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We explore the time variation of factor loadings and abnormal returns in the context of a four-factor model. Our methodology, based on an application of the Kalman filter and on endogenous uncertainty, overcomes several limitations of competing approaches used in the literature. Besides taking...
Persistent link: https://www.econbiz.de/10010906237
type="main" xml:lang="en" <title type="main">Abstract</title> <p>I employ a parsimonious model with learning, but without conditioning information, to extract time-varying measures of market-risk sensitivities, pricing errors and pricing uncertainty. The evolution of these quantities has interesting implications for...</p>
Persistent link: https://www.econbiz.de/10011031961
We estimate forward-looking interest-rate reaction functions Exchange Rate Model for four ERM countries. Reputational factors and convergence to the German inflation rate are found to be the main policy goals. We cannot detect evidence that the target zone band was exploited to implement...
Persistent link: https://www.econbiz.de/10005065866
Thanks to the Maastricht Treaty and similar arrangements, central banks nowadays enjoy considerable independence. This is generally believed to be the result of relatively recent debates, which led to the conclusion that sheltering monetary authorities from the pressures of fiscal policymakers...
Persistent link: https://www.econbiz.de/10005711922
We examine Italian inflation rates and the Phillips curve with a very long-run perspective, one that covers the entire existence of the Italian lira from political unification (1861) to Italy's entry in the European Monetary Union (end of 1998). We first study the volatility, persistence and...
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