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Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Persistent link: https://www.econbiz.de/10010515402

Financial cycles, credit bubbles and stabilization policies

Corrado, Luisa; Schuler, Tobias - 2018

This paper analyzes the effects of several policy instruments to mitigate financial bubbles generated in the banking … policy instruments in counteracting financial bubbles. We find that an endogenous capital requirement reduces the impact of a …

Persistent link: https://www.econbiz.de/10011952012

Carry funding and safe haven currencies : a threshold regression approach

Hossfeld, Oliver; MacDonald, Ronald - 2014

In this paper, we analyze which currencies can be regarded as safe haven currencies. Our empirical approach allows us to distinguish between a low- and high stress regime, and to control for the impact of carry trade reversals and other fundamental determinants. We therefore address the question...

Persistent link: https://www.econbiz.de/10010462763

Identification and estimation of the environmental Kuznets curve : pairwise differencing to deal with nonlinearity and nonstationarity

Sen, Suphi; Melenberg, Bertrand; Vollebergh, Herman R. J. - 2016

We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for the prevalence of the inverted U-shaped relation between environmental degradation and economic activity, namely the Environmental Kuznets Curve (EKC) hypothesis. First, we use...

Persistent link: https://www.econbiz.de/10011447524

Real-time state-space method for computing smoothed estimates of future revisions of U.S. monthly chained CPI

Zadrozny, Peter A. - 2016

Well known CPI of urban consumers is never revised. Recently initiated chained CPI is initially released every month (ICPI), for that month without delay within BLS and for the previous month with one month delay to the public. Final estimates of chained CPI (FCPI) are released every February...

Persistent link: https://www.econbiz.de/10011474973

Market depth, leverage, and speculative bubbles

Enders, Zeno; Hakenes, Hendrik - 2017

We develop a model of rational bubbles based on leverage and the assumption of an imprecisely known maximum market size … lend to traders with limited liability in a bubble is endogenous. Bubbles reduce welfare of future investors. We provide … general conditions for the possibility of bubbles depending on uncertainty about market size, traders' degree of leverage and …

Persistent link: https://www.econbiz.de/10011780495

Exchange rate regime, financial market bubbles and long-term growth in China : lessons from Japan

Schnabl, Gunther - 2016

, speculative bubbles and post-bubble secular stagnation. To prevent a similar scenario for China capital controls, a tighter …

Persistent link: https://www.econbiz.de/10011475972

Financial fragility, bubbles and monetary policy

Illing, Gerhard - 2001

The paper models the links between financial fragility, asset markets and monetary policy. It is shown that central bank's concern about the cost of financial disruption generates an asymmetric response, thus contributing to the creation of an asset price bubble. In an economy with a highly...

Persistent link: https://www.econbiz.de/10011398119

The EMBI in Latin America : fractional integration, non-linearities and breaks

Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2015

This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional...

Persistent link: https://www.econbiz.de/10011392612

Non-linearities and persistence in US long-run interest rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from...

Persistent link: https://www.econbiz.de/10012383724