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SSRN
In: Journal of economic dynamics & control, Band 24, Heft 10, S. 1425-1446
ISSN: 0165-1889
In: Journal of Time Series Analysis, Band 40, Heft 5, S. 739-752
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SSRN
In: International journal of public administration: IJPA, Band 32, Heft 13, S. 1147-1161
ISSN: 0190-0692
In: International journal of public administration, Band 32, Heft 13, S. 1147-1161
ISSN: 1532-4265
In: NBER working paper series 7425
"The effects on ex ante optima of a lag in seeing monetary realizations are studied using a matching model of money. The main new ingredient in the model is meetings in which producers have more information than consumers. A consequence is that increases in the amount of money that occur with small enough probability can have negative impact effects on output, because it is optimal to shut down trade in such low probability meetings rather than have lower output when high probability realizations occur. The information lag also produces prices that do not respond much to current monetary realizations"--Federal Reserve Bank of Minneapolis web site
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In: NBER Working Paper No. w31709
SSRN
In: Wiesen, T.F.P., Beaumont, P.M. (2023). A joint impulse response function for vector autoregressive models. Empirical Economics. https://doi.org/10.1007/s00181-023-02496-6
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Working paper
In: Journal of Time Series Analysis, Band 39, Heft 5, S. 641-664
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In: Globalization and Monetary Policy Institute Working Paper No. 353
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Working paper
This study examines the inflation targeting in developing countries, using Nigeria as a case study. Methodologically, an Auto-Regression (VAR) and impulse response function (IRF) model were used to analysis the nature of the impacts, where consumer price index (CPI) is presumed to depend upon changes in its determinants. The Auto-Regression process including the consumer price index, broad money supply, exchange rate, gross domestic product and government expenditure is estimated over the period 1970-2010. The model ascertained the extent in which policy target of these macroeconomics variables does lead to changes in inflation. The results show that, money supply and past level of inflation have the potentials of causing significant changes in inflation in Nigeria. This study therefore suggests that more policy attention should be given these variables in other to have stable inflation rate in Nigeria.
BASE
In: Statistica Neerlandica: journal of the Netherlands Society for Statistics and Operations Research, Band 52, Heft 3, S. 336-355
ISSN: 1467-9574
We estimate the data generating process of daily excess returns of 20 major German stocks in a CAPM framework with time varying betas. Our sample spans a 23 year period from 1974 to 1996. An asymmetric dependence of volatility on lagged innovations is taken into account. We introduce beta impulse response functions to shed light on the structural implications of systematic risk associated with competing volatility models. The dependence of beta on news is characterized with respect to different sources (asset specific vs. market general news). The empirical results suggest that negative news emerging from the market involve a stronger impact on beta relative to positive news. Concerning firm specific news the opposite relation is found for the majority of the analysed data sets.