Search Results - subject:"Time‐varying parameters"

Time-varying risk and risk premiums in frontier markets

Todorov, Galin; Bidarkota, Prasad V. - In: Journal of emerging markets 18 (2013) 3, pp. 18-35

Persistent link: https://www.econbiz.de/10010519779

Exchange Rate Pass-Through in Turkey : Has it Changed and to What Extent?

Kara, Hakan; Tuger, Hande Kucuk; Ozlale, Umit; Tuger, Burc - Türkiye Cumhuriyet Merkez Bankası - 2005

This study analyses the impact of exchange rates on domestic prices in Turkey. We seek to demonstrate the variations (if any) in the exchange rate pass-through across different exchange rate regimes, identify the determinants of this change, and characterize the degree and extent of pass-through...

Persistent link: https://www.econbiz.de/10005504819

Managing Product-Harm Crises

van Heerde, van Heerde, H.J.; Helsen, K.; Dekimpe, … - Erasmus Research Institute of Management (ERIM), … - 2005

Product-harm crises are among a firm’s worst nightmares. Since marketing investments may be instrumental to convince consumers to purchase the firm's products again, it is important to provide an adequate measurement of the effectiveness of these investments, especially after the crisis. We...

Persistent link: https://www.econbiz.de/10010731099

Estimating the Revealed Inflation Target: An Application to U.S. Monetary Policy

Leigh, Daniel - Society for Computational Economics - SCE - 2005

This paper proposes a new method of estimating the Taylor rule with a time-varying implicit inflation target and a time-varying natural rate of interest. The inflation target and the natural rate are modelled as random walks and are estimated using maximum likelihood and the Kalman filter. I...

Persistent link: https://www.econbiz.de/10005170568

Managing Product-Harm Crises

Heerde, H.J. van; Helsen, K.; Dekimpe, M.G. - Erasmus Research Institute of Management (ERIM), ERIM … - 2005

thereof) apply. Key words: Brand Management, Error-Correction Models, Time-Varying Parameters, Time-Series Models, Missing … allowing for time-varying parameters in the error-correction model proposed by Fok et al. (2005). While such time variation … stringent an assumption in dynamic markets. To that extent, we allow for time-varying parameters in (1), and obtain: (2a) t …

Persistent link: https://www.econbiz.de/10005288496

Time-varying conditional Johnson SU density in value-at-risk (VaR) methodology

Cayton, Peter Julian A.; Mapa, Dennis S. - Volkswirtschaftliche Fakultät, … - 2012

Stylized facts on financial time series data are the volatility of returns that follow non-normal conditions such as leverage effects and heavier tails leading returns to have heavier magnitudes of extreme losses. Value-at-risk is a standard method of forecasting possible future losses in...

Persistent link: https://www.econbiz.de/10009647299

A time‐varying parameter model of inflation in India

Kumar, Sudhanshu; Srinivasan, Naveen; Ramachandran, Muthiah - In: Indian Growth and Development Review 5 (2012) 1, pp. 25-50

Purpose – In the past two decades, there has been a remarkable decline in inflation in both developed and developing countries, in sharp contrast to the period immediately preceding it. Interestingly, the behaviour of inflation in India broadly exhibits such a pattern. For much of the 1970s...

Persistent link: https://www.econbiz.de/10014758956

An empirical investigation of the Taylor curve

Olson, Eric; Enders, Walter; Wohar, Mark E. - In: Journal of Macroeconomics 34 (2012) 2, pp. 380-390

Taylor (1979) posited that a central bank faces a tradeoff between the volatility of the output gap and volatility of inflation; this trade-off has become known as the Taylor curve. Thus, the Taylor curve necessitates that the correlation between the volatilities of inflation and the output gap...

Persistent link: https://www.econbiz.de/10010577862

Inflation and inflation uncertainty in the euro area

Caporale, Guglielmo; Onorante, Luca; Paesani, Paolo - In: Empirical Economics 43 (2012) 2, pp. 597-615

This article estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates their linkages in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The...

Persistent link: https://www.econbiz.de/10010593390

State uncertainty in stock markets: How big is the impact on the cost of equity?

Han, Yufeng - In: Journal of Banking & Finance 36 (2012) 9, pp. 2575-2592

advantage of the framework is the ability to model a large collection of time-varying parameters simultaneously. When we apply …

Persistent link: https://www.econbiz.de/10010599657