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Title:Beggar-thy-neighbor? : the international effects of ECB unconventional monetary policy measures Author(s):BLUWSTEIN, Kristina
; CANOVA, FabioDate:2016Citation:
- International journal of central banking (IJCB), 2016, Vol. 12, No. 3, pp. 69-120
Type:ArticleAbstract:This paper examines the effects of unconventional monetary policy measures by the European Central Bank on nine European countries not adopting the euro with a novel Bayesian mixed-frequency structural vector autoregressive ...
; CANOVA, FabioDate:2016Citation:
Title:Impact of speculation and economic uncertainty on commodity markets Author(s):ANDREASSON, Pierre; BEKIROS, Stelios D.; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2016Citation:
- International review of financial analysis, 2016, Vol. 43, pp. 115-127
Type:ArticleAbstract:We examine the interactions between commodity futures returns and five driving factors (financial speculation, exchange rate, stock market dynamics, implied volatility for the US equity market, and economic policy uncertainty). ...
; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2016Citation:
Title:Predicting stock returns and volatility using consumption-aggregate wealth ratios : a nonlinear approach Author(s):BEKIROS, Stelios D.; GUPTA, RanganDate:2015Citation:
- Economics letters, 2015, Vol. 131, pp. 83-85
Type:ArticleAbstract:Recent empirical evidence based on a linear framework tends to suggest that a Markov-switching version of the consumption-aggregate wealth ratio (View the MathML source), developed to account for structural breaks, is a ...
; GUPTA, RanganDate:2015Citation:
Title:Black swan events and safe havens : the role of gold in globally integrated emerging markets Author(s):BEKIROS, Stelios D.; BOUBAKER, Sabri; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2017Citation:
- Journal of international money and finance, 2017, Vol. 73, Part B, pp. 317-334
Type:ArticleAbstract:There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification ...
; BOUBAKER, Sabri; KHUONG NGUYEN, Duc; UDDIN, Gazi SalahDate:2017Citation:
Title:Forecasting Levels of log Variables in Vector Autoregressions Author(s):BARDSEN, Gunnar; LUETKEPOHL, HelmutDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/24Abstract:Sometimes forecasts of the original variable are of interest although a variable appears in logarithms (logs) in a system of time series. In that case converting the forecast for the log of the variable to a naive forecast ...
Date:2009Type:Working PaperSeries/Number:EUI ECO; 2009/24Abstract:Sometimes forecasts of the original variable are of interest although a variable appears in logarithms (logs) in a system of time series. In that case converting the forecast for the log of the variable to a naive forecast ...
Title:A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks Author(s):LANNE, Markku; LUETKEPOHL, HelmutDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/23Abstract:Abstract. Different identification schemes for monetary policy shocks have
been proposed in the literature. They typically specify just-identifying re-
strictions in a standard structural vector autoregressive (SVAR) ...
Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/23Abstract:Abstract. Different identification schemes for monetary policy shocks have
been proposed in the literature. They typically specify just-identifying re-
strictions in a standard structural vector autoregressive (SVAR) ...
Title:Forecasting with Factor-augmented Error Correction Models Author(s):MASTEN, Igor; BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2009Type:Working PaperSeries/Number:EUI RSCAS; 2009/32Abstract:As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, ...
Date:2009Type:Working PaperSeries/Number:EUI RSCAS; 2009/32Abstract:As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, ...
Title:Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity Author(s):HERWARTZ, Helmut; LUETKEPOHL, HelmutDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/42Abstract:In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be ...
Date:2009Type:Working PaperSeries/Number:EUI ECO; 2009/42Abstract:In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be ...