ISSN WORKING PAPER 02/2010

Save this PDF as:
 WORD  PNG  TXT  JPG

Size: px
Start display at page:

Download "ISSN - 2038-6931 WORKING PAPER 02/2010"

Transcription

1 ISSN WORKING PAPER 02/2010 Copyrigh CREG 2010 Tui i dirii riservai

2 The effecs of ambiguous cenral bank s communicaion on money marke raes: he sudy of a special case Carlo Di Giorgio a, Alessio Fonani b, Enzo Rossi c,± a Tor Vergaa Universiy of Rome and CeMASM, LUISS Universiy of Rome. b Cassa di Risparmio di Firenze and LUISS Universiy of Rome. c Tor Vergaa Universiy of Rome and LUISS Universiy of Rome. Absrac We asked a represenaive sample of European banks o judge messages released by ECB members (from February 1999 o February 2000) in erms of heir ambiguiy. In his paper, we use he answers provided by he surveyed sample o derive a definiion of ambiguiy and o evaluae ECB communicaion. Also, we give examples on how o use our definiion of ambiguiy for economeric purposes. A Srucural Vecor Auoregression model is esimaed and he resuls show ha ambiguous messages were able o affec agens expecaions for a limied period afer a speech by ECB members; moreover, hey show ha ambiguiy had emporary effecs also on volailiy and moved raes away from he policy rae. JEL CLASSIFICATION: C32, E4, E5 Keywords: ECB communicaion; ambiguiy indicaors; Srucural VAR ± Corresponding auhor. Tel addresses: (C. Di Giorgio), (A. Fonani), (E. Rossi). We hank Mr. Brizi, former Presiden of Euribor A.I.C.; Mr.Drago; Mr. Cocuccioni and ATIC for heir suppor. We also hank Marco Spallone for his useful suggesions and Luca Viali for his effor. This paper is a chaper of a research projec financed by he former MURST and supervised by Prof. Enzo Rossi. 2

3 1. Inroducion The exisence of a rade-off beween credibiliy and flexibiliy of moneary policies is well known in he radiional lieraure. The meaning of such rade-off is he following: if moneary auhoriies perceive ha he inflaion bias due o a lack of credibiliy makes heir final goals impossible o reach, hey may find convenien o disclose heir privae informaion in order o gain more credibiliy (i.e., sharing informaion plays he same role of a pre-commimen); however, if moneary auhoriies choose o pursue sabilizaion, some of heir sraegies are more effecive if hey are unexpeced 1. Given his rade-off, we wondered wheher an ambiguous communicaion could be a sraegic choice aimed a gaining flexibiliy or no. More precisely, we wondered wheher an ambiguous communicaion could make cenral banks less accounable and cenral banks goals easier o achieve. We believed ha he answer should come from empirical sudies on he effec of ambiguiy on direcion and volailiy of ineres raes. More recen lieraure has explored he impac of communicaion on he direcion of ineres rae, and examined he volailiy of ineres raes during he process of adjusmen. Bu here, volailiy is relaed o marke movemens due o he inclusion of news, and no also, if any, o ambiguiy of communicaion. On he oher side, many auhors poin ou ha classify and hen code on a numeric scale all saemens according heir conen and inenion, is necessarily subjecive and here may be misclassificaions. In his view, also ambiguiy of communicaion should be emphasized, sressing ou he specific difficuly in coding i. In his lieraure, we could no find any definiion (and measure) of ambiguiy ha 1 Many auhors focused on his opic. Cuckierman (1986, 1991) proved ha "hrowing dus in he eyes" migh be a good sraegy, if moneary auhoriies have o surprise raders in order o minimize heir loss funcions. Svensson (1995) proposed he so called inflaion argeing. He showed ha ransparency and pre-commimen may alleviae he inflaion bias in case of lack of credibiliy. Garfinkel and Oh (1995) showed ha here exiss a negaive correlaion beween he degree of precision of he announcemens and he inflaion bias. Finally, Padoa Schioppa (1995) said ha ambiguiy migh be a good sraegy in case of insabiliy, since i helps keeping a high consideraion of moneary auhoriies. 3

4 could serve our purpose. So, we changed he focus and we decided o provide a new approach o ambiguiy ha could be of some pracical use. The idea was o ask he marke operaors iself abou heir percepion abou inenion and ambiguiy of he speeches of he Cenral Bank. In order o do ha, we surveyed a represenaive sample of European banks asking hem o judge he messages released by ECB members from he 2 nd of February 1999 o he 22 nd of February 2000 in erms of heir ambiguiy. The survey was conduced immediaely afer he period considered. Quesions were addressed o reasury managers in charge of each bank. The survey has no been updaed o include more recen years, since daa were gahered and sen o he banks reasury manager, bu over he ime here were various bank fusions and acquisiions, so ha i was no possible o updae and replicae he survey wih a homogenous sample. In his view, our model can be considered a simulaion exercise relaed o a paricular period (he firs year) of he ECB hisory. The choice of ECB and Euro s saring period was made no in order o evaluae he Cenral Bank s policy, bu because his offers a special opporuniy o assess he relaionship beween communicaion and he managemen of money markes in general. In he following secions, we use he answers provided by he surveyed sample o define and measure ambiguiy. In erms of our new definiion, we conclude ha ECB communicaion from February 1999 o February 2000 was perceived as ambiguous by agens operaing in European money markes. Also, we provide examples o show ha, if ambiguiy is measurable, is effec on money markes can be quanified. In paricular, we use a srucural VAR o capure he effecs of ambiguiy on a seleced se of money marke variables, noing ha he idenificaion of he model suppor he causal link from ambiguiy o he volailiy and he oher variables bu i does no suppor he conrary 2. For he inerval of ime aken ino consideraion, he resuls of he esimae are he following: 2 The idenificaion scheme is presened in he equaions (5), and validaed by a LR es. 4

5 1) messages were able o affec expecaions, and hese in urn affeced marke raes; 2) ambiguiy had a srong effec on volailiy; 3) ambiguiy moved raes away from he policy rae. Given hese resuls, we argue ha ambiguiy of ECB communicaion was no a sraegic choice, bu he resul of a lack of coordinaion among members, who didn share a homogeneous view on he sance of moneary policy. We can speak of lack of clearness of he moneary policy as a whole, in his resriced sense. We wan o poin ou ha his paper is no aimed o criicize ECB. Noice ha a he ime we colleced he daa, we had o make a choice abou he cenral bank whose communicaion was o be invesigaed. We chose o focus on ECB communicaion because ECB was recenly esablished and ambiguiy could arise from many differen sources (i.e., sraegic choices, differen backgrounds of ECB members, iniial lack of coordinaion).the main resul is ha, in he case sudied, ambiguiy wasn a sraegic choise. The paper is organized as follows: Secion 2 conains he relaed lieraure and beer moivaes our paper. Secion 3 is a descripion of he survey sen o he sampled European banks; in paricular, i explains how he quesions included in he survey were chosen and how he sample o be surveyed was seleced.. Secion 4 inroduces he srucural VAR model and discusses he impulse response funcions in order o assess he dynamic behavior of he model. Secion 5 summarizes he main resuls. We can speak of lack of clearness of he moneary policy as a whole, in his resriced sense. 2. Relaed Lieraure Many economiss focused on cenral banks communicaion. Among hem, Blinder (1998) showed ha efficiency of markes is enhanced if cenral bank policies are disclosed o he public. Raffery and Tomljanovich (2002) wondered wheher he 5

6 predicabiliy of financial markes improved or worsened since 1994, ha is since when he FED decided a more open public disclosure. Using mehods similar o Campbell and Shiller (1989), hey concluded ha forecasing errors decreased. Dornbusch e al. (1998) highlighed he imporance of he abiliy o communicae o he public for he success of ECB. Bernanke (2004) has acknowledged ha communicaion plays a seminal role in improving he effeciveness of policy. The lieraure on cenral bank communicaion has shown i may use various channels and ha here is no opimal cenral bank communicaion sraegy, since one sraegy could work for one cenral bank, bu may no work for he oher (de Haan e al, 2007). As o he imporance of he speeches of a Cenral Bank board, as an imporan way of communicaion, here are specific sudies. Connolly and Kohler (2004), esimae he impac of four ypes of news on financial markes expecaions of fuure ineres raes: domesic macroeconomics news, foreign news, moneary policy surprises and cenral bank communicaion. Their resuls sugges ha cenral bank communicaion does no give a large conribuion o overall movemens in ineres rae fuures, adding only a few basis poins o he sandard deviaion of ineres raes on he day which he communicaion occurs, whereas in comparison hey find ha domesic and foreign macroeconomic news make a wider conribuion o he variance of changes in ineres rae fuures. Bu his is no all he sory, because oher auhors reach differen resuls, which sress ou he imporance of communicaion. Blinder e al (2008), focus heir survey on cenral bank communicaion on high-frequency channels, such as announcemens and speeches or inerviews, noing ha i is no always sraighforward o deermine he iming of he communicaion even which causes financial markes o reac. Ehrmann and Frazscher (2007), compare he iming of communicaion of he FED, he ECB, and he Bank of England. They find ha on average on he days preceding he moneary policy meeings, here is less communicaion compared o oher days, showing ha he inensiy of communicaion is differen before raher han afer meeings for all hree 6

7 cenral banks, indicaing he aemp of cenral banks o prepare markes for he upcoming meeing. They find ha speeches and inerviews by FED members generally affec financial markes in he inended direcion, since saemens suggesing ighening lead o high raes and viceversa. Connolly and Kohler (2004), Reeves and Sawicki (2007), among ohers, sudy he effecs of cenral bank communicaion evens on he volailiy of financial variables, arguing ha if communicaion affec he reurns on he asses heir volailiy increase on days of cenral bank communicaions. As poined ou by Blinder e al (2008), he researchers sudy wheher he cenral bank communicaions creae news, and how hey move he financial variables, no wheher hey move markes in he righ direcion. Reeves and Sawicki (2007), underline he possibiliy ha communicaion may be endogenous, so ha i no necessarily may affec he volailiy of asse prices, whereas he endogeneiy could be a minor problem when he daes of major communicaions are known in advance. Kohn and Sack (2004), abou Federal Open Marke Commiee (FOMC) communicaion, find ha volailiy of he financial variables increases significanly when here are saemens released by he FOMC members, and hese changes show ha bank communicaion conveys relevan informaion for he markes. However, i is no clear wheher volailiy is relaed o marke movemens due o he inclusion of news, and no also, if any, o ambiguiy of communicaion. This urns ou o he relevan mehodological problem. How is poined ou by Blinder e al (2008), classify and hen code on a numeric scale all saemens, according heir conen and inenion (even more according heir ambiguiy), is necessarily subjecive and here may be misclassificaions. Moreover, when saemens are idenified hrough media inermediaries, hese could be selecive or misleading in heir repors. In our survey, we avoid his arbirariness collecing personally he speeches and asking heir judgmen abou saemens o a seleced sample of marke paricipans, so for he firs ime i is possible o race he direc percepion of he markes. In a firs paper on his opic, Fonani, Rossi and Spallone (2001), for he firs ime used a daase of speeches of ECB members, as o give an evaluaion of 7

8 effeciveness of communicaion in conducing moneary policy. They asked percepion direcly o marke operaors. Frazscher (2004) has made he same in order o evaluae he effeciveness of oral inervenion on exchange rae policy. However, his measure of markes percepion of he meaning of each speech is judgmenal, since i is made by he auhor iself and his, admiedly, is a facor of weakness of his work. As for our knowledge, while many auhors focused on communicaion ou cour, nobody sudied he specific effecs of an ambiguous communicaion. We believe ha his is due o he fac ha in he lieraure he noion of ambiguiy (or ransparency) is oo judgmenal o be of any pracical relevance. Winkler (2000) ried o provide a beer definiion of ransparency. He concluded ha wha maers is common undersanding beween cenral banks and heir audience. We buy his poin and ask ECB audience o judge ECB communicaion. We come up wih a se of measures for ambiguiy ha allow us o invesigae he effecs of ambiguiy of communicaion on markes in a very original manner. 3. The Survey: Choice of Quesions and Sample Selecion The survey was divided ino wo pars. The firs was abou ECB members (speakers) 3 ; he second was abou he messages (speeches) ha hose members have released in boh formal and informal evens. In he firs par, an opinion abou each speaker's influence on European money markes was asked. The second par included a se of 135 messages passed on o he public by ECB members from he 2 ND of February 1999 o he 22 ND of February These 135 messages included all messages regarding moneary policy. Also, hey included 3 In paricular, i was abou he members of he Execuive Board and he members of he Council, including wo former members sill considered auhoriaive. 8

9 messages regarding exchange raes and fiscal policy. The reason for his choice was ha raders usually have a clear percepion of he correlaion beween fiscal policy and moneary policy. So, we hough ha hey were able o infer he sance of moneary policy even from messages regarding fiscal maers 4. The survey was conduced immediaely afer he period considered. Quesions were addressed o reasury managers in charge of each bank. For each one of he 135 messages banks were asked o give wo judgmens. The firs one was abou he direcion of ECB inervenion ha could be inferred from he message (i.e., a rise or a decrease of he official rae, or no inervenion a all), and he measure of such inervenion (i.e., less han 50 basis poins, equal or higher han 50 basis poins). The second one was abou he ambiguiy of he message. In paricular, he banks were asked o judge each message: "very clear", "fairly clear", or "ambiguous". Obviously, some answer could be affeced by he memory of wha happened afer he messages were released. So, even if he sample was asked o focus only on he conen of each single message wihou hinking abou he pas, daa could be biased. However, even he messages ha gave wrong anicipaion have been inerpreed correcly by he sample wih no regard o wha happened afer hey were released. For his reason, we feel comforable ha he resuls do no overesimae he effec of communicaion on agens' expecaions. The sample consiss of 21 subjecs operaing in European money markes (i.e. commercial banks, invesmen banks and oher financial insiuions). I is impossible o disclose he real names of hese 21 subjecs for privacy reasons. However, all of hem are financial insiuions of large size and mos of hem are included in he EONIA group. They are from many differen European counries and all of hem operae boh in heir home counries and abroad. So, hey are a balanced and represenaive sample of agens operaing in European money markes. 4 This idea was confirmed by he answers. In fac, he surveyed sample proved iself o be able o inerpre messages abou fiscal policy in erms of expecaions on fuure ineres raes. 9

10 The following example gives an idea abou he survey. On February he 2 ND 1999, Noyer (ECB Vice Presiden) said: "I am no concerned ha Europe's single currency will be overly srong agains he US dollar and he Japanese yen, signaling he ECB migh no need o cu ineres raes early in 1999." Afer reading his message, 20 banks chose he following inerpreaion: ECB will leave ineres raes unchanged; only 1 bank chose: ECB will cu ineres raes by less han 50 basis poin. Also, 10 banks judged his message "very clear", 9 banks judged i "fairly clear", and 1 bank judged i "ambiguous". In he firs par of he survey Noyer was judged o be an influen ECB member: on a 1-10 scale, he received an average grade equal o 7, The Effec of Ambiguiy on Money Markes: A Srucural VAR Model Based on previous hypohesis on he role of ECB communicaion, we use a Srucural Vecor Auoregression (SVAR) framework 5 o consider he behavior of a se of variables and o see if he ambiguiy of speeches can have significan effecs on money marke raes and may influence he financial markes agens expecaions. We consider modeling he following variables vecor Y ( voleurib, expdisp, eupolsq, amb ) (1) ha is, a daa se where - voleurib is one monh Euribor ineres rae volailiy, as represenaive of marke response o moneary policy impulse. Oher ineres raes, like Eonia were esed, bu he resuls of he SVAR model were subsanially he same. 5 See Amisano and Giannini (1997), among ohers, for a general exposiion of he idenificaion and esimaion mehods for Srucural VAR models. 10

11 - expdisp is he dispersion of agens' expecaions abou he direcion and he magniude of ECB inervenion. The variable expecaion ha represens such expecaions is a qualiaive variable. I ges value 1 when a message is inerpreed as an anicipaion of a cu of official raes greaer han 50 b.p., value 2 when a message is inerpreed as an anicipaion of a cu of official raes smaller han 50 b.p., value 3 when a message is inerpreed as an anicipaion of unchanged official raes, value 4 when a message is inerpreed as an anicipaion of a rise of official raes smaller han 50 b.p., value 5 when a message is inerpreed as an anicipaion of a rise of official raes greaer han 50 b.p. - eupolsq is he squared difference beween he Euribor rae and he policy rae, idenified as he ECB financing aucion rae. We recall ha in he radiional view, he Cenral Bank handles policy raes in order o influence a seleced marke rae, which represens is operaional arge. - amb is a qualiaive variable ha ges value 1 when a message is judged by he banks "very clear", value 2 when a message is judged "fairly clear", and value 3 when a message is judged "ambiguous", hen i is weighed in each poin 6. The variables are all saionary, only he policy rae is aken in firs difference since is I(1). The ime frequency of he variables is he ECB communicaion periods. Our specificaion is oriened o model hese variables by means of a vecor auoregressive model since i can analyze he relaionship beween hese variables and capuring heir ime developmen. The idenificaion scheme allows for a conemporaneous ineracion beween voleurib, expdisp, eupolsq and amb. To accoun for hese feaures, we specify a SVAR model given by he expression AY A L Y B L X Be E e E e e I (2) ' ( ) 1 ( ) ( ) 0; ( ) n 6 The weighs derive from he member weighing in influencing markes reacion o saemens and speeches. 11

12 where Y is he vecor of endogenous variables (1), X is a vecor of exogenous variables: in our case i conains only he policy ineres rae, AL ( ) and BL ( ) are convergen marices polynomial in he lag operaor L, e is he vecor of srucural shocks where is variance-covariance marix conains orhonormal variables uncorrelaed and wih uni variance. In he erminology of Amisano and Giannini (1997), his is an AB-model, where A and B are wo square and inverible marices. The A marix direcly applies o he observable quaniies and conains he conemporaneous ineracions beween he endogenous variables, whils he B marix applies o he unobservable variables of he e vecor of srucural shocks. Premuliplying boh sides of (2) by srucural model 1 A gives he reduced form associaed wih he Y C L Y F L X E E ' ( ) 1 ( ) ( ) 0; ( ) where (3) C L 1 ( ) A A( L), F L 1 ( ) A B( L) and are he residuals of 1 A Be he reduced form. Then hese residuals can be relaed o he srucural shocks by he following general srucural model: A Be (4) The firs sep of SVAR analysis is based on he esimaion of he reduced form, where he lag runcaion order has been se o 3 using sandard es procedures. The second sep of SVAR analysis consiss in he idenificaion and FIML esimaion of he parameers in A and B 7, a his aim, all he sample informaion needed is conained in he esimaed variance-covariance marix of he reduced form disurbances. In our model he se of linear consrains leads o he following form of A and B : 7 All esimaions of he parameers and he impulse response funcions have been carried ou using RATS and MALCOLM, a RATS procedure developed by R. Mosconi. 12

13 A a14 b a 0 b b B a b so, he above marices lead a he following se of resricions on he relaion beween reduced form and srucural shocks of he equaion (4): voleurib a amb b e expdisp a amb b e eupolsq a amb b e amb b e amb vol exp ep (5) a 14, a 24 and a 34 accoun for he conemporaneous effecs of amb on voleurib, expdisp and eupolsq, respecively. Since he oher parameers of he A marix are saisically no significan a he 5% level, hey have been joinly deleed, leading o a siuaion of overidenificaion of he model, ha has been validaed by a LR es. 8 Table 1 Srucural equaions esimaes of he overidenified model voleurib amb 0.343e vol expdisp amb e exp eupolsq 0.06 amb e amb e ep amb LR Tes for 3 overidenifying resricions: 8 The LR es is 2 (3) = wih a p-value of [0.991] 13

14 0.104, significance level = In Table 1 esimaes of he A and B parameers of he model proposed are presened along wih he associaed -values in brackes. In he las sep of he analysis i is of ineres o sudy he dynamic effecs produced by he srucural shocks, in paricular by he ambiguiy shock, on he behaviour of he considered variables. In order o perform his simulaion analysis he echniques used are he IRF (Impulse Response Funcions) for he four variables. In paricular, we are ineresed o he sudy of he dynamic responses of he level of each variable o a uni innovaion in he idenified srucural amb and expdisp disurbances. The responses of he variables are displayed in Figures 1-5, along wih heir calculaed asympoic confidence bounds RESP. OF EUPOLSQ TO AMB SIZE= 5% Figure 1 Impulse response of eupolsq o a one sandard deviaion shock o amb 14

15 0.04 RESP. OF EXPDISP TO AMB SIZE= 5% Figure 2 Impulse response of expdisp o a one sandard deviaion shock o amb RESP. OF VOLEURIB TO AMB SIZE= 5% Figure 3 Impulse response of voleurib o a one sandard deviaion shock o amb 15

16 0.020 RESP. OF VOLEURIB TO EXPDISP SIZE= 5% Figure 4 Impulse response of voleurib o a one sandard deviaion shock o expdisp RESP. OF EUPOLSQ TO EXPDISP SIZE= 5% Figure 5 Impulse response of eupolsq o a one sandard deviaion shock o expdisp 16

17 In he Figure 1 we can see he response of eupolsq o an unexpeced uni innovaion in he amb shock: he impac is posiive and ransiory, i reaches he maximum in he firs five periods (abou 12%), hen i ends afer weny periods. In Figure 2, he response of expidsp is less marked (abou 1.8%) and i reaches is seady sae slowly, so ha if communicaion is ambiguous, expecaions abou fuure ineres raes are disperse. In Figure 3 he response of voleurib is posiive and abou 0.4%, he effec dies ou afer abou hiry periods. In Figure 4 and 5 are shown he responses of voleurib and eupolsq o a shock in expdisp where hey are posiive: he firs is abou 0.4%, he second 0.04% bu is effec is persisen, i akes over hiry periods o reach is seady sae. All he responses are ransiory, so ha ambiguiy has limied effecs in few periods, he difference is ha hey reach heir seady sae in a differen iming. So we can conclude ha ambiguiy of ECB communicaion and disperse expecaions abou fuure ineres raes have ransiory effecs on he volailiy of such raes, in paricular, if agens expecaions are more disperse, ineres raes are more volaile, so ha ECB communicaion could have had some effecs on European money markes hrough is influence on agens' expecaions. In he previous secion, a measure of ambiguiy was provided. In erms of such measure, for he inerval of ime considered, ECB communicaion seemed o be quie ambiguous. However, given he resuls of IRFs, if ECB pursued sabiliy, such ambiguiy was no an opimal choice. The conclusion is ha he iniial ECB ambiguiy was no a sraegic choice, bu raher he resul of a lack of coordinaion among is members. Laely, ECB communicaion is much more careful and less ambiguous. IRFs show ha no only ambiguiy increases volailiy, bu also moves marke raes away from he policy rae. Since i is plausible o hink ha ECB was willing o move marke raes owards he policy rae, he graph of Figure 1 suppors he idea ha ECB ambiguiy was he resul of a lack of coordinaion among is members. 5. Concluding Remarks 17

18 In his paper, we: 1) provided a new approach o ambiguiy; 2) gave examples on how o use our definiion for economeric purposes. As regard 1), we focused on ECB communicaion. In paricular, we surveyed a represenaive sample of European banks abou he ambiguiy of ECB communicaion from he 2 nd of February 1999 o he 22 nd of February Using daa gahered from he surveyed sample, we defined a se of measures o evaluae ambiguiy. In erms of such measures, we concluded ha for he inerval of ime aken ino consideraion ECB communicaion was quie ambiguous. As we already said, our aim was no o criicize ECB. However, a he ime his research projec sared, ECB was he bes possible case sudy because i was recenly been esablished and is members jus came from very differen experiences; so, no only ambiguiy could have been a sraegic choice, bu also i could have been he consequence of an iniial lack of coordinaion among members As regard 2), we presen a Srucural VAR model for he variables in he vecor Y, idenified and esimaed in he represenaion (4). From IRF plos we found ha amb had posiive ransiory effecs on Euribor volailiy, he dispersion of agens' expecaions abou fuure ineres raes and he squared difference beween he Euribor rae and he policy rae: ambiguiy moved raes away from he policy rae, alhough i reaches quie quickly is long run equilibrium vanishing is effecs. So, he paper provides a new way o look a ambiguiy. For he firs ime ambiguiy is measured rough he answers of he agens who inerac wih ECB on a daily basis. Also, given our economeric resuls, we make he argumen ha ambiguiy was no a sraegic choice, bu raher he resul of a lack of coordinaion among members of he board of he Cenral Bank. However, our paper doesn focus on inerpersonal dispersion, bu raher on he ambiguiy of he saemens hemselves, as perceived by he bankers. Therefore, we canno explicily draw a conclusion on lack of coordinaion beween individuals. 18

19 However, we mus suppose ha he ambiguiy percepion could derive from a nonhomogeneous view of he moneary policy by par of he speakers, from which a no clear undersanding of he speeches did arise. We can speak of lack of clearness of he moneary policy as a whole, in his resriced sense. The paper sresses ou he imporance of a non ambiguous communicaion in order o drive money markes owards he operaional objecives of he Cenral Bank. 19

20 References Amisano, C., Giannini, C., Topics in Srucural VAR Economerics, Springer- Verlag. Blinder, A., Cenral Banking in Theory and Pracice, MIT Press, Princeon. Blinder, A., Ehrmann, M., Frazcher, M., De Haan, J., Jansen, D.-J. Cenral Bank Communicaion and Moneary Policy: A Survey of Theory and Evidence. Journal of Economic Lieraure, 2008, 46:4. Bernanke, B.S., Fedspeak. Address o he American Associaion Meeings, San Diego, 3 January Campbell, J., Shiller, R., Yield Spreads and Ineres Raes Movemens: a Bird s Eye View. NBER Working Paper. Connolly, E., Kohler, M., News and Ineres Rae Expecaions: A Sudy of Six Cenral Banks. In The Fuure of Inflaion Targeing, ed., C. Ken, Gumann S., Reserve Bank of Ausralia. Cuckierman, A., Cenral Bank Sraegy, Credibiliy and Independence: Theory and Evidence. MIT Press. CUCKIERMAN, A. MELTZER, A.H., A THEORY OF AMBIGUITY, CREDIBILITY, AND INFLATION UNDER DISCRETION AND ASYMMETRIC INFORMATION. ECONOMETRICA 54, N. 5, de Haan, J., Eijffinger, S., Rybiński, K., Cenral bank ransparency and cenral bank communicaion: Ediorial inroducion. European Journal of Poliical Economy 23 (2007) pp. 1 8 Dornbusch, R., Favero, C., Giavazzi, F., The Immediae Challenges for he European Cenral Bank. NBER Working Paper. Ehrmann, M., Frazscher, M., Communicaion by Cenral Bank Commiee Members: Differen Sraegies, Same Effeciveness? Journal of Money, Credi, and Banking, 39(2 3) pp

21 Fonani, A., Rossi, E., Spallone, M., Ambiguiy of ECB: Wha European Banks Think of i and How i Affecs Money Markes. OCSM Working Paper, n. 131, Luiss Universiy of Rome. Frazscher, M., Communicaion and Exchange Rae Policy. ECB Working Paper, n. 363, May. Garfinkel, M.R., Oh, S., When and How Much To Talk. Credibiliy and Flexibiliy in Moneary Policy wih Privae Informaion. Journal of Moneary Economics. Kohn, D. L., Sack B., Cenral Bank Talk: Does I Maer and Why? In Macroeconomics, Moneary Policy, and Financial Sabiliy. Oawa: Bank of Canada, pp Padoa Schioppa, A., La Sicurezza Monearia e le Banche Cenrali. Bolleino Economico della Banca d'ialia. Raffery, M., Tomljanovich, M., Cenral Bank ransparency and Marke Efficiency: An Economeric Analysis. Journal of Economics and Finance. Reeves, R., Sawicki, M., Do Financial Markes Reac o Bank of England Communicaion? European Journal of Poliical Economy, 23(1): Rosa, C., Verga G., On he consisency and effeciveness of cenral bank communicaion: Evidence from he ECB. European Journal of Poliical Economy, 23, pp Rossi, E., Trasparenza e Riservaezza in Poliiche Monearie Aninflazionisiche. Le Teorie e l'esperienza della Banca d'ialia. Rivisa di Poliica Economica. Svensson, L., Opimal Inflaion Targes, Conservaive Cenral Banks, and Linear Inflaion Conracs. NBER Working Paper. Winkler, B., Wha Kind of Transparency? On he Need for Clarify in Moneary Policy Making. ECB Working Paper. 21

Impact of Debt on Primary Deficit and GSDP Gap in Odisha: Empirical Evidences

Impact of Debt on Primary Deficit and GSDP Gap in Odisha: Empirical Evidences S.R. No. 002 10/2015/CEFT Impac of Deb on Primary Defici and GSDP Gap in Odisha: Empirical Evidences 1. Inroducion The excessive pressure of public expendiure over is revenue receip is financed hrough

More information

Vector Autoregressions (VARs): Operational Perspectives

Vector Autoregressions (VARs): Operational Perspectives Vecor Auoregressions (VARs): Operaional Perspecives Primary Source: Sock, James H., and Mark W. Wason, Vecor Auoregressions, Journal of Economic Perspecives, Vol. 15 No. 4 (Fall 2001), 101-115. Macroeconomericians

More information

The Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas

The Greek financial crisis: growing imbalances and sovereign spreads. Heather D. Gibson, Stephan G. Hall and George S. Tavlas The Greek financial crisis: growing imbalances and sovereign spreads Heaher D. Gibson, Sephan G. Hall and George S. Tavlas The enry The enry of Greece ino he Eurozone in 2001 produced a dividend in he

More information

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR

DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Invesmen Managemen and Financial Innovaions, Volume 4, Issue 3, 7 33 DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Ahanasios

More information

USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES

USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES Mehme Nuri GÖMLEKSİZ Absrac Using educaion echnology in classes helps eachers realize a beer and more effecive learning. In his sudy 150 English eachers were

More information

Duration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613.

Duration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613. Graduae School of Business Adminisraion Universiy of Virginia UVA-F-38 Duraion and Convexiy he price of a bond is a funcion of he promised paymens and he marke required rae of reurn. Since he promised

More information

Chapter 8: Regression with Lagged Explanatory Variables

Chapter 8: Regression with Lagged Explanatory Variables Chaper 8: Regression wih Lagged Explanaory Variables Time series daa: Y for =1,..,T End goal: Regression model relaing a dependen variable o explanaory variables. Wih ime series new issues arise: 1. One

More information

JEL classifications: Q43;E44 Keywords: Oil shocks, Stock market reaction.

JEL classifications: Q43;E44 Keywords: Oil shocks, Stock market reaction. Applied Economerics and Inernaional Developmen. AEID.Vol. 5-3 (5) EFFECT OF OIL PRICE SHOCKS IN THE U.S. FOR 1985-4 USING VAR, MIXED DYNAMIC AND GRANGER CAUSALITY APPROACHES AL-RJOUB, Samer AM * Absrac

More information

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005

Measuring macroeconomic volatility Applications to export revenue data, 1970-2005 FONDATION POUR LES ETUDES ET RERS LE DEVELOPPEMENT INTERNATIONAL Measuring macroeconomic volailiy Applicaions o expor revenue daa, 1970-005 by Joël Cariolle Policy brief no. 47 March 01 The FERDI is a

More information

Performance Center Overview. Performance Center Overview 1

Performance Center Overview. Performance Center Overview 1 Performance Cener Overview Performance Cener Overview 1 ODJFS Performance Cener ce Cener New Performance Cener Model Performance Cener Projec Meeings Performance Cener Execuive Meeings Performance Cener

More information

11/6/2013. Chapter 14: Dynamic AD-AS. Introduction. Introduction. Keeping track of time. The model s elements

11/6/2013. Chapter 14: Dynamic AD-AS. Introduction. Introduction. Keeping track of time. The model s elements Inroducion Chaper 14: Dynamic D-S dynamic model of aggregae and aggregae supply gives us more insigh ino how he economy works in he shor run. I is a simplified version of a DSGE model, used in cuing-edge

More information

The Real Business Cycle paradigm. The RBC model emphasizes supply (technology) disturbances as the main source of

The Real Business Cycle paradigm. The RBC model emphasizes supply (technology) disturbances as the main source of Prof. Harris Dellas Advanced Macroeconomics Winer 2001/01 The Real Business Cycle paradigm The RBC model emphasizes supply (echnology) disurbances as he main source of macroeconomic flucuaions in a world

More information

INVESTIGATION OF THE INFLUENCE OF UNEMPLOYMENT ON ECONOMIC INDICATORS

INVESTIGATION OF THE INFLUENCE OF UNEMPLOYMENT ON ECONOMIC INDICATORS INVESTIGATION OF THE INFLUENCE OF UNEMPLOYMENT ON ECONOMIC INDICATORS Ilona Tregub, Olga Filina, Irina Kondakova Financial Universiy under he Governmen of he Russian Federaion 1. Phillips curve In economics,

More information

II.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal

II.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal Quarerly Repor on he Euro Area 3/202 II.. Deb reducion and fiscal mulipliers The deerioraion of public finances in he firs years of he crisis has led mos Member Saes o adop sizeable consolidaion packages.

More information

Morningstar Investor Return

Morningstar Investor Return Morningsar Invesor Reurn Morningsar Mehodology Paper Augus 31, 2010 2010 Morningsar, Inc. All righs reserved. The informaion in his documen is he propery of Morningsar, Inc. Reproducion or ranscripion

More information

Principal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya.

Principal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya. Principal componens of sock marke dynamics Mehodology and applicaions in brief o be updaed Andrei Bouzaev, bouzaev@ya.ru Why principal componens are needed Objecives undersand he evidence of more han one

More information

Journal Of Business & Economics Research September 2005 Volume 3, Number 9

Journal Of Business & Economics Research September 2005 Volume 3, Number 9 Opion Pricing And Mone Carlo Simulaions George M. Jabbour, (Email: jabbour@gwu.edu), George Washingon Universiy Yi-Kang Liu, (yikang@gwu.edu), George Washingon Universiy ABSTRACT The advanage of Mone Carlo

More information

PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE

PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Profi Tes Modelling in Life Assurance Using Spreadshees PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Erik Alm Peer Millingon 2004 Profi Tes Modelling in Life Assurance Using Spreadshees

More information

TEMPORAL PATTERN IDENTIFICATION OF TIME SERIES DATA USING PATTERN WAVELETS AND GENETIC ALGORITHMS

TEMPORAL PATTERN IDENTIFICATION OF TIME SERIES DATA USING PATTERN WAVELETS AND GENETIC ALGORITHMS TEMPORAL PATTERN IDENTIFICATION OF TIME SERIES DATA USING PATTERN WAVELETS AND GENETIC ALGORITHMS RICHARD J. POVINELLI AND XIN FENG Deparmen of Elecrical and Compuer Engineering Marquee Universiy, P.O.

More information

Graphing the Von Bertalanffy Growth Equation

Graphing the Von Bertalanffy Growth Equation file: d:\b173-2013\von_beralanffy.wpd dae: Sepember 23, 2013 Inroducion Graphing he Von Beralanffy Growh Equaion Previously, we calculaed regressions of TL on SL for fish size daa and ploed he daa and

More information

Cointegration: The Engle and Granger approach

Cointegration: The Engle and Granger approach Coinegraion: The Engle and Granger approach Inroducion Generally one would find mos of he economic variables o be non-saionary I(1) variables. Hence, any equilibrium heories ha involve hese variables require

More information

Central Bank Communication: Different Strategies, Same Effectiveness?

Central Bank Communication: Different Strategies, Same Effectiveness? Cenral Bank Communicaion: Differen Sraegies, Same Effeciveness? Michael Ehrmann and Marcel Frazscher * European Cenral Bank Michael.Ehrmann@ecb.in, Marcel.Frazscher@ecb.in November 2004 Absrac The paper

More information

Market Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand

Market Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand 36 Invesmen Managemen and Financial Innovaions, 4/4 Marke Liquidiy and he Impacs of he Compuerized Trading Sysem: Evidence from he Sock Exchange of Thailand Sorasar Sukcharoensin 1, Pariyada Srisopisawa,

More information

Working Paper Monetary policy communication under inflation targeting: Do words speak louder than actions?

Working Paper Monetary policy communication under inflation targeting: Do words speak louder than actions? econsor www.econsor.eu Der Open-Access-Publikaionsserver der ZBW Leibniz-Informaionszenrum Wirschaf The Open Access Publicaion Server of he ZBW Leibniz Informaion Cenre for Economics Demiralp, Selva; Kara,

More information

4. International Parity Conditions

4. International Parity Conditions 4. Inernaional ariy ondiions 4.1 urchasing ower ariy he urchasing ower ariy ( heory is one of he early heories of exchange rae deerminaion. his heory is based on he concep ha he demand for a counry's currency

More information

The Identification of the Response of Interest Rates to Monetary Policy Actions Using Market-Based Measures of Monetary Policy Shocks

The Identification of the Response of Interest Rates to Monetary Policy Actions Using Market-Based Measures of Monetary Policy Shocks The Idenificaion of he Response of Ineres Raes o Moneary Policy Acions Using Marke-Based Measures of Moneary Policy Shocks Daniel L. Thornon Federal Reserve Bank of S. Louis Phone (314) 444-8582 FAX (314)

More information

Revisions to Nonfarm Payroll Employment: 1964 to 2011

Revisions to Nonfarm Payroll Employment: 1964 to 2011 Revisions o Nonfarm Payroll Employmen: 1964 o 2011 Tom Sark December 2011 Summary Over recen monhs, he Bureau of Labor Saisics (BLS) has revised upward is iniial esimaes of he monhly change in nonfarm

More information

Monetary Policy & Real Estate Investment Trusts *

Monetary Policy & Real Estate Investment Trusts * Moneary Policy & Real Esae Invesmen Truss * Don Bredin, Universiy College Dublin, Gerard O Reilly, Cenral Bank and Financial Services Auhoriy of Ireland & Simon Sevenson, Cass Business School, Ciy Universiy

More information

Appendix D Flexibility Factor/Margin of Choice Desktop Research

Appendix D Flexibility Factor/Margin of Choice Desktop Research Appendix D Flexibiliy Facor/Margin of Choice Deskop Research Cheshire Eas Council Cheshire Eas Employmen Land Review Conens D1 Flexibiliy Facor/Margin of Choice Deskop Research 2 Final Ocober 2012 \\GLOBAL.ARUP.COM\EUROPE\MANCHESTER\JOBS\200000\223489-00\4

More information

Why Did the Demand for Cash Decrease Recently in Korea?

Why Did the Demand for Cash Decrease Recently in Korea? Why Did he Demand for Cash Decrease Recenly in Korea? Byoung Hark Yoo Bank of Korea 26. 5 Absrac We explores why cash demand have decreased recenly in Korea. The raio of cash o consumpion fell o 4.7% in

More information

A Brief Introduction to the Consumption Based Asset Pricing Model (CCAPM)

A Brief Introduction to the Consumption Based Asset Pricing Model (CCAPM) A Brief Inroducion o he Consumpion Based Asse Pricing Model (CCAPM We have seen ha CAPM idenifies he risk of any securiy as he covariance beween he securiy's rae of reurn and he rae of reurn on he marke

More information

Relative velocity in one dimension

Relative velocity in one dimension Connexions module: m13618 1 Relaive velociy in one dimension Sunil Kumar Singh This work is produced by The Connexions Projec and licensed under he Creaive Commons Aribuion License Absrac All quaniies

More information

Time Series Analysis Using SAS R Part I The Augmented Dickey-Fuller (ADF) Test

Time Series Analysis Using SAS R Part I The Augmented Dickey-Fuller (ADF) Test ABSTRACT Time Series Analysis Using SAS R Par I The Augmened Dickey-Fuller (ADF) Tes By Ismail E. Mohamed The purpose of his series of aricles is o discuss SAS programming echniques specifically designed

More information

MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR

MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR The firs experimenal publicaion, which summarised pas and expeced fuure developmen of basic economic indicaors, was published by he Minisry

More information

WORKING PAPER SERIES STOCKS, BONDS, MONEY MARKETS AND EXCHANGE RATES MEASURING INTERNATIONAL FINANCIAL TRANSMISSION NO.

WORKING PAPER SERIES STOCKS, BONDS, MONEY MARKETS AND EXCHANGE RATES MEASURING INTERNATIONAL FINANCIAL TRANSMISSION NO. WORKING PAPER SERIES NO. 452 / MARCH 25 STOCKS, BONDS, MONEY MARKETS AND EXCHANGE RATES MSURING INTERNATIONAL FINANCIAL TRANSMISSION by Michael Ehrmann, Marcel Frazscher and Robero Rigobon WORKING PAPER

More information

Hedging with Forwards and Futures

Hedging with Forwards and Futures Hedging wih orwards and uures Hedging in mos cases is sraighforward. You plan o buy 10,000 barrels of oil in six monhs and you wish o eliminae he price risk. If you ake he buy-side of a forward/fuures

More information

Contrarian insider trading and earnings management around seasoned equity offerings; SEOs

Contrarian insider trading and earnings management around seasoned equity offerings; SEOs Journal of Finance and Accounancy Conrarian insider rading and earnings managemen around seasoned equiy offerings; SEOs ABSTRACT Lorea Baryeh Towson Universiy This sudy aemps o resolve he differences in

More information

Small and Large Trades Around Earnings Announcements: Does Trading Behavior Explain Post-Earnings-Announcement Drift?

Small and Large Trades Around Earnings Announcements: Does Trading Behavior Explain Post-Earnings-Announcement Drift? Small and Large Trades Around Earnings Announcemens: Does Trading Behavior Explain Pos-Earnings-Announcemen Drif? Devin Shanhikumar * Firs Draf: Ocober, 2002 This Version: Augus 19, 2004 Absrac This paper

More information

An empirical analysis about forecasting Tmall air-conditioning sales using time series model Yan Xia

An empirical analysis about forecasting Tmall air-conditioning sales using time series model Yan Xia An empirical analysis abou forecasing Tmall air-condiioning sales using ime series model Yan Xia Deparmen of Mahemaics, Ocean Universiy of China, China Absrac Time series model is a hospo in he research

More information

Predicting Stock Market Index Trading Signals Using Neural Networks

Predicting Stock Market Index Trading Signals Using Neural Networks Predicing Sock Marke Index Trading Using Neural Neworks C. D. Tilakarane, S. A. Morris, M. A. Mammadov, C. P. Hurs Cenre for Informaics and Applied Opimizaion School of Informaion Technology and Mahemaical

More information

Chapter 6: Business Valuation (Income Approach)

Chapter 6: Business Valuation (Income Approach) Chaper 6: Business Valuaion (Income Approach) Cash flow deerminaion is one of he mos criical elemens o a business valuaion. Everyhing may be secondary. If cash flow is high, hen he value is high; if he

More information

Nikkei Stock Average Volatility Index Real-time Version Index Guidebook

Nikkei Stock Average Volatility Index Real-time Version Index Guidebook Nikkei Sock Average Volailiy Index Real-ime Version Index Guidebook Nikkei Inc. Wih he modificaion of he mehodology of he Nikkei Sock Average Volailiy Index as Nikkei Inc. (Nikkei) sars calculaing and

More information

Recovering Market Expectations of FOMC Rate Changes with Options on Federal Funds Futures

Recovering Market Expectations of FOMC Rate Changes with Options on Federal Funds Futures w o r k i n g p a p e r 5 7 Recovering Marke Expecaions of FOMC Rae Changes wih Opions on Federal Funds Fuures by John B. Carlson, Ben R. Craig, and William R. Melick FEDERAL RESERVE BANK OF CLEVELAND

More information

Risk Modelling of Collateralised Lending

Risk Modelling of Collateralised Lending Risk Modelling of Collaeralised Lending Dae: 4-11-2008 Number: 8/18 Inroducion This noe explains how i is possible o handle collaeralised lending wihin Risk Conroller. The approach draws on he faciliies

More information

Idealistic characteristics of Islamic Azad University masters - Islamshahr Branch from Students Perspective

Idealistic characteristics of Islamic Azad University masters - Islamshahr Branch from Students Perspective Available online a www.pelagiaresearchlibrary.com European Journal Experimenal Biology, 202, 2 (5):88789 ISSN: 2248 925 CODEN (USA): EJEBAU Idealisic characerisics Islamic Azad Universiy masers Islamshahr

More information

SPECIAL REPORT May 4, Shifting Drivers of Inflation Canada versus the U.S.

SPECIAL REPORT May 4, Shifting Drivers of Inflation Canada versus the U.S. Paul Ferley Assisan Chief Economis 416-974-7231 paul.ferley@rbc.com Nahan Janzen Economis 416-974-0579 nahan.janzen@rbc.com SPECIAL REPORT May 4, 2010 Shifing Drivers of Inflaion Canada versus he U.S.

More information

Does informed trading occur in the options market? Some revealing clues

Does informed trading occur in the options market? Some revealing clues Does informed rading occur in he opions marke? Some revealing clues Blasco N.(1), Corredor P.(2) and Sanamaría R. (2) (1) Universiy of Zaragoza (2) Public Universiy of Navarre Absrac This paper analyses

More information

Bid-ask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation

Bid-ask Spread and Order Size in the Foreign Exchange Market: An Empirical Investigation Bid-ask Spread and Order Size in he Foreign Exchange Marke: An Empirical Invesigaion Liang Ding* Deparmen of Economics, Macaleser College, 1600 Grand Avenue, S. Paul, MN55105, U.S.A. Shor Tile: Bid-ask

More information

GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA

GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA Journal of Applied Economics, Vol. IV, No. (Nov 001), 313-37 GOOD NEWS, BAD NEWS AND GARCH EFFECTS 313 GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA CRAIG A. DEPKEN II * The Universiy of Texas

More information

Cointegration Analysis of Exchange Rate in Foreign Exchange Market

Cointegration Analysis of Exchange Rate in Foreign Exchange Market Coinegraion Analysis of Exchange Rae in Foreign Exchange Marke Wang Jian, Wang Shu-li School of Economics, Wuhan Universiy of Technology, P.R.China, 430074 Absrac: This paper educed ha he series of exchange

More information

THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES

THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES Invesmen Managemen and Financial Innovaions, Volume 3, Issue 3, 2006 117 THE IMPACT OF CUBES ON THE MARKET QUALITY OF NASDAQ 100 INDEX FUTURES Seyfein Unal, M. Mesu Kayali, Cuney Koyuncu Absrac Using Hasbrouck

More information

JCER DISCUSSION PAPER No.136

JCER DISCUSSION PAPER No.136 JCER DISCUSSION PAPER No.136 Belief changes and expecaion heerogeneiy in buy- and sell-side professionals in he Japanese sock marke Ryuichi Yamamoo and Hideaki Hiraa February 2012 公 益 社 団 法 人 日 本 経 済 研

More information

The Transport Equation

The Transport Equation The Transpor Equaion Consider a fluid, flowing wih velociy, V, in a hin sraigh ube whose cross secion will be denoed by A. Suppose he fluid conains a conaminan whose concenraion a posiion a ime will be

More information

Usefulness of the Forward Curve in Forecasting Oil Prices

Usefulness of the Forward Curve in Forecasting Oil Prices Usefulness of he Forward Curve in Forecasing Oil Prices Akira Yanagisawa Leader Energy Demand, Supply and Forecas Analysis Group The Energy Daa and Modelling Cener Summary When people analyse oil prices,

More information

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? *

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? * Does Opion Trading Have a Pervasive Impac on Underlying Sock Prices? * Neil D. Pearson Universiy of Illinois a Urbana-Champaign Allen M. Poeshman Universiy of Illinois a Urbana-Champaign Joshua Whie Universiy

More information

The Grantor Retained Annuity Trust (GRAT)

The Grantor Retained Annuity Trust (GRAT) WEALTH ADVISORY Esae Planning Sraegies for closely-held, family businesses The Granor Reained Annuiy Trus (GRAT) An efficien wealh ransfer sraegy, paricularly in a low ineres rae environmen Family business

More information

LEASING VERSUSBUYING

LEASING VERSUSBUYING LEASNG VERSUSBUYNG Conribued by James D. Blum and LeRoy D. Brooks Assisan Professors of Business Adminisraion Deparmen of Business Adminisraion Universiy of Delaware Newark, Delaware The auhors discuss

More information

Does International Trade Stabilize Exchange Rate Volatility?

Does International Trade Stabilize Exchange Rate Volatility? Does Inernaional Trade Sabilize Exchange Rae Volailiy? Hui-Kuan Tseng, Kun-Ming Chen, and Chia-Ching Lin * Absrac Since he early 980s, major indusrial counries have been suffering severe muli-laeral rade

More information

Reporting to Management

Reporting to Management CHAPTER 31 Reporing o Managemen Inroducion The success or oherwise of any business underaking depends primarily on earning revenue ha would generae sufficien resources for sound growh. To achieve his objecive,

More information

Market Efficiency or Not? The Behaviour of China s Stock Prices in Response to the Announcement of Bonus Issues

Market Efficiency or Not? The Behaviour of China s Stock Prices in Response to the Announcement of Bonus Issues Discussion Paper No. 0120 Marke Efficiency or No? The Behaviour of China s Sock Prices in Response o he Announcemen of Bonus Issues Michelle L. Barnes and Shiguang Ma May 2001 Adelaide Universiy SA 5005,

More information

Impact of scripless trading on business practices of Sub-brokers.

Impact of scripless trading on business practices of Sub-brokers. Impac of scripless rading on business pracices of Sub-brokers. For furher deails, please conac: Mr. T. Koshy Vice Presiden Naional Securiies Deposiory Ld. Tradeworld, 5 h Floor, Kamala Mills Compound,

More information

Foreign exchange market intervention and expectations: an empirical study of the yen/dollar exchange rate

Foreign exchange market intervention and expectations: an empirical study of the yen/dollar exchange rate Foreign exchange marke inervenion and expecaions: an empirical sudy of he yen/dollar exchange rae by Gabriele Galai a, William Melick b and Marian Micu a a Moneary and Economic Deparmen, Bank for Inernaional

More information

Communication, Decision Making, and the Optimal Degree of Transparency of Monetary Policy Committees

Communication, Decision Making, and the Optimal Degree of Transparency of Monetary Policy Committees Communicaion, Decision Making, and he Opimal Degree of Transparency of Moneary Policy Commiees Anke Weber Inernaional Moneary Fund This paper develops a heoreical model of a moneary policy commiee wih

More information

Multiple Structural Breaks in the Nominal Interest Rate and Inflation in Canada and the United States

Multiple Structural Breaks in the Nominal Interest Rate and Inflation in Canada and the United States Deparmen of Economics Discussion Paper 00-07 Muliple Srucural Breaks in he Nominal Ineres Rae and Inflaion in Canada and he Unied Saes Frank J. Akins, Universiy of Calgary Preliminary Draf February, 00

More information

Price elasticity of demand for crude oil: estimates for 23 countries

Price elasticity of demand for crude oil: estimates for 23 countries Price elasiciy of demand for crude oil: esimaes for 23 counries John C.B. Cooper Absrac This paper uses a muliple regression model derived from an adapaion of Nerlove s parial adjusmen model o esimae boh

More information

Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach * Ben S. Bernanke, Federal Reserve Board

Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach * Ben S. Bernanke, Federal Reserve Board Measuring he Effecs of Moneary Policy: A acor-augmened Vecor Auoregressive (AVAR) Approach * Ben S. Bernanke, ederal Reserve Board Jean Boivin, Columbia Universiy and NBER Pior Eliasz, Princeon Universiy

More information

DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS

DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS DYNAMIC MODELS FOR VALUATION OF WRONGFUL DEATH PAYMENTS Hong Mao, Shanghai Second Polyechnic Universiy Krzyszof M. Osaszewski, Illinois Sae Universiy Youyu Zhang, Fudan Universiy ABSTRACT Liigaion, exper

More information

ANALYSIS AND COMPARISONS OF SOME SOLUTION CONCEPTS FOR STOCHASTIC PROGRAMMING PROBLEMS

ANALYSIS AND COMPARISONS OF SOME SOLUTION CONCEPTS FOR STOCHASTIC PROGRAMMING PROBLEMS ANALYSIS AND COMPARISONS OF SOME SOLUTION CONCEPTS FOR STOCHASTIC PROGRAMMING PROBLEMS R. Caballero, E. Cerdá, M. M. Muñoz and L. Rey () Deparmen of Applied Economics (Mahemaics), Universiy of Málaga,

More information

Measuring the Effects of Exchange Rate Changes on Investment. in Australian Manufacturing Industry

Measuring the Effects of Exchange Rate Changes on Investment. in Australian Manufacturing Industry Measuring he Effecs of Exchange Rae Changes on Invesmen in Ausralian Manufacuring Indusry Robyn Swif Economics and Business Saisics Deparmen of Accouning, Finance and Economics Griffih Universiy Nahan

More information

Supplementary Appendix for Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?

Supplementary Appendix for Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking? Supplemenary Appendix for Depression Babies: Do Macroeconomic Experiences Affec Risk-Taking? Ulrike Malmendier UC Berkeley and NBER Sefan Nagel Sanford Universiy and NBER Sepember 2009 A. Deails on SCF

More information

GoRA. For more information on genetics and on Rheumatoid Arthritis: Genetics of Rheumatoid Arthritis. Published work referred to in the results:

GoRA. For more information on genetics and on Rheumatoid Arthritis: Genetics of Rheumatoid Arthritis. Published work referred to in the results: For more informaion on geneics and on Rheumaoid Arhriis: Published work referred o in he resuls: The geneics revoluion and he assaul on rheumaoid arhriis. A review by Michael Seldin, Crisopher Amos, Ryk

More information

INTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES

INTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES INTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES OPENGAMMA QUANTITATIVE RESEARCH Absrac. Exchange-raded ineres rae fuures and heir opions are described. The fuure opions include hose paying

More information

CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA

CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA CAUSAL RELATIONSHIP BETWEEN STOCK MARKET AND EXCHANGE RATE, FOREIGN EXCHANGE RESERVES AND VALUE OF TRADE BALANCE: A CASE STUDY FOR INDIA BASABI BHATTACHARYA & JAYDEEP MUKHERJEE Reader, Deparmen of Economics,

More information

Central Bank Communication and Exchange Rate Volatility: A GARCH Analysis

Central Bank Communication and Exchange Rate Volatility: A GARCH Analysis Cenral Bank Communicaion and Exchange Rae Volailiy: A GARCH Analysis Radovan Fišer Insiue of Economic Sudies, Charles Universiy, Prague Roman Horváh* Czech Naional Bank and Insiue of Economic Sudies, Charles

More information

Forecasting Malaysian Gold Using. GARCH Model

Forecasting Malaysian Gold Using. GARCH Model Applied Mahemaical Sciences, Vol. 7, 2013, no. 58, 2879-2884 HIKARI Ld, www.m-hikari.com Forecasing Malaysian Gold Using GARCH Model Pung Yean Ping 1, Nor Hamizah Miswan 2 and Maizah Hura Ahmad 3 Deparmen

More information

Estimating the immediate impact of monetary policy shocks on the exchange rate and other asset prices in Hungary

Estimating the immediate impact of monetary policy shocks on the exchange rate and other asset prices in Hungary Esimaing he immediae impac of moneary policy shocks on he exchange rae and oher asse prices in Hungary András Rezessy Magyar Nemzei Bank 2005 Absrac The paper applies he mehod of idenificaion hrough heeroskedasiciy

More information

A Re-examination of the Joint Mortality Functions

A Re-examination of the Joint Mortality Functions Norh merican cuarial Journal Volume 6, Number 1, p.166-170 (2002) Re-eaminaion of he Join Morali Funcions bsrac. Heekung Youn, rkad Shemakin, Edwin Herman Universi of S. Thomas, Sain Paul, MN, US Morali

More information

The Effect of Monetary Policy on Private Money Market Rates in Jamaica: An Empirical Microstructure Study. Derek Leith

The Effect of Monetary Policy on Private Money Market Rates in Jamaica: An Empirical Microstructure Study. Derek Leith The Effec of Moneary Policy on Privae Money Marke Raes in Jamaica: An Empirical Microsrucure Sudy Derek Leih Research Services Deparmen Research and Economic Programming Division Bank of Jamaica Absrac

More information

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation

A Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation A Noe on Using he Svensson procedure o esimae he risk free rae in corporae valuaion By Sven Arnold, Alexander Lahmann and Bernhard Schwezler Ocober 2011 1. The risk free ineres rae in corporae valuaion

More information

1. The graph shows the variation with time t of the velocity v of an object.

1. The graph shows the variation with time t of the velocity v of an object. 1. he graph shows he variaion wih ime of he velociy v of an objec. v Which one of he following graphs bes represens he variaion wih ime of he acceleraion a of he objec? A. a B. a C. a D. a 2. A ball, iniially

More information

The Behavior of China s Stock Prices in Response to the Proposal and Approval of Bonus Issues

The Behavior of China s Stock Prices in Response to the Proposal and Approval of Bonus Issues The Behavior of China s Sock Prices in Response o he Proposal and Approval of Bonus Issues Michelle L. Barnes a* and Shiguang Ma b a Federal Reserve Bank of Boson Research, T-8 600 Alanic Avenue Boson,

More information

THE NEW MARKET EFFECT ON RETURN AND VOLATILITY OF SPANISH STOCK SECTOR INDEXES

THE NEW MARKET EFFECT ON RETURN AND VOLATILITY OF SPANISH STOCK SECTOR INDEXES THE NEW MARKET EFFECT ON RETURN AND VOLATILITY OF SPANISH STOCK SECTOR INDEXES Juan Ángel Lafuene Universidad Jaume I Unidad Predeparamenal de Finanzas y Conabilidad Campus del Riu Sec. 1080, Casellón

More information

Do Credit Rating Agencies Add Value? Evidence from the Sovereign Rating Business Institutions

Do Credit Rating Agencies Add Value? Evidence from the Sovereign Rating Business Institutions Iner-American Developmen Bank Banco Ineramericano de Desarrollo (BID) Research Deparmen Deparameno de Invesigación Working Paper #647 Do Credi Raing Agencies Add Value? Evidence from he Sovereign Raing

More information

House Price Index (HPI)

House Price Index (HPI) House Price Index (HPI) The price index of second hand houses in Colombia (HPI), regisers annually and quarerly he evoluion of prices of his ype of dwelling. The calculaion is based on he repeaed sales

More information

Working Paper No. 482. Net Intergenerational Transfers from an Increase in Social Security Benefits

Working Paper No. 482. Net Intergenerational Transfers from an Increase in Social Security Benefits Working Paper No. 482 Ne Inergeneraional Transfers from an Increase in Social Securiy Benefis By Li Gan Texas A&M and NBER Guan Gong Shanghai Universiy of Finance and Economics Michael Hurd RAND Corporaion

More information

An asymmetric process between initial margin requirements and volatility: New evidence from Japanese stock market

An asymmetric process between initial margin requirements and volatility: New evidence from Japanese stock market African Journal of Business Managemen Vol.6 (9), pp. 870-8736, 5 July, 0 Available online a hp://www.academicjournals.org/ajbm DOI: 0.5897/AJBM.88 ISSN 993-833 0 Academic Journals Full Lengh Research Paper

More information

SPEC model selection algorithm for ARCH models: an options pricing evaluation framework

SPEC model selection algorithm for ARCH models: an options pricing evaluation framework Applied Financial Economics Leers, 2008, 4, 419 423 SEC model selecion algorihm for ARCH models: an opions pricing evaluaion framework Savros Degiannakis a, * and Evdokia Xekalaki a,b a Deparmen of Saisics,

More information

Economics 140A Hypothesis Testing in Regression Models

Economics 140A Hypothesis Testing in Regression Models Economics 140A Hypohesis Tesing in Regression Models While i is algebraically simple o work wih a populaion model wih a single varying regressor, mos populaion models have muliple varying regressors 1

More information

Price Formation and Liquidity Provision in Short-Term Fixed Income Markets 1

Price Formation and Liquidity Provision in Short-Term Fixed Income Markets 1 Price Formaion and Liquidiy Provision in Shor-Term Fixed Income Markes 1 Chris D Souza 2 Financial Markes Deparmen Bank of Canada Ingrid Lo Financial Markes Deparmen Bank of Canada Sephan Sapp Ivey School

More information

Term Structure of Prices of Asian Options

Term Structure of Prices of Asian Options Term Srucure of Prices of Asian Opions Jirô Akahori, Tsuomu Mikami, Kenji Yasuomi and Teruo Yokoa Dep. of Mahemaical Sciences, Risumeikan Universiy 1-1-1 Nojihigashi, Kusasu, Shiga 525-8577, Japan E-mail:

More information

Relationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith**

Relationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith** Relaionships beween Sock Prices and Accouning Informaion: A Review of he Residual Income and Ohlson Models Sco Pirie* and Malcolm Smih** * Inernaional Graduae School of Managemen, Universiy of Souh Ausralia

More information

Foreign Exchange Market Microstructure

Foreign Exchange Market Microstructure Foreign Exchange Marke Microsrucure Marin.. Evans 1 Georgeown Universiy and NBER Absrac This paper provides an overview of he recen lieraure on Foreign Exchange Marke Microsrucure. Is aim is no o survey

More information

Ownership structure, liquidity, and trade informativeness

Ownership structure, liquidity, and trade informativeness Journal of Finance and Accounancy ABSTRACT Ownership srucure, liquidiy, and rade informaiveness Dan Zhou California Sae Universiy a Bakersfield In his paper, we examine he relaionship beween ownership

More information

Estimating the Term Structure with Macro Dynamics in a Small Open Economy

Estimating the Term Structure with Macro Dynamics in a Small Open Economy Esimaing he Term Srucure wih Macro Dynamics in a Small Open Economy Fousseni Chabi-Yo Bank of Canada Jun Yang Bank of Canada April 18, 2006 Preliminary work. Please do no quoe wihou permission. The paper

More information

Why Do Real and Nominal. Inventory-Sales Ratios Have Different Trends?

Why Do Real and Nominal. Inventory-Sales Ratios Have Different Trends? Why Do Real and Nominal Invenory-Sales Raios Have Differen Trends? By Valerie A. Ramey Professor of Economics Deparmen of Economics Universiy of California, San Diego and Research Associae Naional Bureau

More information

Part 1: White Noise and Moving Average Models

Part 1: White Noise and Moving Average Models Chaper 3: Forecasing From Time Series Models Par 1: Whie Noise and Moving Average Models Saionariy In his chaper, we sudy models for saionary ime series. A ime series is saionary if is underlying saisical

More information

YTM is positively related to default risk. YTM is positively related to liquidity risk. YTM is negatively related to special tax treatment.

YTM is positively related to default risk. YTM is positively related to liquidity risk. YTM is negatively related to special tax treatment. . Two quesions for oday. A. Why do bonds wih he same ime o mauriy have differen YTM s? B. Why do bonds wih differen imes o mauriy have differen YTM s? 2. To answer he firs quesion les look a he risk srucure

More information

The Interest Rate Risk of Mortgage Loan Portfolio of Banks

The Interest Rate Risk of Mortgage Loan Portfolio of Banks The Ineres Rae Risk of Morgage Loan Porfolio of Banks A Case Sudy of he Hong Kong Marke Jim Wong Hong Kong Moneary Auhoriy Paper presened a he Exper Forum on Advanced Techniques on Sress Tesing: Applicaions

More information

Estimating Time-Varying Equity Risk Premium The Japanese Stock Market 1980-2012

Estimating Time-Varying Equity Risk Premium The Japanese Stock Market 1980-2012 Norhfield Asia Research Seminar Hong Kong, November 19, 2013 Esimaing Time-Varying Equiy Risk Premium The Japanese Sock Marke 1980-2012 Ibboson Associaes Japan Presiden Kasunari Yamaguchi, PhD/CFA/CMA

More information

Chapter 1.6 Financial Management

Chapter 1.6 Financial Management Chaper 1.6 Financial Managemen Par I: Objecive ype quesions and answers 1. Simple pay back period is equal o: a) Raio of Firs cos/ne yearly savings b) Raio of Annual gross cash flow/capial cos n c) = (1

More information