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The information content in the offshore Renminbi foreign-exchange option market : Analytics and implied USD/CNH densities
(23.10.2017)
BOFIT Discussion Papers 15/2017
BOFIT Discussion Papers 15/2017
In line with the deepening of the derivative foreign-exchange market in Hong Kong, we recover risk-neutral probability densities for future US dollar/offshore renminbi exchange rates as implied by exchange rate option ...
Should we care? : The economic effects of financial sanctions on the Russian economy
(29.07.2019)
BOFIT Discussion Papers 13/2019
BOFIT Discussion Papers 13/2019
We employ a Bayesian VAR model to estimate the economic effects on the Russian economy from Western financial sanctions imposed in 2014. Sanctions caused a decrease in the amount of out-standing Russian corporate external ...
Could climate change affect government expenditures? Early evidence from the Russian regions
(22.09.2015)
BOFIT Discussion Papers 27/2015
BOFIT Discussion Papers 27/2015
This paper explores the implications of climate change for government expenditures. Using a rich sub-national dataset for Russia covering 1995–2009, we estimate the impacts of changes in climatic conditions through short-term ...
Can media and text analytics provide insights into labour market conditions in China?
(20.04.2018)
BOFIT Discussion Papers 9/2018
BOFIT Discussion Papers 9/2018
The official Chinese labour market indicators have been seen as problematic, given their small cyclical movement and their only-partial capture of the labour force. In our paper, we build a monthly Chinese labour market ...
Real-time forecasting with a MIDAS VAR
(13.04.2015)
BOFIT Discussion Papers 13/2015
BOFIT Discussion Papers 13/2015
This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR ...
An adaptive approach to forecasting three key macroeconomic variables for transitional China
(10.04.2015)
BOFIT Discussion Papers 12/2015
BOFIT Discussion Papers 12/2015
We propose the use of a local autoregressive (LAR) model for adaptive estimation and forecasting of three of China’s key macroeconomic variables: GDP growth, inflation and the 7-day interbank lending rate. The approach ...