Abstract We study nominal exchange rate dynamics in the aftermath of U.S. monetary policy announcements. Using high-frequency interest and stock price movements around FOMC announcements, we distinguish between pure shocks information shocks, which are associated with new contained Contractionary give rise to a strong, but transitory, appreciation on impact. Information also appreciate rate, ef...

Article history: Received 1 December 2011 Received in revised form 9 July 2013 Accepted 10 July 2013 Available online 20 July 2013 This paper provides empirical evidence on monetary policy making for the US, the UK and the EMU using the decomposition in persistent and transitory monetary shocks proposed in Andolfatto, Hendry, and Moran [Journal of Monetary Economics 55 (2008) 406–422]. We use t...

We generalize the canonical permanent-transitory income process to allow for infrequent shocks. The distribution of growth rates can then have a discrete mass point at zero and fat tails as observed in data. provide analytical formulas unconditional conditional distributions higher-order moments. prove set identification results numerically validate that we simultaneously identify frequency, va...

Using the threshold structural VAR model, this paper examines the multiheterogeneity impacts of international oil price shocks on Chinese stock market in the background of financialization. The research finds: (1) the effects of oil price shocks on stock returns are different across sectors and the responses of stock returns are larger in bear markets. The nonlinear effects of oil supply shocks...

productivity shocks are one of the most important factors that influence the firms ‘ decisions on he optimal consumption of production inputs. unobservable productivity shocks create selection and simultaneity problems causing biased estimates of production function by ordinary least squares. however, to estimate coefficients associated with production function by levinsohn and petrin technique...

Recent theoretical work has shown the importance of measuring microeconomic uncertainty for models of both general and partial equilibrium under imperfect insurance. In this paper the assumption of i.i.d. income innovations used in previous empirical studies is removed and the focus of the analysis placed on models for the conditional variance of income shocks, which is related to the measure o...

This paper examines the behavior of postwar real U.S. GNP, the inputs to an aggregate production function, and the associated Solow residuals for the presence of nonlinearities in their generating mechanisms. To test for nonlinearity, we implement three di®erent statistical tests: the McLeod-Li test based on the correlogram of the squared data, the BDS test based on the correlation integral, an...

Using two models that incorporate a nonlinear forward-backward heat equation, we demonstrate the existence of well-deened weak solutions containing shocks for diiusive problems. Occurrence of shocks is connected to multivalued inverse solutions and non-monotone potential functions. Unique viscous solutions are determined from perturbation theory by matching to a shock layer condition. Results o...

In this paper, we consider the daily Xtrackers CAC 40 UCITS from 2009 to 2020 for analysis as it is supposed capture more information compared other French stock markets. After application of different statistical tests including BDS test, Hinich bispectrum Tsay test linearity, long memory and automatic serial correlation tests, try weak form efficiency ETF market through a logistic smooth tran...