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Growth and development in the Iberian Peninsula: three essays

Castro de Oliveira, Emanuel - 2009

country faced in the process of adopting new technologies. The numerical experiments suggest that Spain had consistently lower …

Persistent link: https://www.econbiz.de/10009464062

Empirical Evidence of Pricing Efficiency in Niche Markets

Koch, Sandra Idelle - 2000

Unique and proprietary data of the illiquid, one-year non cancelable for three month Bermudan swaps (1Y NC 3M swaps) and one-year non callable for three months Bermudan CDs (1Y NC 3M CDs), provides evidence of market efficiency. The 1Y NC 3M swap and 1Y NC 3M CD markets efficiently reflected...

Persistent link: https://www.econbiz.de/10009475064

Spread between the euro short-term rate (€STR) and the deposit facility rate

Santalla Pérez, Yasmina; Castillo Lozoya, María del Carmen

Rationale This article analyses the factors that are contributing to the widening of the spread between the euro short-term rate (€STR) and the deposit facility rate, with a view to assessing monetary policy transmission in the Eurosystem. Takeaways •The key factors that explain the...

Persistent link: https://www.econbiz.de/10014334724

Charakterisierung und Analyse von Asset Backed Securities.

Ebberg, Jan - 1997

Ziel dieser Arbeit war es, Asset Backed Securities anhand der Untersuchung von deren Konstruktionsmerkmalen und derDiskussion über deren potentielle Vor- und Nachteile gegenüber traditionellen Finanzierungsalternativen zu charakterisieren undzu analysieren. Insbesondere sollte ein möglicher...

Persistent link: https://www.econbiz.de/10009471904

Formation and dispersion of expectations : an empirical analysis with special focus on inﬂation

Jonas Dovern - 2009

This thesis is a collection of papers that use survey data to analyze expectations about macroeconomic variables and the way these expectations are formed. Using a new approach for modeling forecast errors in a structural way, we show that most of the individual forecasts in the Consensus survey...

Persistent link: https://www.econbiz.de/10009429015

Sensitivity of Investor Reaction to Market Direction and Volatility: The Case of Dividend Change Announcements

Koch, Paul D.; Docking, Diane Scott - 2004

This study examines whether investor reactions are sensitive to the recent direction and/orvolatility of underlying market movements. We find dividend change announcements elicit agreater change in stock price when the nature of the news (good or bad) goes against the grain ofthe recent market...

Persistent link: https://www.econbiz.de/10009430932

The behavioral economics of foreign exchange markets - a psychological view on human expectation formation in foreign exchange markets

Schmidt, Robert - 2004

explaining exchange rate movements. The asset market theory of exchange rate determination implies that exchange rates are mainly … driven by the development of macroeconomic fundamentals. Furthermore the asset market theory assumes that foreign exchange … speculation, economic theory states that speculation can have either a stabilizing effect or a destabilizing effect on exchange …

Persistent link: https://www.econbiz.de/10009433679

Bubble geometry and chaotic pricing behaviour

Eves, Chris; Wright, Christopher; Jefferies, Rod - 2008

This paper is a deductive theoretical enquiry into the flow of effects from the geometry of price bubbles/busts, to price indices, to pricing behaviours of sellers and buyers, and back to price bubbles/busts. The intent of the analysis is to suggest analytical approaches to identify the...

Persistent link: https://www.econbiz.de/10009437953

Learning in linear models with expectational leads

Wenzelburger, Jan - 2002

This paper provides an adaptive learning algorithm for linear stochastic models with expectational leads in which forecasts for an arbitrary period ahead of the current state feed back into the economic system. The concept of an unbiased forecasting rule with generates rational expectations...

Persistent link: https://www.econbiz.de/10009452462

The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM

Hillebrand, Marten; Wenzelburger, Jan - 2005

determining market clearing prices is calculated explicitly. The classical capital market line result of CAPM theory is extended …

Persistent link: https://www.econbiz.de/10009452468