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Connectedness between the crude oil futures and equity markets during the pre- and post-financialisation eras
Wadud, Sania; Durand, Robert B.; Gronwald, Marc - 2021
and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price … volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after …
Persistent link: https://www.econbiz.de/10012599014
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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - 2016
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....
Persistent link: https://www.econbiz.de/10011434566
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10003965099
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The dependence structure between carbon emission allowances and financial markets : a copula analysis
Gronwald, Marc; Ketterer, Janina; Trück, Stefan - 2011
during the period of the financial crisis. In a Value-at-Risk (VaR) analysis, finally, we further illustrate the advantages … of copula methods. In particular the Student-t copula provides an appropriate quantification of VaR at different …
Persistent link: https://www.econbiz.de/10009011778
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Modelling the Egyptian shadow economy : a currency demand and a MIMIC model approach
Hassan, Mai; Schneider, Friedrich - 2016 - January, 20th 2016, Preliminary draft
We estimate the size and trend of the Egyptian shadow economy using two of the most common methods: the currency demand approach and the structural equation MIMIC model. To the best of our knowledge, this is the first comprehensive study to estimate the size of the shadow economy in Egypt during...
Persistent link: https://www.econbiz.de/10011418009
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …
Persistent link: https://www.econbiz.de/10011418016
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The impact of economic globalization on the shadow economy in Egypt
Farzanegan, Mohammad Reza; Hassan, Mai - 2017 - This version: 24.03.2017
This study examines the economic globalization and the shadow economy nexus in Egypt. Using time series data from 1976 to 2013, the impulse response analysis shows that the response of the shadow economy in Egypt to positive shocks in economic globalization is negative and statistically...
Persistent link: https://www.econbiz.de/10011645904
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Growth expectations, undue optimism, and short-run fluctuations
Enders, Zeno; Kleemann, Michael; Müller, Gernot J. - 2013
We assess the contribution of "undue optimism" (Pigou) to short-run fluctuations. In our analysis, optimism pertains to total factor productivity which determines economic activity in the long run, but is not contemporaneously observed by market participants. In order to recover optimism shocks...
Persistent link: https://www.econbiz.de/10010224834
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Identification of new Keynesian Phillips Curves from a global perspective
Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2008
Persistent link: https://www.econbiz.de/10003641659
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The loan puzzle : a study of loans to different groups in the USA.
Cafiso, Gianluca - 2020
We study loans from banking and non-banking lenders to different groups of borrowers in order to unveil significant differences on how those respond to a shock and evaluate possible alternative explanations for such differences. The objective is to gain insights useful to explain the loan...
Persistent link: https://www.econbiz.de/10012194423