Search Results - subject:"response function"

Hautsch, Nikolaus; Huang, Ruihong - Center for Financial Studies - 2009

Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...

Persistent link: https://www.econbiz.de/10010958747

News and correlations: an impulse response analysis

Le Pen, Yannick; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2009

correlations. In a second step, we apply the deﬁnition of the impulse response function in nonlinear models of Koop, Pesaran and … horizon, we estimate the density of the impulse response function with non parametric kernel estimator. These densities show … random shocks and histories. In a second step, we estimate these impulse response function with the observed history for …

Persistent link: https://www.econbiz.de/10011072507

EFFECTS OF FISCAL POLICY SHOCKS IN THE EUROPEAN TRANSITION ECONOMIES

MIRDALA, Rajmund - In: Journal of Applied Research in Finance Bi-Annually I (2009) 2, pp. 141-157

EU member countries are currently exposed to negative implications of the economic and financial crisis. In connection with this problem arises the question of an anti-cyclic role of an economic policy or more precisely the (regulatory) role of the government in the economy that seems to be the...

Persistent link: https://www.econbiz.de/10010742149

SHOCKING ASPECTS OF MONETARY INTEGRATION (SVAR APPROACH)

MIRDALA, Rajmund - In: Journal of Applied Research in Finance Bi-Annually I (2009) 1, pp. 52-62

One of the most challenging areas relating to the European Monetary Union (EMU) enlargement is the question of new member countries' vulnerability to exogenous shocks related to euro adoption. Even if well prepared, and also considering the business cycles of the EMU candidate countries became...

Persistent link: https://www.econbiz.de/10010742152

No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.

Jardet, C.; Monfort, A.; Pegoraro, F. - Banque de France - 2009

interactions of this large set of variables is based on the statistical notion of New Information Response Function, recently …

Persistent link: https://www.econbiz.de/10005034720

The economic effects of oil prices shocks on the UK manufacturing and services sector

Guidi, Francesco - Volkswirtschaftliche Fakultät, … - 2009

specification VAR model, the impulse response function reveals that oil price movement causes positive effects in both the output of …

Persistent link: https://www.econbiz.de/10005039968

The dynamic effects of shocks to wages and prices in the United States and the euro area

Duarte, Rita; Marques, Carlos Robalo - European Central Bank - 2009

This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural vector error-correction model, where the structural...

Persistent link: https://www.econbiz.de/10005002775

Vplyv inflačných očakávaní na vývoj úrokových sadzieb v krajinách Višegrádskej štvorky

Mirdala, Rajmund - Volkswirtschaftliche Fakultät, … - 2009

autoregression (SVAR). From the estimated model we compose the variance decomposition and the impulse-response function of the …

Persistent link: https://www.econbiz.de/10005109554

Interest rate transmission mechanism of the monetary policy in the selected EMU candidate countries (SVAR approach)

Mirdala, Rajmund - Volkswirtschaftliche Fakultät, … - 2009

The stable macroeconomic environment, as one of the primary objectives of the Visegrad countries in the 1990s, was partially supported by the exchange rate policy. Fixed exchange rate systems within gradually widen bands (Czech republic, Slovak republic) and crawling peg system (Hungary, Poland)...

Persistent link: https://www.econbiz.de/10005623288

Effects of Fiscal Policy Shocks in the European Transition Economies

Mirdala, Rajmund - Volkswirtschaftliche Fakultät, … - 2009

Persistent link: https://www.econbiz.de/10008550064