Arbeitspapier
Distilling co-movements from persistent macro and financial series
We provide a methodology to disentangle the long-run relation between variables from their own dynamics. Macroeconomic and aggregate financial series have a high degree of inertia. If this persistence is not properly accounted for, spurious correlations will give rise to paradoxes. Our procedure shows that the Uncovered Interest Parity (UIP) puzzle evaporates when the dynamics are properly modelled: the forward premium loses all the predictive power that it seemed to have. We also show how the stock market grows in long cycles around a trend given by GDP, in a stable relation that does not break.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 525
- Klassifikation
-
Wirtschaft
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Thema
-
ACF-based GLS procedure
Autocorrelation Function
long memory
Nonlinearities
Uncovered Interest Parity anomaly
Finanzsektor
Zinsparität
Theorie
Autokorrelation
Kleinste-Quadrate-Methode
Wirkungsanalyse
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Abadir, Karim
Talmain, Gabriel
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Abadir, Karim
- Talmain, Gabriel
- European Central Bank (ECB)
Entstanden
- 2005
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