Similar Search Results

Alexius, Annika - Nationalekonomiska Institutionen, Uppsala Universitet - 2004

relationship between duration and the first and second moments of bond returns. We identify three different channels through which … duration affects bond returns. The liquidity preference hypothesis yields a direct link between duration and returns, which … risk premia obtained from a multivariate GARCH-M model extended to allow the variance to depend on duration are of the same …

Persistent link: https://www.econbiz.de/10005190478

Studying the Relation between the Interest Rates and the Exchange Rate in Belarus under the Speculative Motives Assumption

Alexei, Miksjuk - EERC Research Network, Russia and CIS - 2009

Three alternative forms of relation between the interest rates and the exchange rate implied by the speculative behavior are tested. The uncovered interest parity, implying equal return of assets in home and foreign currency, is shown not to hold in Belarus. The uncovered interest parity with...

Persistent link: https://www.econbiz.de/10011094986

Is it Possible to Predict the CNB Repo Rate on the Basis of the Backward-Looking Monetary Rule?

Arlt, Josef; Mandel, Martin - In: Politická ekonomie 2012 (2012) 4, pp. 484-504

The aim of our paper is to formulate and empirically verify the simple backward looking econometric model of the monetary rule, which would be able to describe the development of CNB repo rate, namely only on the basis of statistically measured and in the given time available information. We...

Persistent link: https://www.econbiz.de/10011195205

Monetary Policy Efficiency in Conditions of Excess Liquidity Withdrawal

Mandel, Martin; Tomšík, Vladimír - In: Prague Economic Papers 2014 (2014) 1, pp. 3-23

In case that a central bank is withdrawing excess liquidity, there arises a question whether the monetary policy based on repo operations (withdrawal repo) is identically efficient as the monetary policy relying on repo rate connected with reverse repo (issuance repo) when central banks provide...

Persistent link: https://www.econbiz.de/10011195611

The Reaction Function of Three Central Banks

Arlt, Josef; Mandel, Martin - In: Prague Economic Papers 2014 (2014) 3, pp. 269-289

The aim of our paper is to formulate and empirically verify the simple backward looking econometric model of the monetary policy rule, which would be able to describe the development of monetary policy rate, namely only on the basis of statistically measured and at the given time available...

Persistent link: https://www.econbiz.de/10011195627

Testing the predictive power of the term structure without data snooping bias

Kao, Yi-Cheng; Kuan, Chung-Ming; Chen, Shikuan - In: Economics Letters 121 (2013) 3, pp. 546-549

It is well documented that the term structure of interest rates has predictive power for real economic growth. Applying the stepwise superior predictive ability test, we find that superior models contain both a short-term rate and a term spread.

Persistent link: https://www.econbiz.de/10010729444

Changes in persistence, spurious regressions and the Fisher hypothesis

Kruse, Robinson; Ventosa-Santaulària, Daniel; Noriega, … - School of Economics and Management, University of Aarhus - 2013

Declining inflation persistence has been documented in numerous studies. When such series are analyzed in a regression framework in conjunction with other persistent time series, spurious regressions are likely to occur. We propose to use the coefficient of determination R2 as a test statistic...

Persistent link: https://www.econbiz.de/10010851252

Forecasting the Term Structure of Interest Rates in Mexico Using an Affine Model

Elizondo, Rocío - Banco de México - 2013

The purpose of this paper is to show that an affine model which incorporates the condition of no arbitrage enables improvements in forecasting the term structure of interest rates in Mexico. The three factors of the yield curve (level, slope and curvature) used in the model are estimated by the...

Persistent link: https://www.econbiz.de/10010907568

Multiple Comparisons and Joint Significance in Panel Unit Root Testing with Evidence on International Interest Rate Linkage

Hassler, Uwe; Werkmann, Verena - In: Journal of Economics and Statistics (Jahrbuecher fuer … 234 (2014) 1, pp. 23-43

This paper adds to the issue of inference regarding potentially nonstationary panels where units are correlated. Recently, it has been proposed to tackle this problem by computing individual p-values and combining them to an overall joint significance. We adopt and illustrate this fairly general...

Persistent link: https://www.econbiz.de/10010907926

Does Uncovered Interest Rate Parity Hold in Turkey?

Karahan, Özcan; Çolak, Olcay - In: International Journal of Economics and Financial Issues 2 (2012) 4, pp. 386-394

Most of the earlier empirical studies focusing on developed countries failed to give evidence in favor of the Uncovered Interest Rate Parity (UIP). After intensive financial liberalization processes and mostly preferred free exchange rate regimes, a new area of research starts to involve the...

Persistent link: https://www.econbiz.de/10010583151