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  • 1.
    Bask, Mikael
    Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
    A Case for Interest Rate Inertia in Monetary Policy2014In: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 19, no 2, p. 140-159Article in journal (Refereed)
    Abstract [en]

    We argue that it is not necessary for the central bank to react to the exchange rate to have a desirable outcome in the economy. Indeed, when the Taylor rule includes contemporaneous data on the variables in the rule, the central bank can disregard from the exchange rate as long as there is enough with interest rate inertia in monetary policy. The reason is that interest rate inertia and a reaction to the current nominal exchange rate change are perfect substitutes in monetary policy. Hence, we give a rationale for the central bank to focus on the interest rate change rather than the interest rate level to have a desirable outcome in the economy, which we define as a determinate rational expectation equilibrium that is stable under least squares learning.

  • 2.
    Bask, Mikael
    Monetary Policy and Research Department, Bank of Finland.
    Announcement Effects on Exchange Rates2009In: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 14, p. 64-84Article in journal (Refereed)
  • 3.
    Bask, Mikael
    Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
    Asset price misalignments and monetary policy2012In: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 17, no 3, p. 221-241Article in journal (Refereed)
    Abstract [en]

    We augment the standard New Keynesian Model for monetary policy design with stock prices in the economy and stock traders who use a mix of fundamental and technical analyses. In contrast with most of previous literature, we argue that the central bank should augment the interest rate rule with a term for stock price misalignments because a determinate and stable rational expectations equilibrium in the economy are then easier to achieve. This equilibrium is stable under least squares learning as well. Another finding is that inertia in monetary policy does not promote macroeconomic stability when technical analysis plays a major role in stock trading. Even worse, if the central bank in its policy only indirectly responds to stock price misalignments via its effect on the inflation rate, a combination of strong inertia in monetary policy and a significant role for technical analysis in stock trading will lead to macroeconomic instability.

  • 4.
    Bask, Mikael
    Monetary Policy and Research Department, Bank of Finland.
    Chartism and Exchange Rate Volatility2007In: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 12, p. 301-316Article in journal (Refereed)
  • 5.
    Bekiros, Stelios
    et al.
    European Univ Inst, Italy.
    Dahlstrom, Amanda
    Transportstyrelsen, Sweden.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Ege, Oskar
    Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
    Jayasekera, Ranadeva
    Univ Dublin, Ireland.
    A tale of two shocks: The dynamics of international real estate markets2020In: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 25, no 1Article in journal (Refereed)
    Abstract [en]

    We examine the major potential drivers of five international housing markets utilizing a quantile regression approach. In particular, we investigate property market dynamics during three variant market environments, namely, under downward (bearish), normal (median), and upward (bullish) trending conditions. Monthly data series for the United States, United Kingdom, Australia, Singapore, and Hong Kong are analysed, in an attempt to quantify uncertainty and detect trading patterns for the largest securitized real estate markets. We find that the stock market volatility, measured by the "pushing factor" VIXSamp;P500, provides agents with the most reliable and efficient information in terms of predicting market returns during bear market conditions, whereas "pulling factors" such as money supply, treasury yields, and unemployment explain the main stylized facts, incorporating contagion and diverse endogenous and exogenous shocks. Our work provides a richer understanding on comovements in house prices, allowing policy makers to anticipate shocks in global markets in a timely manner.

  • 6.
    Habimana, Olivier
    et al.
    Jönköping University, Jönköping International Business School, JIBS, Economics. Department of Applied Statistics, College of Business and Economics, University of Rwanda, Kigali, Rwanda.
    Månsson, Kristofer
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Sjölander, Pär
    Jönköping University, Jönköping International Business School, JIBS, Statistics.
    Testing for nonlinear unit roots in the presence of a structural break with an application to the qualified PPP during the 1997 Asian financial crisis2018In: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 23, no 3, p. 221-232Article in journal (Refereed)
    Abstract [en]

    This paper applies Monte Carlo simulations to evaluate the size and power properties in the presence of a structural break, for the standard Augmented Dickey-Fuller (ADF) test versus nonlinear exponential smooth transition autoregressive unit root tests. The break causes the tests to be undersized, and the statistical power considerably decreases. Moreover, the effect is intensified in small samples and very much increased for more persistent nonlinear series. As a remedy, we modify the standard ADF and exponential smooth transition autoregressive unit root tests in order to adjust for a structural break. This improves both the power and the size considerably, even though the empirical size still is lower than the nominal one. More persistent series are more affected by structural breaks, and the new tests are most powerful under the existence of a rather persistent nonlinear data generating process (which is an empirically relevant and common type of data generating process). The proposed tests are applied to investigate mean reversion in the real effective exchange rates of 5 East and Southeast Asian countries, taking into account the structural change in exchange rate regime brought about by the 1997 Asian financial crisis. The empirical findings corroborate our simulation results; the modified more powerful tests are able to reject the unit root in all 5 countries, whereas the tests that do not consider the structural break could only reject in one of these cases.

  • 7. Peltomäki, Jarkko
    The Performance of Currency Hedge Funds and the Yen/USD Carry Trade2011In: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 16, no 2, p. 103-113Article in journal (Refereed)
    Abstract [en]

    Hedge funds are often related to the yen carry trade. This paper investigates the exposures of hedge funds that focus on currency assets to the returns of the yen/USD carry trade. The results suggest that the exposure of these hedge funds is positive only when carry trade returns are negative. Also, the results implicate that the exposure of hedge funds to the carry trade returns may be conditional on the implied volatility of the yen/USD exchange rate. And changes in this implied volatility have statistically significant impact on the returns of hedge funds.

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