We study how unconventional monetary policy affects the shape of the yield curve and, conversely, the predictive power of short-run yield curve dynamics for the policy event. Two types of unconventional monetary policy measures are analysed: i) announcements and actions related to extension of...

The answer to the question posed in the title is mostly yes. Using sorting and cross-section, we investigate the impact of illiquidity and transaction costs on value, size and momentum premiums in 11 CEE stock markets (Bulgaria, Croatia, Czech Republic, Estonia, Hungary, Latvia, Lithuania,...

In this paper, we explore the relevance of asymmetry, long memory and fat tails in modeling and forecasting the conditional volatility and market risk for the Gulf Cooperation Council (GCC) stock markets. Various linear and non-linear long-memory GARCH-class models under three density functions...

In this paper we estimate the monetary policy reaction function of the National Bank of Slovakia and the possible impact of an independent monetary policy on the Slovak economy in 2009 and 2010, when the global economic recession had the strongest impact on Slovakia. We estimate a small...

We evaluate the ability of several univariate models to predict inflation in the US and in a number of inflation targeting countries at different forecasting horizons. We focus on forecasts coming from a family of ten seasonal models that we call the Driftless Extended Seasonal ARIMA (DESARIMA)...