2,267 research outputs found
Properties of centered random walks on locally compact groups and Lie groups
The basic aim of this paper is to study asymptotic properties of the
convolution powers K^(n) = K * K * ... * K of a possibly non-symmetric
probability density K on a locally compact, compactly generated group G. If K
is centered, we show that the Markov operator T associated with K is analytic
in L^p(G) for 1<p<\infty, and establish Davies-Gaffney estimates in L^2 for the
iterated operators T^n. These results enable us to obtain various Gaussian
bounds on K^(n). In particular, when G is a Lie group we recover and extend
some estimates of Alexopoulos and of Varopoulos for convolution powers of
centered densities and for the heat kernels of centered sublaplacians. Finally,
in case G is amenable, we discover that the properties of analyticity or
Davies-Gaffney estimates hold only if K is centered.Comment: 52 pages. Accepted in 2006 for publication in Revista Matematica
Iberoamerican
International Shocks and the Role of Domestic Policy in Australia
VAR, open economy, monetary policy
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Detecting Contagion with Correlation: Volatility and Timing Matter
We examine whether contagion tests are affected by controls for volatility clustering and the collection of synchronized data sets. Without controlling for volatility clustering synchronization does not apparently matter. Once volatility clustering is accounted for synchronized data dramatically changes results
Cojumping: Evidence from the US Treasury Bond and Futures Market
The basis between spot and future prices will be affected by jump behavior in each asset price, challenging intraday hedging strategies. Using a formal cojumping test this paper considers the cojumping behaviour of spot and futures prices in high frequency US Treasury data. Cojumping occurs most frequently at shorter maturities and higher samling frequencies. We find that the presence of an anticipated macroeconomic news announcement is sufficient to change the probability of observing cojumps. Moreover, news surprises in non-farm payrolls, CPI, GDP and retail sales play a leading role in changing the probabilities of cojumps. However, surprises in non-farm payrolls also increase the probability of the cojumping tests being unable to determine whether jumps in spots and futures occur contemporaneously. On these occasions the market does not clearly signal its short term pricing behavior
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International financial contagion: what do we know?
This paper attempts a synthesis of theoretical and empirical work on international financial contagion. Although a professional consensus on the appropriate definitions of contagion has yet to emerge, we document substantial research progress towards this goal. On the empirical front, determining when returns are âexcessiveâ is a pre-condition for designing effective policy response to crises. At the theoretical level, tracing the observed herding behavior to market participantsâ uncertain beliefs and information asymmetries is a key element for understanding how contagious effects arise. It is argued that the recent focus on better understanding of high-frequency financial returns data and decision making at the market microstructure level are promising avenues for understanding the transmission of shocks across markets and countries
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The Term Premium and The UK Economy 1980-2007
The term premium is estimated from an empirically coherent open economy VAR model of the UK economy where the model specifically accounts for the mixed nature of the data and cointegration between some variables. Using this framework the estimated negative term premia for 1980-2007 is decomposed into its contributing shocks, where the role of inflation and monetary policy shocks are shown to be dominant in the evolution of the term premium. Projecting into the 2007-2008 crisis period reveals the extent of the shocks to the UK economy, and also shows the similarities in term premia behaviour with those experienced during the 1998 Russian crisis, likely reflecting the flight to cash experienced in both crises
An Empirical Analysis of the Effect of Growth on Inflation, Australia, Canada and the United States
Inflation, growth, potential growth, monetary policy
Empirical Modelling of Contagion: A Review of Methodologies
The existing literature promotes a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods, and shows how they are related in a unified framework. A number of extensions are also suggested which allow for multivarite testing, endogeneity issues and structural breaks.Contagion, Financial Crises
Testing for contagion using correlations: some words of caution
Tests for contagion in financial returns using correlation analysis are seriously affected by the size of the ânoncrisisâ and âcrisisâ periods. Typically the crisis period contains relatively few observations, which seriously affects the power of the test.Financial crises ; Financial markets
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