We construct a realized volatility measure, using prices of daily West Texas Intermediate (WTI) crude oil futures and illustrate the robustness of this oil price volatility–macroeconomy relationship under a multivariate co-integrated vector autoregressive (VAR) model. Empirical results suggest...

E02, E24, E60, J38, J58, J68 </AbstractSection> Copyright Bouis et al.; licensee Springer. 2012

We quantify the short-run and long-run price effect of posting a limit order in an order book market by proposing a high-frequency cointegrated VAR model for quotes and order book depth. Estimating impulse response functions based on data from 30 stocks traded at Euronext Amsterdam we show that...

Regional and national development policies play an important role to support local enterprises in Italy. The amount of financial aid may be a key feature for firms’ employment policies. We study the impact on employment of the amount of financial aid attributed to enterprises located in...

The aim of this article is to define the monetary transmission mechanism of the Polish economy and to identify the impact of shocks from the monetary policy on macroeconomic indicators such as price levels or GDP. In this regard there were used a theoretical vector autoregression model and...

The aim of this article is to define the monetary transmission mechanism of the Polish economy and to identify the impact of shocks from the monetary policy on macroeconomic indicators such as price levels or GDP. In this regard there were used a theoretical vector autoregression model and...