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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10009535779
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Optimal policy under dollar pricing
Egorov, Konstantin; Mukhin, Dmitry - 2020
Recent empirical evidence shows that most international prices are sticky in dollars. This paper studies the optimal policy implications of this fact in the context of an open economy model, allowing for an arbitrary structure of asset markets, general preferences and technologies, time-or...
Persistent link: https://www.econbiz.de/10012213072
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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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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 existence of informationally efficient markets when individuals are rational
Muendler, Marc-Andreas - 2004
A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing asset price - contrary to a wide-held conjecture. Generalizing the common additive signal-return model with CARA utility to the family of distributions with moment generating...
Persistent link: https://www.econbiz.de/10011451345
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Testing for alpha in linear factor pricing podels with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
-Gaussianity and general forms of weakly cross correlated errors. It does not require estimation of an invertible error covariance …
Persistent link: https://www.econbiz.de/10011646274
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Tax competition in developed, emerging and developing regions : same same but different?
Mardan, Mohammed; Stimmelmayr, Michael - 2018
This paper analyzes tax competition between countries which differ in their country-specific risk. We show that the outcome of asymmetric tax competition crucially depends on the ability of multinational firms to shift profits. With high costs of profit shifting, higher-risk countries set lower...
Persistent link: https://www.econbiz.de/10011863532
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The worst of both worlds : fiscal policy and fixed exchange rates
Born, Benjamin; D'Ascanio, Francesco; Müller, Gernot J.; … - 2019
Under fixed exchange rates, fiscal policy is an effective tool. According to classical views because it impacts the real exchange rate, according to Keynesian views because it impacts output. Both views have merit because the effects of government spending are asymmetric. A spending cut lowers...
Persistent link: https://www.econbiz.de/10012118599
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Banks' portfolio of government debt and sovereign risk
Afonso, António; Alves, José; Monteiro, Sofia - 2023
We analyze domestic, foreign, and central banks holdings of public debt for 31 countries for the period of 1989-2022, applying panel regressions and quantile analysis. We conclude that an increase in sovereign risk raises the share of domestic banks' portfolio of public debt and reduces the...
Persistent link: https://www.econbiz.de/10014383613
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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