2,252 research outputs found
Structural change and long run dependence in volatility of exchange rates: Either, neither or both?
No full textThe econometric model considers both structural change and long run memory to explain the dynamics of exchange rate volatilit
The financial Kuznets curve: Evidence for the euro area
No full textThe paper introduces a new specification of the Kuznets curve, where turning point per capita income is conditioned on the level of financial development. We then provide new evidence on income inequality dynamics for the euro area (EA) countries since the mid-1980s. We find evidence in favor of an EA-wide financial Kuznets curve, also resilient to the recent financial and economic crises. From a policy perspective, our findings highlight the importance of financial development in fostering not only economic growth, but also a more even distribution of income
Aggregate hedge funds flows and returns
No full textTHE PAPER DEALS WITH THE RELATION BETWEEN INFLOWS AND RETURNS, USING A TIME-VARYING MODEL TO ESTIMATE THE ALPHAS
International house prices and macroeconomic fluctuations
No full textThe paper investigates linkages between general macroeconomic conditions and the housing market for the G-7 area. Among the key results of the paper, we find that the US are an important source of global fluctuations not only for real activity, nominal variables and stock prices, but also for real housing prices. Secondly, albeit distinct driving forces for real activity and financial factors can be pointed out, sizeable global interactions are also evident. In particular, global supply-side shocks are an important determinant of G-7 house prices fluctuations. The linkage between real housing prices and macroeconomic developments is however bidirectional, with investment showing in general a stronger reaction than consumption and output to housing price shocks. Implications for the real effects of the sub-prime crisis are also explored. © 2009 Elsevier B.V. All rights reserved
The effects of the introduction of the euro on the volatility of European stock markets
No full textThe paper looks at the effects of the introduction of the euro on the volatility of Euiropean stock market
Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms?
No full textWhat are the sources of macroeconomic comovement among G-7 countries? Two main candidate explanations may be singled out: common shocks and common transmission mechanisms. In the paper it is shown that they are complementary, rather than alternative, explanations. By means of a large-scale factor vector autoregressive (FVAR) model, allowing for full economic and statistical identification of all global and idiosyncratic shocks, it is found that both common disturbances and common transmission mechanisms of global and country-specific shocks account for business cycle comovement in the G-7 countries. Moreover, spillover effects of foreign idiosyncratic disturbances seem to be a less important factor than the common transmission of global or domestic shocks in the determination of international macroeconomic comovements.business cycle comovement, factor vector autoregressive model, transmission mechanisms.
Postal de Claudio Vivas a Maruja Vieira, junio 23 de 1955
No full textPostal de Claudio Vivas a Maruja Vieira, felicitándola por el reconocimiento que le fue otorgado a la autora de poemasPostcard from Claudio Vivas to Maruja Vieira, congratulating her for the recognition given to the author of poems.Publicación, fondo Maruja Vieira, carpeta 1, folio
Modelling short-term interest rate spreads in the euro money market
No full textIn the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second half of 2007. This is done in two steps. Firstly, the long-term behaviour of interest rates with one-week maturity is investigated by testing for co-breaking and for homogeneity of spreads against the minimum bid rate (MBR, the key policy rate). These tests capture the idea that successful steering of very short-term interest rates is inconsistent with the existence of more than one common trend driving the one-week interest rates and/or with nonstationarity of the spreads among interest rates of the same maturity (or measured against the MBR). Secondly, the impact of several shocks to the spreads (e.g. interest rate expectations, volumes of open market operations, interest rate volatility, policy interventions, and credit risk) is assessed by jointly modelling their behaviour. We show that, after August 2007, euro area commercial banks started paying a premium to participate in the ECB liquidity auctions. This puzzling phenomenon can be understood by the interplay between, on the one hand, adverse selection in the interbank market and, on the other hand, the broad range of collateral accepted by the ECB. We also show that after August 2007, the ECB steered the “risk-free” rate close to the policy rate, but has not fully off-set the impact of the credit events on other money market rates. JEL Classification: C32, E43, E50, E58, G15co-breaking, Credit risk, euro area, fractional co-integration, fractionally integrated factor vector autoregressive model, liquidity risk, long memory, money market interest rates, Structural change, sub-prime credit crisis
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