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Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?
Dreger, Christian - 2009
The real interest parity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper...
Persistent link: https://www.econbiz.de/10013158584
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The Relation between Monetary Policy and the Stock Market in Europe
Lütkepohl, Helmut - 2018
We use a cointegrated structural vector autoregressive model to investigate the relation between euro area monetary policy and the stock market. Since there may be an instantaneous causal relation we consider long-run identifying restrictions for the structural shocks and also use (conditional)...
Persistent link: https://www.econbiz.de/10012921883
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Nonlinear Intermediary Pricing in the Oil Futures Market
Bierbaumer, Daniel - 2018
We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in...
Persistent link: https://www.econbiz.de/10012926240
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Heteroskedastic Proxy Vector Autoregressions
Lütkepohl, Helmut - 2020
In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroskedasticity is occasionally allowed for, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change in their...
Persistent link: https://www.econbiz.de/10012830259
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Bayesian Structural VAR Models : A New Approach for Prior Beliefs on Impulse Responses
Bruns, Martin - 2019
Fairtrade certification aims at transferring wealth from the consumer to the farmer; however, coffee passes through many hands before reaching final consumers. Bringing together retail, wholesale, and stock market data, this study estimates how much more consumers are paying for Structural VAR...
Persistent link: https://www.econbiz.de/10012889197
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Exchange Rates, Foreign Currency Exposure and Sovereign Risk
Bernoth, Kerstin - 2019
We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) using data from 10/2004 through 12/2016. We apply a novel data based identification approach of the structural...
Persistent link: https://www.econbiz.de/10012891675
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Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified Through GARCH
Lütkepohl, Helmut - 2018
generalized autoregressive conditional heteroskedastic (GARCH) innovations. The bootstrap methods considered are a wild bootstrap …, a moving blocks bootstrap and a GARCH residual based bootstrap. Estimation is done by Gaussian maximum likelihood, a … simplified procedure based on univariate GARCH estimations and a method that does not re-estimate the GARCH parameters in each …
Persistent link: https://www.econbiz.de/10012913245
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Monetary Policy, External Instruments and Heteroskedasticity
Podstawski, Maximilian - 2018
We develop a vector autoregressive framework for combining the information in an external instrument with the information in the second moments of the data to identify latent monetary shocks in the United States. We show that the framework improves the identification of the structural model and...
Persistent link: https://www.econbiz.de/10012913247
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Stock Market Integration in Asia : Global or Regional? Evidence from Industry Level Panel Convergence Tests
Caporale, Guglielmo Maria - 2017
This paper examines global and regional stock market integration in Asia at both the aggregate and disaggregate (industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised as follows. In the pre-2008 crisis period, no...
Persistent link: https://www.econbiz.de/10012955893
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Global and Regional Financial Integration in Emerging Asia : Evidence from Stock Markets
Caporale, Guglielmo Maria - 2017
This paper employs a price-based measure of integration, namely stock return differentials between ten emerging Asian economies and the US (as an indicator of global integration), as well as Japan and the Asian region (as two alternative indicators of regional integration), to test for mean...
Persistent link: https://www.econbiz.de/10012955895