Search Results - subject:"Macroeconomic fundamentals"

Impacto de noticias macroeconómicas en el mercado accionario mexicano

Cermeño, Rodolfo; Solís Montes, Mahetabel - Centro de Investigación y Docencia Económicas (CIDE) - 2010

This paper studies the relationship between macroeconomic fundamentals and the dynamics of stock market prices in … Mexican stock market is linked to the macroeconomic fundamentals. However, the reaction patterns found here for the case of …

Persistent link: https://www.econbiz.de/10010823266

Do markup dynamics reflect fundamentals or changes in conduct?

Juselius, Mikael; Kim, Moshe; Ringbom, Staffan - 2009

Persistent shifts in equilibria are likely to arise in oligopolistic markets and may be detrimental to the measurement of conduct, related markups and intensity of competition. We develop a cointegrated VAR (vector autoregression) based approach to detect long-run changes in conduct when data...

Persistent link: https://www.econbiz.de/10012148064

Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields

Hautsch, Nikolaus; Ou, Yangguoyi - 2009

We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying...

Persistent link: https://www.econbiz.de/10010303741

Do markup dynamics reflect fundamentals or changes in conduct?

Juselius, Mikael; Kim, Moshe; Ringbom, Staffan - Suomen Pankki - 2009

Persistent link: https://www.econbiz.de/10004979444

Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields

Hautsch, Nikolaus; Ou, Yangguoyi - Center for Financial Studies - 2009

Persistent link: https://www.econbiz.de/10010958635

Analyzing Interest Rate Risk: Stochastic Volatility in the Term Structure of Government Bond Yields

Hautsch, Nikolaus; Ou, Yangguoyi - Center for Financial Studies - 2009

, Yield Curve Risk, Stochastic Volatility, Factor Models, Macroeconomic Fundamentals. Siegel (1987) exponential …) How are the factor volatilities linked to macroeconomic fundamentals? We represent the Nelson-Siegel model in a state … returns. (iii) It turns out that both yield factors and factor volatilities are closely linked to macroeconomic fundamentals …

Persistent link: https://www.econbiz.de/10005007634

Exchange rate forecasts and expected fundamentals

Dick, Christian D.; MacDonald, Ronald; Menkhoff, Lukas - In: Journal of International Money and Finance 53 (2015) C, pp. 235-256

Using a large panel of individual professionals' forecasts, this paper demonstrates that good exchange rate forecasts are related to a proper understanding of fundamentals, specifically good interest rate forecasts. This relationship is robust to individual fixed effects and further controls....

Persistent link: https://www.econbiz.de/10011263948

Exchange rate forecasts and expected fundamentals

Dick, Christian D.; MacDonald, Ronald; Menkhoff, Lukas - In: Journal of international money and finance 53 (2015), pp. 235-256

Persistent link: https://www.econbiz.de/10011475961

Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions

Baillie, Richard; Kim, Kun Ho - In: Journal of empirical finance 34 (2015), pp. 99-111

Persistent link: https://www.econbiz.de/10011557073

Forecasting the price of gold using dynamic model averaging

Aye, Goodness C.; Gupta, Rangan; Hammoudeh, Shawkat; … - In: International review of financial analysis 41 (2015), pp. 257-266

Persistent link: https://www.econbiz.de/10011508954