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Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - 2002

data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001 … and Italy less closely linked to the German market. Fourth, overall dependencies are quite symmetric, in the sense that … grosser Kursschwankungen anhand von täglichen Daten der Aktienmarktindices für Deutschland, Großbitannien, Frankreich, die …

Persistent link: https://www.econbiz.de/10011431447

European inflation expectations dynamics

Döpke, Jörg; Dovern, Jonas; Fritsche, Ulrich; … - 2005

four major European economies (France, Germany, Italy and the United Kingdom). As opposed to the benchmark rational …

Persistent link: https://www.econbiz.de/10003115702

Exchange rate dynamics, expectations, and monetary policy

Chen, Qianying - 2011

This paper re-investigates the implications of monetary policy rules on changes in exchange rate, in a risk-adjusted, uncovered interest parity model with unrestricted parameters, emphasizing the importance of modeling market expectations of monetary policy. I use consensus forecasts as a proxy...

Persistent link: https://www.econbiz.de/10009244259

Asset pricing implications of Pareto optimality with private information

Kocherlakota, Narayana Rao (contributor); … - 2005

In this paper, we consider a dynamic economy in which the agents in the economy are privately informed about their skills, which evolve stochastically over time in an arbitrary fashion. We consider an asset pricing equilibrium in which equilibrium quantities are constrained Pareto optimal. Under...

Persistent link: https://www.econbiz.de/10003126205

Central bank accountability and transparency : theory and some evidence

Eijffinger, Sylvester C. W.; Hoeberichts, Marco - 2000

The first part of this paper outlines the concept of democratic accountability of central banks, and compares the legal accountability of the ECB with some other central banks (Bank of Canada, Bank of Japan, Bank of England and the Federal Reserve System). In the second part, we present a theory...

Persistent link: https://www.econbiz.de/10011418852

Foreign direct investment, spillovers and absorptive capacity : evidence from quantile regressions

Girma, Sourafel (contributor); Görg, Holger (contributor) - 2005

This paper focuses on the role of absorptive capacity in determining whether or not domestic firms benefit from productivity spillovers from FDI using establishment level data for the UK. We allow for different effects of FDI on establishments located at different quantiles of the productivity...

Persistent link: https://www.econbiz.de/10002826005

Financial constraints and capacity adjustment in the United Kingdom - evidence from a large panel of survey data

Kalckreuth, Ulf von (contributor); Murphy, Emma (contributor) - 2004

The interrelationship between financial constraints and firm activity is a hotly debated issue. The way firms cope with financial constraints is fundamental to the analysis of monetary transmission, of financial stability and of growth and development. The CBI Industrial Trends Survey contains...

Persistent link: https://www.econbiz.de/10002681975

Efficient estimation of forecast uncertainty based on recent forecast errors

Knüppel, Malte - 2009

horizon. In this paper, the efficiency gains from the joint estimation of forecast uncertainty for all horizons in such …

Persistent link: https://www.econbiz.de/10003882901

Empirical simultaneous confidence regions for path-forecasts

Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010

-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate …

Persistent link: https://www.econbiz.de/10003962215

How informative are central bank assessments of macroeconomic risks?

Knüppel, Malte; Schultefrankenfeld, Guido - 2011

Surveying the forecasting practice of several central banks, we find that all these banks issue statements about risks to their macroeconomic forecasts. Often the balance of these risks is assessed as well. Upward [downward] risks to the forecast commonly imply that the outturn is expected to...

Persistent link: https://www.econbiz.de/10009159256