the out of sample forecast performance for a case study on the determination of the nominal exchange rate for USD vis-à-vis IN¬R under VEC, VAR (in first difference) and Bayesian VAR specification with the help of set of economic theories. The forecast...

Persistent link: https://www.econbiz.de/10012910274

Monetary Policy and Income Inequality in Korea

Park, Jongwook - 2018

This paper analyzes the relationships between monetary policy and income inequality in Korea. We calculate Gini coefficient for various income range using data from the Household Income and Expenditure Survey and then estimate a block-exogeneity VAR representing Korean and US economies to...

Persistent link: https://www.econbiz.de/10012911594

Does Trend Inflation Make a Difference?

Loberto, Michele - 2016

Although the average inflation rate of developed countries in the postwar period has been greater than zero, much of the extensive literature on monetary policy has employed models that assume zero steady-state inflation. In comparing four estimated medium-scale NK DSGE models with real and...

Persistent link: https://www.econbiz.de/10013000408

Cash and COVID-19: the impact of the second wave in Canada

Chen, Heng; Engert, Walter; Felt, Marie-Hélène; … - 2021

We use consumer surveys conducted in April, July and November 2020 to study how the COVID-19 pandemic affected the demand for cash and the use of various methods of payment. Continuing from Chen et al. (2020, 2021), we use data from the Bank Note Distribution System (BNDS) to track how the...

Persistent link: https://www.econbiz.de/10012597734

Is the Taylor Rule Missing? A Statistical Investigation

Bunzel, Helle; Enders, Walter - 2005

We conduct a fairly thorough statistical analysis of the empirical foundations for the existence of a Taylor rule. Inflation, the output gap and the federal funds rate appear to be non-stationary variables that are not cointegrated. Although this lack of cointegration could be caused by missing...

Persistent link: https://www.econbiz.de/10014065153

The Dynamic Effects of Money : Combining Short-Run and Long-Run Identifying Restrictions Using Bayesian Techniques

Lastrapes, William D. - 2001

This paper proposes a Bayesian approach to incorporating specification and identification uncertainty into a VAR analysis of the dynamic effects of money supply shocks on the macroeconomy. The approach follows Poirier (1991) in averaging over discrete model specifications in forming posterior...

Persistent link: https://www.econbiz.de/10014068724

The Fed's Conduct of Monetary Policy : Has it Changed and Does it Matter?

Boivin, Jean - 2000

This paper investigates changes in the conduct of U.S. monetary policy. Monetary policy is modeled in the context of the Bernanke-Mihov (1998) structural VAR (SVAR) extended to allow explicitly for the Fed's forward looking behavior. This is achieved by including its real-time forecasts on...

Persistent link: https://www.econbiz.de/10014163886

Examine Banks’ Share Price Sensitivity Due to Interest Rate Changes : Emerging Markets and Advanced Countries

Tahmoorespour, Reza - 2013

This study examines the impacts of interest rate on banks' return in 14 international markets. This research covers seven financial ratios as dependent variables as well as the return of the bank. Moreover, size of the banks is a control variable. The sample of data is from 2001 until the end of...

Persistent link: https://www.econbiz.de/10013087249