Results 101 to 110 of about 190,252 (236)
GDP Data Revisions and Forward-Looking Monetary Policy in Switzerland [PDF]
This paper analyzes forward-looking rules for Swiss monetary policy in a small structural VAR model consisting of four variables taking into account data revisions for GDP.
Carlos Lenz +3 more
core
Changes in variability of the business cycle in the G7 countries [PDF]
Volatility breaks are tested and documented for 19 important monthlymacroeconomic time series across the G7 countries. Across all conditional meanspecifications considered, including both linear and nonlinear models with andwithout a structural break ...
Dijk, D.J.C. van +2 more
core +1 more source
Carry Trades and Global FX Volatility [PDF]
We investigate the relation between global FX volatility and the excess returns to carry trade portfolios. We find a significantly negative return co-movement of high interest rate currencies with global volatility, whereas low interest rate currencies ...
Menkhoff, Lukas +3 more
core +1 more source
Forward hedging under price and production risk of wheat
Agricultural and Food Science, 2008 This paper estimates optimal hedging ratios for a Finnish spring wheat producer under price and yield uncertainty. The contract available for hedging fixes the price and quantity at the time of sowing for a delivery at harvest.
X. LIU, K. PIETOLA
doaj
A Consistent Pricing Model for Index Options and Volatility Derivatives [PDF]
We propose and study a flexible modeling framework for the joint dynamics of an index and a set of forward variance swap rates written on this index, allowing options on forward variance swaps and options on the underlying index to be priced consistently.
Cont, Rama, Kokholm, Thomas
core
Comovements in volatility in the euro money market [PDF]
This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of linkages relating volatility dynamics. The main findings of the study are as follows.
Cassola, Nuno, Morana, Claudio
core
Portfolio Procurement Strategies with Forward and Option Contracts Combined with Spot Market
SystemsIncreasing supply chain uncertainty due to market volatility has heightened the need for more flexible procurement strategies. While procurement through long-term forward contracts provides supply stability and cost predictability, it limits adaptability.
Nurul Anastasya Talaba, Pyung-Hoi Koo
doaj +1 more source
The Analysis of Forward-Looking Monetary Policy in a SVAR Framework [PDF]
This paper analyzes forward-looking monetary policy rules in structural VAR’s. First, an approach for modeling a monetary policy which aims at a strict medium term inflation or output growth target is developed.
Carlos Lenz +3 more
core
Humanities & Social Sciences CommunicationsThis study examines the nexus between external shocks and micro-transmission aspects of volatility persistence and market efficiency for the Malawian Foreign exchange market.
Joseph Paul Chunga, Ping YU
doaj +1 more source