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Fluctuations in the Foreign Exchange Market: How Important are Monetary Policy Shocks?
Bouakez, Hafedh; Normandin, Michel - Centre Interuniversitaire sur le Risque, les Politiques … - 2008
We study the effects of U.S. monetary policy shocks on the bilateral exchange rate between the U.S. and each of the G7 countries. We also estimate deviations from uncovered interest rate parity and exchange rate pass-through conditional on these shocks. The analysis is based on a structural...
Persistent link: https://www.econbiz.de/10005015281
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An Eigenfunction Approach for Volatility Modeling.
MEDDAHI, Nour - Département de Sciences Économiques, Université de … - 2001
In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming that the loading function is ad hoc (e.g., exponential...
Persistent link: https://www.econbiz.de/10005545733
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Quadratic M-Estimators for ARCH-Type Processes
MEDDAHI, Nour; RENAULT, Éric - Département de Sciences Économiques, Université de … - 1998
. We establish the direct links between the usual parametric estimation methods, namely, the QMLE, the GMM and the M …-estimation. The ususal univariate QMLE is, under non-normality, less efficient than the optimal GMM estimator. However, the bivariate … QMLE based on the dependent variable and its square is as efficient as the optimal GMM one. A Monte Carlo analysis confirms …
Persistent link: https://www.econbiz.de/10005729782
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Credit Spread Changes within Switching Regimes
Maalaoui, Olfa; Dionne, Georges; François, Pascal - Centre Interuniversitaire sur le Risque, les Politiques … - 2009
Many empirical studies on credit spread determinants consider a single-regime model over the entire sample period and find limited explanatory power. We model the credit cycle independently from macroeconomic fundamentals using a Markov regime switching model. We show that accounting for...
Persistent link: https://www.econbiz.de/10005015278
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On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
Laurent, Sébastien; Rombouts, Jeroen V.K.; Violante, … - Centre Interuniversitaire sur le Risque, les Politiques … - 2009
A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability. The ranking of multivariate volatility models is...
Persistent link: https://www.econbiz.de/10008567826
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On the Forecasting Accuracy of Multivariate GARCH Models
Laurent, Sébastien; Rombouts, Jeroen V.K.; Violante, … - Centre Interuniversitaire sur le Risque, les Politiques … - 2010
This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting accuracy with a particular focus on relatively large scale problems. We consider 10 assets from NYSE and NASDAQ and compare 125 model based one-step-ahead conditional variance...
Persistent link: https://www.econbiz.de/10008595652
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Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period
Dionne, Georges; Chun, Olfa Maalaoui - Centre Interuniversitaire sur le Risque, les Politiques … - 2013
Using a real-time random regime shift technique, we identify and discuss two different regimes in the dynamics of credit spreads during 2002-2012: a liquidity regime and a default regime. Both regimes contribute to the patterns observed in credit spreads. The liquidity regime seems to explain...
Persistent link: https://www.econbiz.de/10010687963
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Global versus Country-Specific Shocks and International Business Cycles
Normandin, Michel; Fosso, Bruno Powo - Institut d'Économie Appliquée, HEC Montréal (École … - 2005
This paper documents the relative importance of global and country-specific shocks for international business cycles. For this purpose, we rely on a symmetric two-country, dynamic, general-equilibrium model with costly, incomplete, international financial markets. We also relate exogenous...
Persistent link: https://www.econbiz.de/10005677357
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Global versus Country-Specific Shocks and International Business Cycles
Normandin, Michel; Fosso, Bruno Powo - Centre Interuniversitaire sur le Risque, les Politiques … - 2006
This paper documents the relative importance of global and country-specific shocks for international business cycles. For this purpose, we rely on a symmetric two-country, dynamic, general-equilibrium model with costly, incomplete, international financial markets. We also relate exogenous...
Persistent link: https://www.econbiz.de/10005795973
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Fiscal Policy and External Adjustment: New Evidence
Bouakez, Hafedh; Chihi, Foued; Normandin, Michel - Centre Interuniversitaire sur le Risque, les Politiques … - 2011
Relatively little empirical evidence exists about countries’ external adjustment to changes in fiscal policy and, in particular, to changes in taxes. This paper addresses this question by measuring the effects of tax and government spending shocks on the current account and the real exchange...
Persistent link: https://www.econbiz.de/10009283399