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Persistent link: https://www.econbiz.de/10005758358
Persistent link: https://www.econbiz.de/10005339360
The volatility of interest rates is relevant for many financial applications. Under realistic assumptions the term structure of interest rate differentials provides an important predictor of the term structure of interest rates. This paper derives the term structure of differentials in a...
Persistent link: https://www.econbiz.de/10005306202
Based on Lorenz comparisons of two random variables from the four-parameter generalized beta distribution of the first kind, Lorenz-order relationships among order statistics from different power-function samples with varying sizes are obtained.
Persistent link: https://www.econbiz.de/10005319245
In this paper, we provide empirical evidence on the impact of institutional investors on stock market returns dynamics. The Polish pension system reform in 1999 and the associated increase in institutional ownership due to the investment activities of pension funds are used as a unique...
Persistent link: https://www.econbiz.de/10004964169
The process of international interest rate convergence for arbitrary terms (represented by the term structure of interest rate differentials) is derived in a model of a small open economy which faces a purely time-contingent exchange rate regime switch from flexible to fixed rates. Special...
Persistent link: https://www.econbiz.de/10004989331
The volatility of interest rates is relevant for many financial applications. Under realistic assumptions the term structure of interest rate differentials provides an important prediction of the term structure of interest rates. This paper derives the term structure of differentials in a...
Persistent link: https://www.econbiz.de/10004989356
Recent theory on exchange rate dynamics suggests that the mere announcement of regime switching from floating to fixed rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov-switching GARCH model this paper estimates the volatility...
Persistent link: https://www.econbiz.de/10004989360
Based on a theoretical monetary exchange-rate model in continuous time, this article establishes a sequential estimation framework which is capable of indicating central bank intervention in the run-up to a currency union. Using daily pre-European Monetary Union (pre-EMU) exchange-rate data for...
Persistent link: https://www.econbiz.de/10009228175
Recent theoretical advances in consumption theory suggest that there may exist predictable consumption surges which, if not taken sufficiently into account in forecasting, may lead to predictable forecast errors. We use this insight to identify economic variables that might help improve the...
Persistent link: https://www.econbiz.de/10005801327