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Displaying results 1 to 7 of 7.

  1. The effects of central banks' rate change patterns on financial market variables
    Author: Sohn, Wook; Sung, Byeongmook
    Published: [November 2013]
    Publisher:  Korea Development Institute, Seoul, Korea

    This study examines whether different patterns of change to the benchmark interest rates of central banks are associated with their contributions to variances in the forecast errors of three financial market variables: the long-term interest rate,... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 645
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    This study examines whether different patterns of change to the benchmark interest rates of central banks are associated with their contributions to variances in the forecast errors of three financial market variables: the long-term interest rate, the foreign exchange rate, and the stock market index. On average, the central bank's interest rate accounts for approximately 20% of the variance in each variable. We find that the total range of changes is more important than the frequency of changes. The panel regression shows that the range and frequency of policy rate changes is positively associated with the volatility of long-term interest rates but no association with the volatilities of stock prices and exchange rates. These results suggest that small and frequent adjustments of policy rates are desirable for reducing the volatility of interest rates.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9788980637898
    Other identifier:
    hdl: 10419/200934
    Series: Policy study ; 2013,01
    Subjects: Zentralbank; Zinspolitik; Aktienindex; Finanzmarktregulierung
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  2. CAPE
    using its variants to predict the returns from investing in the S&P 500 index
    Author: Tower, Edward
    Published: September 10, 2013
    Publisher:  Economic Research Initiatives @ Duke (ERID), Durham, NC

    Is the US stock market overvalued? I use Shiller's CAPE to predict the return of investing in the S&P500 index. Siegel argues that the recent fall in the share of earnings that are paid out as dividends has biased downwards predictions from the CAPE.... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Is the US stock market overvalued? I use Shiller's CAPE to predict the return of investing in the S&P500 index. Siegel argues that the recent fall in the share of earnings that are paid out as dividends has biased downwards predictions from the CAPE. I offer a solution to the problem of reduced dividends in the form of some alternative versions of CAPE, experiment with different time periods in calculating CAPE, and explore the role of previous peak earnings. While this study refers to the US stock market the issues are also important for valuing other markets

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: ERID working paper ; number 262
    Economic Research Initiatives at Duke (ERID) Working Paper ; No. 262
    Subjects: Kapitaleinkommen; Kapitalanlage; Aktienindex; Börsenkurs; Aktienmarkt; USA
    Scope: 1 Online-Ressource (circa 14 Seiten), Illustrationen
  3. International comparison of stock market valuation
    evidence from a new index
    Author: Jochem, Axel; Reitz, Stefan
    Published: 2013
    Publisher:  Inst. for the World Economy, Kiel

    This Kiel Policy Brief demonstrates the calculation of a new stock market index informing about the price competitiveness of a country's assets vis-à-vis its foreign competitors. In line with the portfolio balance approach we empirically identify net... more

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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 232 (61)
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    Location:
    Landschaftsverband Rheinland, LVR-Bibliothek der Zentralverwaltung
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    This Kiel Policy Brief demonstrates the calculation of a new stock market index informing about the price competitiveness of a country's assets vis-à-vis its foreign competitors. In line with the portfolio balance approach we empirically identify net foreign holdings of a country's assets as the long-run driver of the index dynamics. Both, the index and its fundamental value are discussed for a number of important economies shading new light on the relative assessment of financial assets on international capital markets. -- Real Effective Exchange Rate ; Capital Flows ; Financial Markets

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/74543
    Series: Kiel policy brief ; 61
    Subjects: Aktienindex; Kaufkraftparität; Kapitalmobilität; Portfolio-Investition; Theorie
    Scope: Online-Ressource (9 S.), Ill.
  4. The VIX, the variance premium and stock market volatility
    Author: Bekaert, Geert; Hoerova, Marie
    Published: 2013

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1 (18995)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: NBER working paper series ; 18995
    Subjects: Börsenkurs; Volatilität; Aktienindex; Risikoprämie; Finanzanalyse; Kapitaleinkommen; Prognoseverfahren; USA
    Scope: 39 S., graph. Darst.
    Notes:

    Parallel als Online-Ausg. erschienen
  5. Dependence and contagion between asset prices in Poland and abroad: a copula approach
    Author: Adam, Michał; Bańbuła, Piotr; Markun, Michał
    Published: 2013

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1345 (169)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: National Bank of Poland working paper ; 169
    Subjects: Finanzmarkt; Ansteckungseffekt; Aktienindex; Öffentliche Anleihe; Wechselkurs; Multivariate Verteilung; Polen
    Scope: 36 S.
    Notes:

    Parallel als Online-Ausg. erschienen
  6. Regression discontinuity and the price effects of stock market indexing
    Author: Chang, Yen-cheng; Hong, Harrison G.; Liskovich, Inessa
    Published: 2013

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1 (19290)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: NBER working paper series ; 19290
    Subjects: Börsenkurs; Aktienmarkt; Aktienindex; Schätzung; USA
    Scope: 52 S., graph. Darst.
    Notes:

    Parallel als Online-Ausg. erschienen
  7. Orthogonal transformation of coordinates in copula M-GARCH models - Bayseian analysis for WIG20 spot and futures returns
    Author: Pipień, Mateusz
    Published: 2013

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1345 (151)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: National Bank of Poland working paper ; 151
    Subjects: ARCH-Modell; Multivariate Analyse; Statistische Verteilung; Multivariate Verteilung; Aktienindex; Bayes-Statistik; Polen
    Scope: 24 S., graph. Darst.
    Notes:

    Parallel als Online-Ausg. erschienen