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[PDF] Top 20 Comparing U S and European Market Volatility Responses to Interest Rate Policy Announcements

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Comparing U S  and European Market Volatility Responses to Interest Rate Policy Announcements

Comparing U S and European Market Volatility Responses to Interest Rate Policy Announcements

... U.S. market and our evidence fails to support rejection of null Hypotheses 2 and ...implied volatility reactions for the FOMC and ECB may be due to differences in the way the two groups ...ECB ... See full document

26

Scheduled announcements and volatility patterns: the effects of monetary policy committee announcements on LIBOR and short sterling futures and options

Scheduled announcements and volatility patterns: the effects of monetary policy committee announcements on LIBOR and short sterling futures and options

... repo rate announced by the MPC; with positive MPC surprises having a larger effect than negative MPC ...MPC announcements on LIBOR and Short Sterling futures is less than ...repo rate occurred ... See full document

28

European Stock Market Contagion during Sovereign Debt Crisis and the Effects of Macroeconomic Announcements on the Correlations of Gold,Dollar and Stock Returns

European Stock Market Contagion during Sovereign Debt Crisis and the Effects of Macroeconomic Announcements on the Correlations of Gold,Dollar and Stock Returns

... two market-side-specific components capturing market microstructure ...all volatility components reveal distinct dynamics and are positively influenced by ...before announcements and ... See full document

101

Essays on exchange rate determination and international capital flows in emerging economies

Essays on exchange rate determination and international capital flows in emerging economies

... exchange rate on Monetary Policy Committee days in the UK using the traditional event-study framework but explicitly modelling the conditional variance as ...exchange rate volatility on days ... See full document

195

Monetary Policy Announcements and Market Interest Rates’ Response: Evidence from China

Monetary Policy Announcements and Market Interest Rates’ Response: Evidence from China

... retail interest rate and the required reserve ratio in guiding market interest rates in the post-deregulation ...well-functioning interest-rate transmission ...Reserve ... See full document

25

The spillover effects of target interest rate news from the U S  Fed and the European Central Bank on the Asia Pacific stock markets

The spillover effects of target interest rate news from the U S Fed and the European Central Bank on the Asia Pacific stock markets

... Fed’s interest rate news can be examined by investigating the extent to which markets in other countries respond directly to the news over and above the documented overall influence of the ...of ... See full document

31

The Taylor rule and interest rate uncertainty in the U S  1970 2006

The Taylor rule and interest rate uncertainty in the U S 1970 2006

... of interest rate uncertainty are important for a wide range of financial market ap- plications such as portfolio allocation, derivative pricing, risk management ...short-term interest rates is ... See full document

29

Financial Market Responses to Bank Indonesia’s Policy Announcements

Financial Market Responses to Bank Indonesia’s Policy Announcements

... on policy rates are obtained from Bank Indonesia’s website which is released every month following the policy ...daily interest rates, exchange rates, and Jakarta Stock Market (JSX) Composite ... See full document

24

The Long term Rate and Interest Rate Volatility in Monetary Policy Transmission

The Long term Rate and Interest Rate Volatility in Monetary Policy Transmission

... the volatility surprise as the policy instrument, we are not intended to pre- sume that the Federal Reserve attempts to control or manipulate expected volatility of an interest ...monetary ... See full document

52

On cross currency models with stochastic volatility and correlated interest rates

On cross currency models with stochastic volatility and correlated interest rates

... the interest rates by a market model, ...stochastic volatility displaced-diffusion Libor Market Model [AA02; ...the interest rates and between the rates from different ... See full document

27

Effects of Currency Unions on Foreign Direct Investment Inflows:  The European Economic and Monetary Union Case

Effects of Currency Unions on Foreign Direct Investment Inflows: The European Economic and Monetary Union Case

... We firstly apply Pesaran and Yamagata’s (2008) homogeneity test, which modified Swamy’s (1970) dispersion test for the panels. An homogenous panel data model (or pooled model) is a model in which all coefficients are ... See full document

8

Exchange Rate Volatility, Currency Substitution and Monetary Policy in Nigeria

Exchange Rate Volatility, Currency Substitution and Monetary Policy in Nigeria

... through policy and institutional reforms after many years of distortions introduced by control ...of market-based instruments of control as against former direct control and economic ...new policy ... See full document

34

Stochastics Volatility Corrections for Interest Rate Models

Stochastics Volatility Corrections for Interest Rate Models

... financial market, we will meet lots of interest rate derivatives, such as Treasure bonds, Commercial papers, Repurchase agreement, European/American bond ... See full document

53

Applicability of Negative Interest Rate Policy under China’s New Normal—Based on the Comparison of European Negative Interest Rate Policy

Applicability of Negative Interest Rate Policy under China’s New Normal—Based on the Comparison of European Negative Interest Rate Policy

... exchange rate to promote exports is a good ...exchange rate depreciation has a J-curve effect on the promo- tion of exports, the author believes that in the future, preventing the rebound of the RMB ... See full document

18

An Influence of Japan, U S  and U K  Stock Return Volatility in the Asia Stock Market: An Evidence Study of Singapore Stock Market

An Influence of Japan, U S and U K Stock Return Volatility in the Asia Stock Market: An Evidence Study of Singapore Stock Market

... return rate volatility on the influence of the Singapore stock ...return rate volatilities to the influence of the Singapore stock market return is indeed appropriate, and also the response to ... See full document

6

Counter-factual Analysis of the Nigerian Economy: A Test of the Relative Potency of Monetary and Fiscal Policies Egwaikhide Christian Imoudu; Enoma Anthony; Saheed, Zakaree

Counter-factual Analysis of the Nigerian Economy: A Test of the Relative Potency of Monetary and Fiscal Policies Egwaikhide Christian Imoudu; Enoma Anthony; Saheed, Zakaree

... Specifically, policy simulation enables the researcher to evaluate overtime the performance of some policy variables in the economy especially as it regards policy forecast and policy ...major ... See full document

10

The impact of the securities transaction taxes on the Chinese stock market

The impact of the securities transaction taxes on the Chinese stock market

... or Hong Kong dollars, are ordinary shares designed exclusively for foreign investors. A-shares dom- inate the stock market in three key regards: the number of listing companies, trading volume and market ... See full document

19

Pass Through of SBP Policy Rate to Market Interest Rates: An Empirical Investigation

Pass Through of SBP Policy Rate to Market Interest Rates: An Empirical Investigation

... to policy rate was contributed by Borio and Fritz ...of interest rate pass -through. A loan rate response function for 12 OECD countries was estimated by using monthly data on key ... See full document

17

Relationship between stock market volatility and exchange rate: a study of kse

Relationship between stock market volatility and exchange rate: a study of kse

... exchange rate. Daily closing prices of stock and daily exchange rate have been taken by ...exchange rate which is running for former to later (Agarwal, Kumar and Sirivastava ...exchange rate ... See full document

5

Online Full Text

Online Full Text

... In general these approximation formulas are very accu- rate. Our numerical experiments with a variety of param- eters show that the relative error is within 4% for t < 20 for the second formula. From the ... See full document

6

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