Showing 1 - 10 of 425
This paper is concerned with methods for analysing spatial data. After initial discussion on the nature of spatial data, including the concept of randomness, we focus most of our attention on linear regression models that involve interactions between agents across space. The introduction of...
Persistent link: https://www.econbiz.de/10011084195
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...
Persistent link: https://www.econbiz.de/10011083961
This paper presents an innovative approach to extracting factors which are shown to predict the VIX, the S&P 500 Realized Volatility and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we extract factors from panels of filtered volatilities - in...
Persistent link: https://www.econbiz.de/10011084614
judged solely on the realism of their assumptions. The role of theory is to explain the data, They should therefore be judged …
Persistent link: https://www.econbiz.de/10011083483
A fruitful emerging literature reveals that shocks to uncertainty can explain asset returns, business cycles and financial crises. The literature equates uncertainty shocks with changes in the variance of an innovation whose distribution is common knowledge. But how do such shocks arise? This...
Persistent link: https://www.econbiz.de/10011084011
If currency crises are triggered when the currency overvaluation hits a threshold, the expected magnitude of a devaluation, conditional on its occurrence, is substantially different from the unconditional expected currency overvaluation. That is not true if currency crises are triggered by...
Persistent link: https://www.econbiz.de/10005666718
This paper analyses the properties of multivariate tests of purchasing power parity (PPP) that fail to take heterogeneity in the speed of mean reversion across real exchange rates into account. We compare the performance of homogeneous and heterogeneous unit root testing methodologies. The...
Persistent link: https://www.econbiz.de/10005792288
The standard expectations augmented theory of ex-ante purchasing power parity (PPP), which was first developed by Roll …
Persistent link: https://www.econbiz.de/10005124291
This Paper analyses purchasing power parity (PPP) for the euro area. We study the impact of the introduction of the euro in 1999 on the behaviour of real exchange rates. We test the PPP hypothesis for a panel of real exchange rates within the euro area over the period 1973-2003. Our methodology...
Persistent link: https://www.econbiz.de/10005136546
This Paper tests for uncovered interest parity (UIP) using daily data for twenty-three developing and developed countries through the crisis-strewn 1990s. We find that UIP works better on average in the 1990s than in previous eras in the sense that the slope coefficient from a regression of...
Persistent link: https://www.econbiz.de/10005666485