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Have financial markets become more informative?
Bai, Jennie; Philippon, Thomas; Savov, Alexi - 2012
The finance industry has grown. Financial markets have become more liquid. Information technology has improved. But have prices become more informative? Using stock and bond prices to forecast earnings, we find that the information content of market prices has not increased since 1960. The...
Persistent link: https://www.econbiz.de/10009657611
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Statements of ECB officials and their effect on the level and volatility of the Euro-Dollar exchange rate
Jansen, David-Jan; Haan, Jakob de - 2003
This paper studies the reaction of the mean and volatility of the euro-dollar exchange rate to statements of ECB … officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We …. In some cases there are effects of statements on the level of the euro-dollar rate. Efforts to talk up the euro have not …
Persistent link: https://www.econbiz.de/10011507830
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The Euro/Dollar exchange rate : chaotic or non-chaotic?
Federici, Daniela; Gandolfo, Giancarlo - 2011
econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our …
Persistent link: https://www.econbiz.de/10009011774
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Commodity price effects on currencies
Cheung, Yin-Wong; Wang, Wenhao - 2022
Using quarterly data on four commodity exporting countries, we study the explanatory power of real commodity prices for predicting real effective exchange rates, with special attention to the separate roles of different sectoral commodity prices during alternative time periods. We find that the...
Persistent link: https://www.econbiz.de/10013383435
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The Euro-Dollar exchange rate : is it fundamental?
Camarero Olivas, Mariam; Ordóñez, Javier; Tamarit … - 2002
In this paper we have applied two approaches to the study of the dollar real exchange rate in relation with the Euro … seven developed countries, four of them Euro-area members. Second, we aggregate the European variables and estimate a model … for the Euro-dollar real exchange rate using time series techniques. After identification and model selection, the same …
Persistent link: https://www.econbiz.de/10011538958
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One-sided test for an unknown breakpoint : theory, computation, and application to monetary theory
Estrella, Arturo (contributor);  … - 2005
The econometrics literature contains a variety of two-sided tests for unknown breakpoints in time-series models with one or more parameters. This paper derives an analogous one-sided test that takes into account the direction of the change for a single parameter. In particular, we propose a sup...
Persistent link: https://www.econbiz.de/10003226093
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Fractional integration and cointegration in US financial time series data
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...
Persistent link: https://www.econbiz.de/10009011784
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Market liquidity after the financial crisis
Adrian, Tobias; Fleming, Michael J.; Shachar, Or; Vogt, Erik - 2017 - Revised June 2017
This paper examines market liquidity in the post-crisis era in light of concerns that regulatory changes might have reduced dealers' ability and willingness to make markets. We begin with a discussion of the broader trading environment, including an overview of regulations and their potential...
Persistent link: https://www.econbiz.de/10011547707
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Which financial frictions? : parsing the evidence from the financial crisis of 2007-09
Adrian, Tobias; Colla, Paolo; Shin, Hyun Song - 2011
The financial crisis of 2007-09 has sparked keen interest in models of financial frictions and their impact on macro activity. Most models share the feature that borrowers suffer a contraction in the quantity of credit. However, the evidence suggests that although bank lending contracted during...
Persistent link: https://www.econbiz.de/10009411381
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The Euro/Dollar exchange rate: Chaotic or non-chaotic?
Federici, Daniela; Gandolfo, Giancarlo - 2011
econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our …
Persistent link: https://www.econbiz.de/10010274880