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Exploring the international linkages of the euro area : a global VAR analysis ; presented at CESifo Area Conference on Macro, Money and International Finance, February 2005
Dées, Stéphane; Di Mauro, Filippo; Pesaran, M. Hashem - 2005
This paper presents a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model. This global VAR is estimated for 26 countries, the euro area...
Persistent link: https://www.econbiz.de/10002754808
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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt - 2001
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...
Persistent link: https://www.econbiz.de/10014460986
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Understanding the latest wave and future shape of regional trade and cooperation agreements in Asia
Bhattacharyay, Biswanath - 2006
Persistent link: https://www.econbiz.de/10003395257
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Significance of development stage theory for explaining industrial growth pattern between Asian NICs and selected advanced economics [economies]
Nam, Chang-woon - 2002
The East Asian miracle was real. Prior to the 1997 economic and currency crises, Asian NICs - Hong Kong, Korea, Singapore and Taiwan - achieved remarkable annual GDP growth. In these countries the overall economic performance was significantly determined by the industrial development triggered...
Persistent link: https://www.econbiz.de/10001652953
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The impact of FX central bank intervention in a noise trading framework
Beine, Michel; De Grauwe, Paul; Grimaldi, Marianna - 2005
In this paper we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a...
Persistent link: https://www.econbiz.de/10003090615
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An empirical investigation into exchange regime choice and exchange rate volatility
Berger, Helge; Sturm, Jan-Egbert; Haan, Jakob de - 2000
look at the impact of "mistakes" in exchange rate regime choice on actual (nominal) exchange rate volatility. Countries … exchange rate volatility than other countries having a fixed exchange rate regime. We also invetigate the role of such mistakes …
Persistent link: https://www.econbiz.de/10001473991
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Firm and establishment volatility : the role of sunk costs, profit uncertainty and technological change
Ghosal, Vivek - 2003
The degree of endemic volatility in the number of firms and establishments varies considerably across industries … of firm volatility across industries: for example, sunk capital costs, uncertainty about profits and technological change … increases in sunk costs or uncertainty having relatively greater effect on firm volatility. The effects of technological change …
Persistent link: https://www.econbiz.de/10001784015
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Noise vs. news in equity returns
Chirinko, Robert S.; Foad, Hisham - 2006
fundamentals and hence the pervasive joint hypothesis quagmire. We avoid this dilemma by measuring noise volatility directly by …
Persistent link: https://www.econbiz.de/10003381609
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Equity price dynamics before and after the introduction of the Euro : a note
Cheung, Yin-Wong - 2001
volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However …
Persistent link: https://www.econbiz.de/10014460953
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Housing market dynamics : on the contribution of income shocks and credit constraints
Ortalo-Magné, François - 2001
This paper presents a dynamic theory of housing market fluctuations. It develops a life-cycle model where households are heteroeneous with respect to income and preferences and mortgage lending is restricted by a down-payment requirement. The market interaction of young credit-constrained...
Persistent link: https://www.econbiz.de/10014460994