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In: Springer Finance
The rapid advances in financial technology in the past decade have led to a commensurate increase in sophistication for modelling techniques needed by the researchers for the understanding of financial markets. The book aims at equipping graduate students, market analysts and others with a wide range of empirical techniques. It not only discusses the analytical structures behind such modelling approaches, but also explains how they are applied to actual data. Besides traditional elements of financial econometrics and statistical techniques commonly used in quantitative finance, the book covers: estimation of parametric and non-parametric models; advanced tools to deal with unobserved components; discrete time models of asset prices and of interest rates. Illustrations include speculative equity prices, equity and currency risk premium as well as real investment opportunity analysis and interest rate contingent claim valuation.
In: Advanced Studies in Theoretical and Applied Econometrics Ser. v.40
In: Journal of policy modeling: JPMOD ; a social science forum of world issues, Band 43, Heft 1, S. 15-33
ISSN: 0161-8938
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In: Economic Systems, Band 37, Heft 1
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In: Economic Analysis and Policy, Band 42, Heft 1, S. 39-49
In: Scottish journal of political economy: the journal of the Scottish Economic Society, Band 57, Heft 2, S. 169-186
ISSN: 1467-9485
In: Journal of economic and social measurement, Band 33, Heft 4, S. 221-239
ISSN: 1875-8932
In: The quarterly review of economics and finance, Band 47, Heft 1, S. 159-174
ISSN: 1062-9769
In: Journal of Policy Modeling, Forthcoming
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The Financial Crisis of 2007-09 caused the U.S. economy to experience a relatively long recession from December 2007 to June 2009. Both the U.S. government and the Federal Reserve undertook expansive fiscal and monetary policies to minimize both the severity and length of the recession. Most notably, the Federal Reserve initiated three rounds of unconventional monetary policies known as Quantitative Easing. These policies were intended to reduce long-term interest rates when the short term federal funds rates had reached the zero lower bound and could not become negative. It was argued that the lowering of longer-term interest rates would help the stock market and thus the wealth of consumers. This paper investigates this hypothesis and concludes that quantitative easing has contributed to the observed increases in the stock market's significant recovery since its crash due to the financial crisis
BASE
The Financial Crisis of 2007-09 caused the U.S. economy to experience a relatively long recession from December 2007 to June 2009. Both the U.S. government and the Federal Reserve undertook expansive fiscal and monetary policies to minimize both the severity and length of the recession. Most notably, the Federal Reserve initiated three rounds of unconventional monetary policies known as Quantitative Easing. These policies were intended to reduce long-term interest rates when the short term federal funds rates had reached the zero lower bound and could not become negative. It was argued that the lowering of longer-term interest rates would help the stock market and thus the wealth of consumers. This paper investigates this hypothesis and concludes that quantitative easing has contributed to the observed increases in the stock market's significant recovery since its crash due to the financial crisis.
BASE
SSRN
Working paper