Search Results - subject:"Interest rate effect"

Interest effect of international outsourcing, foreign investment, and welfare

Choi, Jai-young; Yu, Eden Siu-hung - In: International journal of economic theory 20 (2024) 4, pp. 400-415

Persistent link: https://www.econbiz.de/10015135434

A Duration Hidden Markov Model for the Identification of Regimes in Stock Market Returns

Ntantamis, Christos - School of Economics and Management, University of Aarhus - 2010

This paper introduces a Duration Hidden Markov Model to model bull and bear market regime switches in the stock market; the duration of each state of the Markov Chain is a random variable that depends on a set of exogenous variables. The model not only allows the endogenous determination of the...

Persistent link: https://www.econbiz.de/10008525436

Macroeconomic adjustment and heterogeneity in the euro area

Toroj, Andrzej - Narodowy Bank Polski - 2009

New Keynesian empirical literature. They also suggest that the risk of the real interest rate effect is additionally …

Persistent link: https://www.econbiz.de/10009641435

An error-correction modeling of US consumer spending: are there asymmetries?

Baghestani, Hamid; Kherfi, Samer - In: Journal of Economic Studies 42 (2015) 6, pp. 1078-1094

, interest rate effect, and varying degree of adjustment in eliminating disequilibrium defined as the gap between actual and … effect and the interest rate effect. Third, non-durables respond asymmetrically to disequilibrium; consumers adjust (increase …

Persistent link: https://www.econbiz.de/10014864165

An error-correction modeling of US consumer spending : are there asymmetries?

Baghestani, Hamid; Kherfi, Samer - In: Journal of economic studies 42 (2015) 6, pp. 1078-1094

Persistent link: https://www.econbiz.de/10011393110

Consumption, Land Prices and the Monetary Transmission Mechanism in Japan

Muellbauer, John; Murata, Keiko - C.E.P.R. Discussion Papers - 2009

This paper documents the role of consumption in explaining the weak interest rate effect of monetary transmission in …

Persistent link: https://www.econbiz.de/10005791412

Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets

Lunde, Asger; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2003

This paper studies time-series dependence in the direction of stock prices by modelling the (instantaneous) probability that a bull or bear market terminates as a function of its age and a set of underlying state variables such as interest rates. A random walk model is rejected both for bull and...

Persistent link: https://www.econbiz.de/10005661952