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Search Results for Collection: Centre for Financial Markets Working Papers
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(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 ...
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(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 ...
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(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 ...
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(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, ...
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(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 ...
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(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 ...
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(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 ...
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(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 ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004-10-12)We analyse the impact of volatility per se on exports for a a small open economy concentrating on Irish trade with the UK and the US. An important element is that we take account of the time lag between the trade decision ...
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(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) ...