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This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick by tick …
Persistent link: https://www.econbiz.de/10011578153
This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick …
Persistent link: https://www.econbiz.de/10011814276
We estimate the marginal effects of identified components of global liquidity on 43 real economies. To this end, we employ global public and private credit components of Herwartz, Ochsner, and Rohloff (2021) in factor-augmented vector-autoregressions to trace credit shocks through the real...
Persistent link: https://www.econbiz.de/10012543597
We conceptualize global liquidity as global monetary policy and credit components by means of a large-scale dynamic factor model. Going beyond previous work, we decompose aggregate credit components into credit supply and demand flows directed at businesses, households and governments. We show...
Persistent link: https://www.econbiz.de/10012543579
We apply a multivariate multiplicative error model (MMEM) and investigate effects in the simultaneous processes of high-frequency return volatilities, trading volume, and trading intensities on the Italien Electronic Interbank Credit Market (e-MID). Analysing five minutes data from the Italian...
Persistent link: https://www.econbiz.de/10011578147
Various panel models were presented to resolve the ranking of global health care systems according to efficiency. However, in terms of the spatial distribution of statistical units, spatial dependence as a result of various forms of spatial interactions caused biased estimators in classical...
Persistent link: https://www.econbiz.de/10009738033
, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR …
Persistent link: https://www.econbiz.de/10012542685