Search Results - subject:"macroeconomic fundamentals"

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

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

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/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

Relationship between conditional volatility of domestic macroeconomic factors and conditional stock market volatility : some further evidence from India

Kumari, Jyoti; Mahakud, Jitendra - In: Asia-Pacific financial markets 22 (2015) 1, pp. 87-111

Persistent link: https://www.econbiz.de/10010511544

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

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

Can we beat the random-walk model for the South African rand-US dollar and South African rand-UK pound exchange rates? : evidence from dynamic model averaging

De Bruyn, Riané; Gupta, Rangan; Van Eyden, Reneé - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 502-524

Persistent link: https://www.econbiz.de/10011403785

Chinese stocks during 2000 - 2013 : bubbles and busts or fundamentals?

Liang, Priscilla; Willett, Thomas D. - In: The Chinese economy 48 (2015) 3, pp. 199-214

Persistent link: https://www.econbiz.de/10011404545