The US Term Structure and Central Bank Policy
|
|
- Arthur Daniel
- 8 years ago
- Views:
Transcription
1 Regensburger DISKUSSIONSBEITRÄGE zur Wirschafswissenschaf Universiy of Regensburg Working Papers in Business, Economics and Managemen Informaion Sysems The US Term Srucure and Cenral Bank Policy Enzo Weber, Jürgen Wolers ** Ocober 01, 2009 Nr. 436 JEL Classificaion: E43 Keywords: Expecaions Hypohesis, Risk Premium, Policy Reacion Funcion Enzo Weber is Juniorprofessor of Economics a he Deparmen of Economics and Economerics a he Universiy of Regensburg, Regensburg, Germany. Phone: , enzo.weber@wiwi.uni-regensburg.de ** Jürgen Wolers is Professor of Economerics a he Deparmen of Economics a Free Universiy Berlin, Bolzmannsr. 20, Berlin, Germany. Phone: , juergen.wolers@fu-berlin.de
2 The US Term Srucure and Cenral Bank Policy 1 Enzo Weber 2, Jürgen Wolers 3 Absrac The expecaions hypohesis of he erm srucure (EHT) implies coinegraion beween ineres raes of differen mauriies and predics cerain values for adjusmen speed. We esimae reduced-form vecor error correcion models of he US erm srucure. These are derived from a srucural model combining he EHT, auocorrelaed risk premia, ineres rae smoohing and moneary policy feedback, which is able o capure a wide range of empirical oucomes. We explicily es he necessary precondiions for he validiy of he heoreical model. Premia persisence rises wih longer-rae mauriy, while he influence of he according spreads in he cenral bank reacion funcion diminishes. Keywords: Expecaions Hypohesis, Risk Premium, Policy Reacion Funcion JEL classificaion: E43 1 This research was suppored by he Deusche Forschungsgemeinschaf hrough he CRC 649 Economic Risk. 2 Universiä Regensburg, D Regensburg, Germany, enzo.weber@wiwi.uni-regensburg.de, phone: +49 (0) , fax: +49 (0) Freie Universiä Berlin, Bolzmannsr. 20, D Berlin, Germany, juergen.wolers@fu-berlin.de, phone: +49 (0) , fax: +49 (0)
3 1 Inroducion The erm srucure, linking shor- and long-erm ineres raes, carries eviden imporance for ransmission of moneary policy. The expecaions hypohesis (EHT) represens he mos influenial heoreical explanaion for erm srucure relaions. A lo of economeric research has been dedicaed o examining empirical evidence of he EHT. Thereby, he sizeable predicive power of he spread, as implied by he pure EHT version, could regularly no be suppored by he daa (e.g., Campbell and Shiller 1991). Among he numerous approaches dealing wih his puzzle, persisen risk premia and ineres rae smoohing are well esablished. For insance, Tzavalis and Wickens (1995) specify a GARCH-dependen erm premium, while Caporale and Caporale (2008) explain shifs in premia by poliical risk. Mankiw and Miron (1986) argue ha cenral bank behaviour is a he boom of shor-erm raes being close o random walks. McCallum (2005) consrucs a erm srucure model combining auocorrelaed risk premia, ineres rae smoohing and moneary policy feedback. In he following, we analyse he whole range of mauriies from one o 120 monhs, in order o deduce empirical regulariies of he erm-srucure ineracion beween expecaions, risk premia dynamics and moneary policy acions. We provide a solid empirical basis for he heoreical model by explicily esing for coinegraion along he erm srucure and checking he parameer resricions implied by he use of he spread. Furhermore, we invesigae he adjusmen behaviour of boh shor and long raes by deriving and esimaing he vecor error correcion (EC) form of he srucural model. 2 Theoreical Consideraions The EHT saes ha arbirage should equae he reurn of a single n-period invesmen o he expeced reurn of a series of n successive one-period invesmens. In linearised form, he EHT can be wrien as R (n) = 1 n 1 E r +i. (1) n i=0 In (1), R (n) denoes he ineres rae of mauriy n > 1 and r of mauriy one. The operaor E sands for he expecaion given all available informaion a ime. 1
4 Taken ino consideraion ha ineres raes may be empirically approximaed by inegraed processes of order one (I(1)), Campbell and Shiller (1987) show ha (1) implies coinegraion beween R (n) and r wih he vecor (1, 1). Thereby, long-erm raes will be weakly exogenous, approximaely following random walks (see Pesando 1979). Assuming raional expecaions, E r +1 = r +1 + e +1, wih he expecaion error e, he EC equaion for he shor-erm rae in he wo-period case (n = 2) resuls as r = 2(R (2) 1 r 1 ) e. (2) However, empirical evidence (e.g., Campbell and Shiller 1991) has overwhelmingly shown ha he considerable size of he adjusmen coefficien is no suppored by he daa. One imporan modificaion of he pure EHT is given by auocorrelaed risk premia. Adding a mauriy-dependen AR(1) process 4 wih consan erm, (1) can be rewrien as R (n) = 1 n n 1 E r +i + v (n) wih v (n) = a n + ρ n v (n) 1 + u (n), 0 < ρ n < 1. (3) i=0 The EC equaion (2) now akes he form r = 2(1 ρ 2 )(R (2) 1 r 1 ) + res, (4) where res conains a consan, shor-run dynamics and errors. Besides he mauriy n, he persisence ρ n of he risk premium governs he adjusmen coefficien, which can be rendered arbirarily small. A second explanaion for he failure of he pure EHT is provided by ineres rae smoohing. Mankiw and Miron (1986) argue ha he predicive power of he spread has dramaically declined since he founding of he Federal Reserve Sysem and aribue his fac o he ineres rae sabilisaion policy of he Fed. Approximaely, he shor rae may even follow a random walk, impairing predicabiliy. In sum, he lieraure offers explanaions for random-walk behaviour boh of long and shor raes. Nowihsanding ha resolving his ambiguiy is in he end an empirical ask, we se up a heoreical framework ha encompasses boh hypoheses, in addiion o inermediae soluions. For ha purpose, we recur o McCallum (2005), who proposes a erm srucure model 4 Generalisaions are sraighforward. Noe ha consan premia would no change he adjusmen parameer in (2). 2
5 ha combines he EHT wih a moneary policy rule: The cenral bank conducs ineres rae smoohing, bu may change he shor rae in response o he yield spread. Thereby, he spread may provide an indicaor for moneary policy expansiveness, fuure economic growh or expeced inflaion raes, approximaing forward-looking couner-cyclical policy behaviour; see also Johnson (1988) in his conex. The reacion funcion wih ineres rae smoohing, feedback inensiy λ n and policy shock ε (n) is given by r = r 1 + λ n (R (n) r ) + ε (n). (5) Imporanly, equaion (5) will only be balanced for I(1) ineres raes if long and shor raes are coinegraed wih he vecor (1, 1), as follows from he EHT, oo. According o he Granger represenaion heorem, coinegraion implies an EC model. As soluion of equaions (3) and (5), McCallum (2005) derived for n = 2 he EC equaion for he shor rae. 5 Kugler (1997) generalised his resul for any mauriy, presening according equaions for he shor rae and he spread. We develop he approach one sep furher, deriving he bivariae vecor EC model (VECM): ( ) ( ) ( ) (n) R (1+λn )θ n a n λn ρ n +ρ n 1 = + (R (n) 1 r 1 )+ r λ n θ n a n λ n ρ n ( 1 (1+λn )θ n 1 λ n θ n )( ) (n) ε u (n), (6) where θ n = n/(n λ n n 1 j=1 (n j)ρj n). Evidenly, he spread has predicive power for he shor rae as long as λ n 0 and ρ n 0. In (5) and (6), λ n = 0 would render he shor rae a random walk (up o possible shor-run dynamics), riggering he Mankiw and Miron (1986) resul of no predicabiliy. The same holds for he limiing case ρ n = 0, when he long rae would conain no disinc persisence in he risk premium. The adjusmen of R (n) reduces he spread for small λ n and ρ n (λ n ρ n + ρ n 1 < 0), bu oherwise he long rae even depars furher from equilibrium (λ n ρ n + ρ n 1 > 0). However, sysem sabiliy is ensured for saionary erm premia, as he characerisic equaion has roos 0.5 and ρ n. Long-rae predicabiliy would be los for λ n ρ n + ρ n = 1. Noably, for λ n = 0 and ρ n 1, boh ineres raes would behave like random walks. 5 As already provided in NBER Working Paper 4938 (1994). 3
6 3 Empirical Evidence Our daa se consiss of monhly observaions of cerificae of deposi raes (n = 1, 3, 6) and consan mauriy bond yields (n = 12, 24, 36, 60, 84, 120) obained from he Fed. The sample begins in 1983(1) afer he abolishmen of he non-borrowed reserves argeing policy, and ends in 2008(9). We begin an addiional sub-sample in 1988(1) afer he sar of he Greenspan era and he sock marke crash. In his conex, refer as well o Hsu and Kugler (1997), who argue ha he spread gained imporance as a policy indicaor from 1988 on and esimae he Kugler (1997) model for he hree-period case. We check, wheher he implicaions from EHT are fulfilled, wihin he VECM ( ) (n) R = r ( α1 α 2 ) (R (n) 1 βr 1 c)+ p i=1 ( ) (n) R i Γ i + r i ( ) (n) w 1 w (n) 2, (7) wih adjusmen parameers α, coinegraion coefficien β, errors w and 2 2 parameer marices Γ i in he shor-run dynamics. Moreover, esimaes of ρ n and λ n can be recovered by comparing adjusmen parameers from (6) and (7), see Table (1)-2008(9) 1988(1)-2008(9) n lags ˆβ ˆα1 ˆα 2 ˆρ n ˆλn lags ˆβ ˆα1 ˆα 2 ˆρ n ˆλn 3 1-2, (0.006) (0.04) 24 1, (0.06) 36 1, , (0.10) , (0.12) , (0.13) (0.15) (0.14) , , , , (0.04) , , (0.09) , (0.10) , (0.11) (0.16) (0.14) (0.06) Noes: n: mauriy in monhs, β: coinegraion coefficien, α: adjusmen coefficien, ρ: risk premium AR(1) coefficien, λ: feedback coefficien, sandard errors in parenheses Table 1: VECM resuls Johansen Trace ess uniformly rejec he null hypoheses ha he coinegraion rank is zero a he 1% significance level, excep for he hree longes mauriies in he firs period, where he 5% level applies. LR ess in no case rejec he null hypohesis β = 1. The 4
7 presence of coinegraion ogeher wih he parameer resricion ensure saionariy of he spreads. Imporanly, his provides he necessary condiion for he validiy of he srucural specificaion (3), (5). Adjusmen of he one-period rae is faser han ha of he longer-erm raes (ˆα 2 > ˆα 1 ), bu reduces wih increasing mauriy. The long rae adjusmen coefficiens are wrong - direced for mauriies unil wo (hree) years and become slighly negaive hereafer. While ˆα 2 is significan in all esimaed VECMs, his holds for ˆα 1 only unil he mauriy of six (welve) monhs. In our model, his reduced-form oucome resuls from underlying srucural processes, namely risk premia persisence and policy feedback. The former is of subsanial srengh even for relaively shor mauriies and rises o nearly 1 for he en-year bond. Inuiion is sraighforward: When one monh passes, he fracion ρ of he risk premium survives unil he nex period. This fracion will be he higher he less a single period couns for he whole premium (for example only 1/120 for he en-year bond) and he less news from his period coun for he overall oulook unil mauriy. In conras, he impacs λ of he respecive spreads in he cenral bank reacion funcion sar a abou one for he hree-monh rae and approach zero for long mauriies. Again, his paern is in line wih a priori expecaions, as moneary policy is likely o concenrae is forward-looking behaviour on near-fuure oulooks. In his sense, he spreads agains relaively shor raes provide immediaely relevan informaion. Risk premia persisence says abou he same in boh esimaion periods. This is no surprising, because he sample pariion was largely guided by crieria conneced o moneary policy. Indeed, he feedback coefficiens are uniformly higher from 1988 on, confirming he presumpion of increased significance of he spread for cenral bank decisions. Furhermore, as far as he spread incorporaes inflaion expecaions, he resul can generally be inerpreed in he sense of higher inflaion sensiiviy ofen supposed o characerise he Greenspan era. 4 Conclusion We adop a srucural framework of McCallum (2005) and Kugler (1997) in order o model simulaneously bond marke arbirage and cenral bank behaviour. We derive he vecor EC form from he srucural equaions, es wheher essenial precondiions are fulfilled and esimae he VECM for a wide range of he US erm srucure. We find ha persisence of risk premia is he higher he larger he difference in mauriy 5
8 beween he considered ineres raes. This resul probably reflecs he fac ha he weigh of news from a single period, relaive o he incumben premium, is naurally lower for long-horizon risk assessmens. Following he sylised policy rule, he Fed reacs srongly o spreads agains money-marke raes, bu much less agains long-erm bond raes. Since i is common sense ha cenral banks align operaive policy o prospecs of he near fuure, again he poenial of he model o grasp real-world phenomena is underlined. References [1] Campbell, J.Y. and R.J. Shiller, 1987, Coinegraion and Tess of Presen Value Models, Journal of Poliical Economy, 95, [2] Campbell, J.Y. and R.J. Shiller, 1991, Yield spreads and ineres rae movemens: a bird s eye view, Review of Economic Sudies, 58, [3] Caporale, B. and T. Caporale, 2008, Poliical risk and he expecaions hypohesis, Economics Leers, 100, [4] Hsu, C. and P. Kugler, 1997, The revival of he expecaions hypohesis of he US erm srucure of ineres raes, Economics Leers, 55, [5] Johnson, M.H., 1988, Curren Perspecives on Moneary Policy, Cao Journal, 8, [6] Kugler, P., 1997, Cenral Bank Policy Reacion and he Expecaions Hypohesis of he Term Srucure, Inernaional Journal of Finance and Economics, 2, [7] McCallum, B.T., 2005, Moneary Policy and he Term Srucure of Ineres Raes, Federal Reserve Bank of Richmond Economic Quarerly, 91, [8] Mankiw, N.G. and J.A. Miron, 1986, The changing behavior of he erm srucure of ineres raes, Quarerly Journal of Economics, 101, [9] Pesando, J.E., 1979, On he Random Walk Characerisics of Shor- and Long-Term Ineres Raes in an Efficien Marke, Journal of Money, Credi, and Banking, 11, [10] Tzavalis, E. and M.R. Wickens, 1995, The persisence in volailiy of he US erm premium , Economics Leers, 49,
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 informationCointegration: 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 informationDOES 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 informationThe 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 informationChapter 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 informationUsefulness 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 informationA 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 informationEstimating 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 informationDuration 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 informationTHE RELATIONSHIPS AMONG PETROLEUM PRICES. Abstract
Inernaional Conference On Applied Economics ICOAE 2010 459 THE RELATIONSHIPS AMONG PETROLEUM PRICES RAYMOND LI 1 Absrac This paper evaluaes in a mulivariae framework he relaionship among he spo prices
More informationVector 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 informationII.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 informationWhy 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 informationGOOD 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 informationMonetary 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 informationFinance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C.
Finance and Economics Discussion Series Divisions of Research & Saisics and Moneary Affairs Federal Reserve Board, Washingon, D.C. Volailiy, Money Marke Raes, and he Transmission of Moneary Policy Seh
More informationJournal 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 informationMorningstar 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 informationSCHUMPETER DISCUSSION PAPERS Interdependence between Foreign Exchange Markets and Stock Markets in Selected European Countries
SCHUMPETER DISCUSSION PAPERS Inerdependence beween Foreign Exchange Markes and Sock Markes in Seleced European Counries Mevlud Islami SDP 2008-007 ISSN 1867-5352 by he auor Inerdependence Beween Foreign
More informationThe Maturity Structure of Volatility and Trading Activity in the KOSPI200 Futures Market
The Mauriy Srucure of Volailiy and Trading Aciviy in he KOSPI200 Fuures Marke Jong In Yoon Division of Business and Commerce Baekseok Univerisy Republic of Korea Email: jiyoon@bu.ac.kr Received Sepember
More information4. 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 informationLead Lag Relationships between Futures and Spot Prices
Working Paper No. 2/02 Lead Lag Relaionships beween Fuures and Spo Prices by Frank Asche Ale G. Guormsen SNF-projec No. 7220: Gassmarkeder, menneskelig kapial og selskapssraegier The projec is financed
More informationEstimating 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 informationSkewness and Kurtosis Adjusted Black-Scholes Model: A Note on Hedging Performance
Finance Leers, 003, (5), 6- Skewness and Kurosis Adjused Black-Scholes Model: A Noe on Hedging Performance Sami Vähämaa * Universiy of Vaasa, Finland Absrac his aricle invesigaes he dela hedging performance
More informationThe impact of Federal Reserve asset purchase programmes: another twist 1
Jack Meaning jm583@ken.ac.uk eng Zhu feng.zhu@bis.org The impac of ederal Reserve asse purchase programmes: anoher wis 1 This aricle examines he effeciveness of recen ederal Reserve asse purchase programmes.
More informationHow To Calculate Price Elasiciy Per Capia Per Capi
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 informationJEL 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 informationWhy does the correlation between stock and bond returns vary over time?
Why does he correlaion beween sock and bond reurns vary over ime? Magnus Andersson a,*, Elizavea Krylova b,**, Sami Vähämaa c,*** a European Cenral Bank, Capial Markes and Financial Srucure Division b
More informationMarket 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 informationThe stock index futures hedge ratio with structural changes
Invesmen Managemen and Financial Innovaions Volume 11 Issue 1 2014 Po-Kai Huang (Taiwan) The sock index fuures hedge raio wih srucural changes Absrac This paper esimaes he opimal sock index fuures hedge
More informationThe Sensitivity of Corporate Bond Volatility to Macroeconomic Announcements. by Nikolay Kosturov* and Duane Stock**
The Sensiiviy of Corporae Bond Volailiy o Macroeconomic nnouncemens by Nikolay Kosurov* and Duane Sock** * Michael F.Price College of Business, Universiy of Oklahoma, 307 Wes Brooks, H 205, Norman, OK
More informationCALENDAR ANOMALIES IN EMERGING BALKAN EQUITY MARKETS
INTERNATIONAL ECONOMICS & FINANCE JOURNAL Vol. 6, No. 1, January-June (2011) : 67-82 CALENDAR ANOMALIES IN EMERGING BALKAN EQUITY MARKETS Andreas G. Georganopoulos *, Dimiris F. Kenourgios ** and Anasasios
More informationTHE 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 informationInvestor sentiment of lottery stock evidence from the Taiwan stock market
Invesmen Managemen and Financial Innovaions Volume 9 Issue 1 Yu-Min Wang (Taiwan) Chun-An Li (Taiwan) Chia-Fei Lin (Taiwan) Invesor senimen of loery sock evidence from he Taiwan sock marke Absrac This
More informationMACROECONOMIC 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 informationCAUSAL 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 informationMaccini, Louis J.; Schaller, Huntley; Moore, Bartholomew. Working Papers, The Johns Hopkins University, Department of Economics, No.
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 Maccini, Louis J.;
More informationThe forward premium puzzle is closely related to the failure of uncovered interest parity
World Economy - Forward Premium Puzzle 1 Forward Premium Puzzle Definiions and Relaed Conceps The forward premium puzzle is closely relaed o he failure of uncovered ineres pariy o hold, and he phenomenon
More informationLinks between the Indian, U.S. and Chinese Stock Markets
Deparmen of Economics Working Paper No. 0602 hp://n2.fas.nus.edu.sg/ecs/pub/wp/wp0602.pdf Links beween he Indian, U.S. and Chinese Sock Markes by Heng Chen, Beno J. Lobo and Wing-Keung Wong 2005 Heng Chen,
More informationRelationships 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 informationNONLINEAR MARKET DYNAMICS BETWEEN STOCK RETURNS AND TRADING VOLUME: EMPIRICAL EVIDENCES FROM ASIAN STOCK MARKETS
ANALELE ŞTIINłIFICE ALE UNIVERSITĂłII ALEXANDRU IOAN CUZA DIN IAŞI Tomul LVI ŞiinŃe Economice 009 NONLINEAR MARKET DYNAMICS BETWEEN STOCK RETURNS AND TRADING VOLUME: EMPIRICAL EVIDENCES FROM ASIAN STOCK
More informationOil Price Fluctuations and Firm Performance in an Emerging Market: Assessing Volatility and Asymmetric Effect
Journal of Economics, Business and Managemen, Vol., No. 4, November 203 Oil Price Flucuaions and Firm Performance in an Emerging Marke: Assessing Volailiy and Asymmeric Effec Hawai Janor, Aisyah Abdul-Rahman,
More informationAppendix 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 informationDay Trading Index Research - He Ingeria and Sock Marke
Influence of he Dow reurns on he inraday Spanish sock marke behavior José Luis Miralles Marcelo, José Luis Miralles Quirós, María del Mar Miralles Quirós Deparmen of Financial Economics, Universiy of Exremadura
More informationFlight-to-Liquidity and Global Equity Returns
Fligh-o-Liquidiy and Global Equiy Reurns Ruslan Goyenko and Sergei Sarkissian * Firs draf: November 2007 This draf: May 2008 * The auhors are from he Faculy of Managemen, McGill Universiy, Monreal, QC
More informationTerms of Trade and Present Value Tests of Intertemporal Current Account Models: Evidence from the United Kingdom and Canada
Terms of Trade and Presen Value Tess of Ineremporal Curren Accoun Models: Evidence from he Unied Kingdom and Canada Timohy H. Goodger Universiy of Norh Carolina a Chapel Hill November 200 Absrac This paper
More informationDynamic co-movement and correlations in fixed income markets: Evidence from selected emerging market bond yields
P Thupayagale* and I Molalapaa Dynamic co-movemen and correlaions in fixed income markes: Evidence from seleced emerging marke bond yield Dynamic co-movemen and correlaions in fixed income markes: Evidence
More informationMarket Overreaction and Under reaction for Currency Futures Prices. Stephen J. Larson *, Associate Professor of Finance Ramapo College of New Jersey
Marke Overreacion and Under reacion for Currency Fuures Prices Sephen J. Larson *, Associae Professor of Finance Ramapo College of New Jersey Sephen E. Wilcox, Professor of Finance Minnesoa Sae Universiy,
More informationTitle: Who Influences Latin American Stock Market Returns? China versus USA
Cenre for Global Finance Working Paper Series (ISSN 2041-1596) Paper Number: 05/10 Tile: Who Influences Lain American Sock Marke Reurns? China versus USA Auhor(s): J.G. Garza-García; M.E. Vera-Juárez Cenre
More informationINTERNATIONAL REAL ESTATE REVIEW 2003 Vol. 6 No. 1: pp. 43-62. Banking System, Real Estate Markets, and Nonperforming Loans
Banking Sysem, Real Esae Markes, and Nonperforming Loans 43 INTERNATIONAL REAL ESTATE REVIEW 2003 Vol. 6 No. 1: pp. 43-62 Banking Sysem, Real Esae Markes, and Nonperforming Loans Wen-Chieh Wu Deparmen
More informationSPEC 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 informationThe naive method discussed in Lecture 1 uses the most recent observations to forecast future values. That is, Y ˆ t + 1
Business Condiions & Forecasing Exponenial Smoohing LECTURE 2 MOVING AVERAGES AND EXPONENTIAL SMOOTHING OVERVIEW This lecure inroduces ime-series smoohing forecasing mehods. Various models are discussed,
More informationThe Relationship between Stock Return Volatility and. Trading Volume: The case of The Philippines*
The Relaionship beween Sock Reurn Volailiy and Trading Volume: The case of The Philippines* Manabu Asai Faculy of Economics Soka Universiy Angelo Unie Economics Deparmen De La Salle Universiy Manila May
More informationThe 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 informationA PROPOSAL TO OBTAIN A LONG QUARTERLY CHILEAN GDP SERIES *
CUADERNOS DE ECONOMÍA, VOL. 43 (NOVIEMBRE), PP. 285-299, 2006 A PROPOSAL TO OBTAIN A LONG QUARTERLY CHILEAN GDP SERIES * JUAN DE DIOS TENA Universidad de Concepción y Universidad Carlos III, España MIGUEL
More informationWORKING 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 informationMarket 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 informationThe 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 informationThe High Yield Spread as a Predictor of Real Economic Activity: Evidence of a Financial Accelerator for the United States
The High Yield Spread as a Predicor of Real Economic Aciviy: Evidence of a Financial Acceleraor for he Unied Saes Ashoa Mody Research Deparmen Inernaional Moneary Fund Mar P. Taylor Universiy of Warwic
More informationTrend-Cycle Interactions and the Subprime Crisis: Analysis of US and Canadian Output
Regensburger DISKUSSIONSBEITRÄGE zur Wirschafswissenschaf Universiy of Regensburg Working Papers in Business, Economics and Managemen Informaion Sysems Trend-Cycle Ineracions and he Subprime Crisis: Analysis
More informationEstimating 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 informationTEMPORAL 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 informationCan Individual Investors Use Technical Trading Rules to Beat the Asian Markets?
Can Individual Invesors Use Technical Trading Rules o Bea he Asian Markes? INTRODUCTION In radiional ess of he weak-form of he Efficien Markes Hypohesis, price reurn differences are found o be insufficien
More informationInternal and External Factors for Credit Growth in Macao
Inernal and Exernal Facors for Credi Growh in Macao Nicholas Cheang Research and Saisics Deparmen, Moneary Auhoriy of Macao Absrac Commercial banks are dominan eniies in he Macao financial secor. They
More informationChapter 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 informationInvestigation of the effect of the degree of openness of the economy on real effective exchange rate Volatility: case study (the Iran economy)
saqartvelos mecnierebata erovnuli akademiis moambe,. 9, #2, 2015 BULLETIN OF THE GEORGIAN NATIONAL ACADEMY OF SCIENCES, vols. 9, no. 2, 2015 Economy Invesigaion of he effec of he degree of openness of
More informationBALANCE OF PAYMENTS. First quarter 2008. Balance of payments
BALANCE OF PAYMENTS DATE: 2008-05-30 PUBLISHER: Balance of Paymens and Financial Markes (BFM) Lena Finn + 46 8 506 944 09, lena.finn@scb.se Camilla Bergeling +46 8 506 942 06, camilla.bergeling@scb.se
More informationCausal Relationship between Macro-Economic Indicators and Stock Market in India
Asian Journal of Finance & Accouning Causal Relaionship beween Macro-Economic Indicaors and Sock Marke in India Dr. Naliniprava ripahy Associae Professor (Finance), Indian Insiue of Managemen Shillong
More informationOption Put-Call Parity Relations When the Underlying Security Pays Dividends
Inernaional Journal of Business and conomics, 26, Vol. 5, No. 3, 225-23 Opion Pu-all Pariy Relaions When he Underlying Securiy Pays Dividends Weiyu Guo Deparmen of Finance, Universiy of Nebraska Omaha,
More informationVolatility Transmission in the European Money Market
Volailiy Transmission in he European Money Marke Dieer Nauz Goehe Universiy Frankfur Chrisian J. Offermanns Goehe Universiy Frankfur and Deusche Bundesbank This version: February 23, 2007 Absrac The European
More informationis a random vector with zero mean and Var(e
Economics Leers 73 (2001) 147 153 www.elsevier.com/ locae/ econbase Esimaion of direc and indirec impac of oil price on growh Tilak Abeysinghe* Deparmen of Economics, Naional Universiy of Singapore, 10Ken
More informationThe Relationship between Real Interest Rates and Inflation
The Relaionship beween Real Ineres Raes and Inflaion Michał Brzoza-Brzezina * Absrac In he recen decade, a huge amoun of papers, describing moneary policy rules based on nominal ineres raes, has been wrien.
More informationConference Paper Identifying Volatility Signals from Time-Varying Simultaneous Stock Market Interaction
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 Srohsal, Till; Weber,
More informationDoes 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 informationCommon Risk Factors in the US Treasury and Corporate Bond Markets: An Arbitrage-free Dynamic Nelson-Siegel Modeling Approach
Common Risk Facors in he US Treasury and Corporae Bond Markes: An Arbirage-free Dynamic Nelson-Siegel Modeling Approach Jens H E Chrisensen and Jose A Lopez Federal Reserve Bank of San Francisco 101 Marke
More informationSAMUELSON S HYPOTHESIS IN GREEK STOCK INDEX FUTURES MARKET
154 Invesmen Managemen and Financial Innovaions, Volume 3, Issue 2, 2006 SAMUELSON S HYPOTHESIS IN GREEK STOCK INDEX FUTURES MARKET Chrisos Floros, Dimirios V. Vougas Absrac Samuelson (1965) argues ha
More informationThe 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 informationCURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH. José Manuel Campa and Ángel Gavilán an. Documentos de Trabajo N.
CURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH 2006 José Manuel Campa and Ángel Gavilán an Documenos de Trabajo N.º 0638 CURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH CURRENT
More informationSwiss National Bank Working Papers
2012-2 Swiss Naional Bank Working Papers Liquidiy Effecs of Quaniaive Easing on Long-Term Ineres Raes Signe Krogsrup, Samuel Reynard and Barbara Suer The views expressed in his paper are hose of he auhor(s)
More informationThe Impact of International Oil Price Fluctuation on China s Economy
Available online a www.sciencedirec.com Energ Procedia 5 (2011) 1360 1364 IACEED2010 The Impac of Inernaional Oil Price Flucuaion on China s Econom Zhang Qianqian School of Economics and Managemen, Wuhan
More informationPrincipal 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 informationINTEREST 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 informationCURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH. José Manuel Campa Angel Gavilán
CIIF Working Paper WP no 651 Sepember, 2006 CURRENT ACCOUNTS IN THE EURO AREA: AN INTERTEMPORAL APPROACH José Manuel Campa Angel Gavilán IESE Business School Universiy of Navarra Avda. Pearson, 21 08034
More informationA prediction of long-run macroeconomic relations and investigation of domestic shock effects in the Czech economy
Mahemaical Models and Mehods in Modern Science A predicion of long-run macroeconomic relaions and invesigaion of domesic shock effecs in he Czech economy JANA HANCLOVA Deparmen of Mahemaical Mehods in
More informationCEEP-BIT WORKING PAPER SERIES. The crude oil market and the gold market: Evidence for cointegration, causality and price discovery
CEEP-BIT WORKING PAPER SERIES The crude oil marke and he gold marke: Evidence for coinegraion, causaliy and price discovery Yue-Jun Zhang Yi-Ming Wei Working Paper 5 hp://www.ceep.ne.cn/english/publicaions/wp/
More informationDiscussion Papers. Joscha Beckmann Ansgar Belke Michael Kühl
Deusches Insiu für Wirschafsforschung www.diw.de Discussion Papers 944 Joscha Beckmann Ansgar Belke Michael Kühl How Sable Are Moneary Models of he Dollar-Euro Exchange Rae? A Time-varying Coefficien Approach
More informationDefault Risk in Equity Returns
Defaul Risk in Equiy Reurns MRI VSSLOU and YUHNG XING * BSTRCT This is he firs sudy ha uses Meron s (1974) opion pricing model o compue defaul measures for individual firms and assess he effec of defaul
More informationThe Economic Value of Volatility Transmission between the Stock and Bond Markets
The Economic Value of Volailiy Transmission beween he Sock and Bond Markes Helena Chuliá * Hipòli Torró Sepember 006 Keywords: Volailiy Spillovers, GARCH, Trading Rules JEL Classificaion: C3, C53, G11
More informationPrice, Volume and Volatility Spillovers among New York, Tokyo and London Stock Markets
INTERNATIONAL JOURNAL OF BUSINESS, 4(), 999 ISSN: 083-4346 Price, Volume and Volailiy Spillovers among New York, Tokyo and London Sock Markes Sangphill Kim and Meng Rui The dynamic relaionship among he
More informationShocks Do SVAR Models Justify Discarding the Technology Shock-Driven Real Business Cycle Hypothesis? Abstract
Shocks Do SVAR Models Jusify Discarding he Technology Shock-Driven Real Business Cycle Hypohesis? Hyeon-seung Huh School of Economics Yonsei Universiy Republic of Korea hshuh@yonsei.ac.kr David Kim School
More informationCommunication, 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 informationForecasting and Information Sharing in Supply Chains Under Quasi-ARMA Demand
Forecasing and Informaion Sharing in Supply Chains Under Quasi-ARMA Demand Avi Giloni, Clifford Hurvich, Sridhar Seshadri July 9, 2009 Absrac In his paper, we revisi he problem of demand propagaion in
More informationThe 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 informationTime 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 informationDYNAMIC 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 informationAnchoring Bias in Consensus Forecasts and its Effect on Market Prices
Finance and Economics Discussion Series Divisions of Research & Saisics and Moneary Affairs Federal Reserve Board, Washingon, D.C. Anchoring Bias in Consensus Forecass and is Effec on Marke Prices Sean
More informationForecasting Exchange Rates Out-of-Sample with Panel Methods and Real-Time Data. Onur Ince * University of Houston
Forecasing Exchange Raes Ou-of-Sample wih anel Mehods and Real-ime Daa Onur Ince * Universiy of Houson Absrac his paper evaluaes ou-of-sample exchange rae forecasing wih urchasing ower ariy () and aylor
More informationChapter 9 Bond Prices and Yield
Chaper 9 Bond Prices and Yield Deb Classes: Paymen ype A securiy obligaing issuer o pay ineress and principal o he holder on specified daes, Coupon rae or ineres rae, e.g. 4%, 5 3/4%, ec. Face, par value
More informationRelationship between Stock Returns and Trading Volume: Domestic and Cross-Country Evidence in Asian Stock Markets
Proceedings of he 2013 Inernaional Conference on Economics and Business Adminisraion Relaionship beween Sock Reurns and Trading olume: Domesic and Cross-Counry Evidence in Asian Sock Markes Ki-Hong Choi
More informationSupplementary 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