کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5100359 | 1377215 | 2016 | 52 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Assessing Euro crises from a time varying international CAPM approach
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper initially reviews the current empirical literature on the euro exchange rate. We consider the relationship between the euro and other floating currencies in terms of excess returns on bond markets and also the relationship between the euro-dollar and the US and European equity markets. One novelty in the paper is to consider the variation in the euro-dollar rate from an international capital asset pricing model (CAPM) perspective. The second new innovation is to use a kernel weighted time varying parameter regression approach which allows structural parameters and risk premium terms to evolve over time. We find evidence that the euro-dollar rate is substantially influenced by equity markets in the US and in the Eurozone.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 39, Part B, December 2016, Pages 197-208
Journal: Journal of Empirical Finance - Volume 39, Part B, December 2016, Pages 197-208
نویسندگان
Richard T. Baillie, Dooyeon Cho,