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Browsing by Author "Bredin, Donal"

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An analysis of the EU Emission Trading Scheme

Bredin, Donal ; Muckley, Cal (University College Dublin. School of Business. Centre for Financial Markets, 2009)

The European Union's Emissions Trading Scheme (ETS) is the key policy instrument of the European Commission's Climate Change Program aimed at reducing greenhouse gas emissions to eight percent below 1990 levels by 2012. A ...
Correlation dynamics between Asia-Pacifc, EU and US stock returns

Hyde, Stuart ; Bredin, Donal ; Nguyen, Nghia (University College Dublin. School of Business. Centre for Financial Markets, 2007)

This paper investigates the correlation dynamics in the equity markets of 13 Asia-Pacific countries, Europe and the US using the asymmetric dynamic conditional correlation GARCH model (AG-DCC-GARCH) introduced by Cappiello, ...
European monetary policy surprises : the aggregate and sectoral stock market response

Bredin, Donal ; Hyde, Stuart ; O'Reilly, Gerard (University College Dublin. School of Business. Centre for Financial Markets, 2005-12)

In this paper we investigate the stock market response to international monetary policy changes in the UK and Germany. Specifically, we analyse the impact of (un)expected changes in UK and German/euro area policy rates on ...
Foreign exchange exposure and risk management : the case of Irish exports

Cotter, John ; Bredin, Donal (University College Dublin. School of Business. Centre for Financial Markets, 2006-06)

This report examines the impact of foreign exchange exposure on Irish exporters. The analysis is completed for aggregate (total) exports and sectoral exports between 1992 and 2005 inclusive. These fourteen years encompasses ...
Foreign shocks and the volatility of the ISEQ

Bredin, Donal ; Gavin, Caroline ; O'Reilly, Gerard (University College Dublin. School of Business. Centre for Financial Markets, 2004-05-30)

We investigate the influence of foreign monetary policy decisions on the volatility of the Irish stock market. Specifically, we examine the influence of US monetary policy announcements on the ISEQ. We find evidence of ...
The impact of volatility on Irish trade

Bredin, Donal ; Cotter, John (Irish Economic Association, 2004)
International influences on Irish stock returns

Bredin, Donal ; Hyde, Stuart (University College Dublin. School of Business. Centre for Financial Markets, 2004-03)

We examine the influence of US and UK macroeconomic and financial variables on Irish stock returns in a nonlinear framework. We allow for time variation via regime switching using a smooth transition regression (STR) ...
International policy rate changes and Dublin interbank offer rates

Bredin, Donal ; Gavin, Caroline ; O'Reilly, Gerard (University College Dublin. School of Business. Centre for Financial Markets, 2004)

We investigate the influence of international interest rate changes on the Dublin inter bank money market rates (Dibor). Specifically, we analyse the impact of (un)expected changes in German(Euro) area and US policy rates ...
Investigating sources of unanticipated exposure in industry stock returns

Bredin, Donal ; Hyde, Stuart (University College Dublin. School of Business. Centre for Financial Markets, 2009)

This paper investigates the degree of both foreign exchange rate and interest rate exposure of industry level portfolios in the G7. Our paper draws on the efficient market hypothesis and examines the extent of unexpected ...
Is macroeconomic uncertainty bad for macroeconomic performance? Evidence from five Asian countries

Bredin, Donal ; Fountas, Stilianos (University College Dublin. School of Business. Centre for Financial Markets, 2007-03)

We use a very general bivariate GARCH-M model and quarterly data for five Asian countries to test for the impact of real and nominal macroeconomic uncertainty on inflation and output growth. Our evidence supports a number ...
Macroeconomic uncertainty and macroeconomic performance: are they related?

Bredin, Donal ; Fountas, Stilianos (University College Dublin. School of Business. Centre for Financial Markets, 2004-02)

We use a very general multivariate GARCH-M model and G7 monthly data covering the 1957-2003 period to test for the impact of real and nominal macroeconomic uncertainty on inflation and output growth.Our evidence supports ...
Macroeconomic uncertainty and performance in the European Union and implications for the objectives of monetary policy

Bredin, Donal ; Fountas, Stilianos (University College Dublin. School of Business. Centre for Financial Markets, 2005)

We use a very general bivariate GARCH-M model and EU monthly data covering the 1962-2003 period to test for the impact of real (output growth) and nominal (inflation) macroeconomic uncertainty on inflation and output growth. ...
Managing foreign exchange exposure for Irish exports

Cotter, John ; Bredin, Donal (Irish Bankers Federation, 2006-05)

All exporters need to correctly manage their foreign exchange exposure with the full support and expertise of their banks, states Dr. John Cotter.
Monetary policy & real estate investment trusts

Bredin, Donal ; O'Reilly, Gerard ; Stevenson, Simon (University College Dublin. School of Business. Centre for Financial Markets, 2007)

This paper assesses the response of Real Estate Investment Trusts (REIT's) to unexpected changes in US monetary policy. A critical element in this study is the use of futures markets to isolate unexpected changes in the ...
Monetary policy surprises and international bond markets

Bredin, Donal ; Hyde, Stuart ; O'Reilly, Gerard (University College Dublin. School of Business. Centre for Financial Markets, 2006-10-04)

We examine the impact and possible pillovers effects of unanticipated monetary policy on international bond returns. First, we decompose international bond returns into news regarding future returns, real interest rates ...
Monetary shocks and REIT returns

Bredin, Donal ; O'Reilly, Gerard ; Stevenson, Simon (University College Dublin. School of Business. Centre for Financial Markets, 2007)

We investigate the influence of unanticipated changes in US monetary policy on Equity Real Estate Investment Trusts (REIT’s). Although a number of studies have investigated the issue of interest rate changes, the effect ...
Oil volatility and the option value of waiting : an analysis of the G-7

Bredin, Donal ; Elder, John ; Fountas, Stilianos (University College Dublin. School of Business. Centre for Financial Markets, 2009-08)

There has recently been considerable interest in the potential adverse effects associated with excessive uncertainty in energy futures markets. Theoretical models of investment under uncertainty predict that increased ...
Real & nominal foreign exchange volatility effects on exports – the importance of timing

Bredin, Donal ; Cotter, John (2009-11-19)

This paper compares real and nominal foreign exchange volatility effects on exports. Using a flexible lag version of the Goldstein-Khan two-country imperfect substitutes model for bilateral trade, we identify the overall ...
Real & nominal foreign exchange volatility effects on exports – the importance of timing

Bredin, Donal ; Cotter, John (University College Dublin. School of Business. Centre for Financial Markets, 2006)

This paper compares real and nominal foreign exchange volatility effects on exports. Using a flexible lag version of the Goldstein-Khan two-country imperfect substitutes model for bilateral trade, we identify the overall ...
UK Stock returns & the impact of domestic monetary policy shocks

Bredin, Donal ; Hyde, Stuart ; O'Reilly, Gerard (University College Dublin. School of Business. Centre for Financial Markets, 2005-10-21)

We investigate the influence of changes in UK monetary policy on UK stock returns and the possible reasons behind such a response. Firstly, we conduct an event study to assess the impact of unexpected changes in monetary ...