- Economics - Research Publications
Economics - Research Publications
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ItemTesting for a level effect in short-term interest ratesHENRY, OT ; SUARDI, S (Department of Economics, The University of Melbourne, 2004)
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ItemEquity return and short-term interest rate volatility: level effects and asymmetric dynamicsHenry, Olan T. ; OLEKALNS, NILSS ; Suardi, Sandy ( 2005-07)Evidence suggests that short-term interest rate volatility peakswith the level of short rates, while equity volatility responds asymmetricallyto positive and negative shocks. We present an LM basedtest that distinguishes between level effects and asymmetry in volatilitywhich is robust to the presence of unidentified nuisance parametersunder the null. There is strong evidence of a level effect and asymmetricresponse in the relationship between S&P 500 Index returns and3-month US Treasury Bills. The conditional covariance depends onthe level of the short rate which has implications for hedging equityreturns against short term interest rate movements.
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ItemTesting for asymmetry in interest rate volatility in the presence of a neglected level effectHENRY, OT ; SUARDI, S (Department of Economics, The University of Melbourne, 2005)
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ItemTime Variation and Asymmetry in the World Price of Covariance Risk: The Implications for International DiversificationHenry, Olan T. ; OLEKALNS, NILSS ; Shields, Kalvinder ( 2004-06)The International Capital Asset Pricing Model measures countryrisk in terms of the conditional covariance of national returns withthe world return. Using impulse responses from a multivariate nonlinearmodel we provide evidence of time variation and asymmetry inthe measure of country risk. and the implied benefit to internationaldiversification. The evidence implies that the price of risk and the benefitsfrom diversification may differ in a statistically and economicallymeaningful fashion across bull and bear markets.
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ItemMeasuring the response of macroeconomic uncertainty to shocksShields, K ; Olekalns, N ; Henry, OT ; Brooks, C (M I T PRESS, 2005-05)
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ItemThe asymmetric effects of uncertainty on inflation and output growthGrier, KB ; Henry, OT ; Olekalns, N ; Shields, K (WILEY, 2004-09-01)