Monetary Policy and its Impact on Stock Market Liquidity: Evidence from the Euro Zone

The recent financial crisis has been characterized by unprecedented monetary policy interventions of central banks with the intention to stabilize financial markets and the real economy. This paper sheds light on the actual impact of monetary policy on stock liquidity and thereby addresses its role as a determinant of commonality in liquidity. To capture effects both at the micro and macro level of stock markets, we apply panel estimations and vector autoregressive models. Our results suggest that an expansionary monetary policy of the European Central Bank leads to an increase of stock market liquidity in the German, French and Italian markets. These findings are robust for seven proxies of liquidity and two measures of monetary policy

Sequential and orthogonalized PLS (SO-PLS) regression for path analysis: Order of blocks and relations between effects

This paper is about the use of the multiblock regression method sequential and orthogonalized partial least squares (SO-PLS) for path modeling. The paper is a follow up of previously published papers on the same topic and presents a number of new results for the method. First of all, the paper discusses more thoroughly the aspect of how to incorporate blocks in the models and relates this to standard concepts in the area of graphical modeling. Second, the paper defines the concept of direct and indirect effects more precisely in terms of population parameters and shows how they are related to the additional effect in SO-PLS modeling. The paper illustrates the theory by simple graphs, simulations, and a real example from process monitoring

Characterization of selected South African young cultivar wines using FTMIR Spectroscopy, Gas chromatography, and multivariate data analysis

The powerful combination of analytical chemistry and chemometrics and its application to wine analysis provide a way to gain knowledge and insight into the inherent chemical composition of wine and to objectively distinguish between wines. Extensive research programs are focused on the chemical characterization of wine to establish industry benchmarks and authentication systems. The aim of this study was to investigate the volatile composition and mid-infrared spectroscopic profiles of South African young cultivar wines with chemometrics to identify compositional trends and to distinguish between the different cultivars. Data were generated by gas chromatography and FTMIR spectroscopy and investigated by using analysis of variance (ANOVA), principal component analysis (PCA), and linear discriminant analysis (LDA). Significant differences were found in the volatile composition of the cultivar wines, with marked similarities in the composition of Pinotage wines and white wines, specifically for 2-phenylethanol, butyric acid, ethyl acetate, isoamyl acetate, isoamyl alcohol, and isobutyric acid. Of the 26 compounds that were analyzed, 14 had odor activity values of > 1. The volatile composition and FTMIR spectra both contributed to the differentiation between the cultivar wines. The best discrimination model between the white wines was based on FTMIR spectra (98.3% correct classification), whereas a combination of spectra and volatile compounds (86.8% correct classification) was best to discriminate between the red wine cultivars. © 2009 American Chemical Society.Articl