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Thema Geldpolitik

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513 Ergebnisse, ab 511
  • Diskussionspapiere 1255 / 2012

    Persistence and Cycles in the US Federal Funds Rate

    This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an I(d) specification with AR(2) disturbances and the other on two fractional differencing structures, one at ...

    2012| Guglielmo Maria Caporale, Luis A. Gil-Alana
  • Diskussionspapiere 1199 / 2012

    Effects of Global Liquidity on Commodity and Food Prices

    This paper investigates the relationship between global liquidity and commodity and food prices applying a global cointegrated vector-autoregressive model. We use different measures of global liquidity and various indices of commodity and food prices for the period 1980-2011. Our results support the hypothesis that there is a positive long-run relation between global liquidity and the development of ...

    2012| Ansgar Belke, Ingo G. Bordon, Ulrich Volz
  • Referierte Aufsätze Web of Science

    Sovereign Bond Yield Spreads: A Time-Varying Coefficient Approach

    We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply a semiparametric time-varying coefficient model to identify, to what extent an observed change in the yield spread is due to a shift in macroeconomic fundamentals or due to altering risk pricing. We find that at the beginning of EMU, the government debt level and the general investors' ...

    In: Journal of International Money and Finance 31 (2012), 3, S. 639-656 | Burcu Erdogan, Kerstin Bernoth
513 Ergebnisse, ab 511
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