This paper analyzes the relationship between currency price changes and their expectations. Currency price change expectations are derived with the help of different order flow measures, from the trading behavior of investors on OANDA FXTrade, which is an internet trading platform in the foreign exchange market. We investigate whether forecasts of intra-day price changes on different sampling f...

We consider a cointegrating regression in which the integrated regressors are messy in the sense that they contain data that may be mismeasured, missing, observed at mixed frequencies, or have other irregularities that cause the econometrician to observe them with mildly nonstationary noise. Least squares estimation of the cointegrating vector is consistent. Existing prototypical variancebased ...

Any announcement from the Federal Reserve has a huge impact on the interest rate markets. The press releases from the Federal Open Market Committee (FOMC) are major inputs to the market and the random intervention model is applied to interest rate futures transaction data to measure FOMC announcement impact. Missing prices during non-trading time periods are imputed iteratively during the estim...

The paper deals with Alternative Risk Transfer (ART) through securitization of longevity and mortality risks in pension plans and commercial life insurance. Various types of such mortality-linked securities are described including methods of their pricing and real examples (e.g. CATM bonds, longevity bonds, mortality forwards and futures, mortality swaps, and others). Hypothetical calculations ...

A semiparametric extension of the GJR model (Glosten et al., 1993. Journal of Finance 48, 1779–1801) is proposed for the volatility of foreign exchange returns. Under reasonable assumptions, asymptotic normal distributions are established for the estimators of the model, corroborated by simulation results. When applied to the Deutsche Mark/US Dollar and the Deutsche Mark/British Pound daily ret...

This paper argues that the existence of bank networks is important for banks ́ reaction to monetary policy. For the example of Germany, the VAR analysis shows that following a monetary contraction small banks access the interbank market indirectly through the head institutions of their respective network organisations. The interbank flows within these networks allow small banks to access funds t...

This paper attempts to quantify the effect of skill shortages on the UK labour market by developing a simultaneous equation model of unemployment and real wage growth. The model is developed following a structural approach based on a priori economic information and is initially estimated using a two-stage least squares procedure. The model is also estimated using Zellner’s seemingly unrelated r...

Many economic applications call for simultaneous equations VAR modeling. We show that the existing importance sampler can be prohibitively inefficient for this type of models. We develop a Gibbs simulator that works for both simultaneous and recursive VAR models with a much broader range of linear restrictions than those in the existing literature. We show that the required computation is of an...

The importance of consumer confidence in stimulating economic activity is a disputed issue in macroeconomics. Do changes in confidence represent autonomous fluctuations in optimism, independent of information on economic fundamentals, or are they a reflection of economic news? I study this question by using high-frequency microdata on spending and consumer confidence, and I find that consumer c...

We analyze the relationship between website visits, magazine demand and the demand for advertising pages using Granger non-causality tests on the basis of an extensive and externally audited quarterly data set for the German magazine market spanning the period I/1998 to II/2004. We use traditional panel data estimators and an estimator suitable for heterogeneity across magazines. We find very r...