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Bredin, Donal
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Bredin, Donal
Official Name
Bredin, Donal
Research Output
Now showing 1 - 10 of 19
- PublicationMonetary policy surprises and international bond markets(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 and future inflation in the spirit of Campbell and Ammer (1993) for Germany, the UK and the US. We next assess how excess bond returns in these three countries are affected by surprise changes in monetary policy in each country. Our measure of the unanticipated element of monetary policy is based on futures markets rather than the more traditional vector autoregression. Our results indicate that excess bond returns primarily react to domestic as compared to foreign monetary policy surprises. We also find there is a strong divergence between the effects of domestic monetary on excess bond returns in Germany relative to the UK with a surprise monetary tightening in former(latter) leading to a rise(fall)in the excess holding period return and this appears to be driven by news regarding lower(higher) inflation expectations and could be potentially rationalised by differences in the credibility of the monetary policy authority in each country.586 - PublicationCorrelation dynamics between Asia-Pacifc, EU and US stock returns(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, Engle and Sheppard (2006). We find significant variation in correlation between markets through time. Stocks exhibit asymmetries in conditional correlations in addition to conditional volatility. Yet asymmetry is less appar- ent in less integrated markets. The Asian crisis acts as a structural break, with correlations increasing markedly between crisis countries during this period though the bear market in the early 2000s is a more significant event for correlations with developed markets. Our findings also provide further evidence consistent with increasing global market integration. The documented asymmetries and correlation dynamics have important implications for international portfolio diversification and asset allocation.821 - PublicationOil volatility and the option value of waiting : an analysis of the G-7(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 uncertainty will tend to induce firms to delay investment. These models are widely utilized in capital budgeting decisions, particularly in the energy sector. There is relatively little empirical evidence, however, on whether such channels have industry-wide effects. Using a sample of G7 countries we examine whether uncertainty about a prominent commodity – oil – affects the time series variation in manufacturing activity. Our primary result is consistent with the predictions of real options theory – uncertainty about oil prices has had a negative and significant effect on manufacturing activity in Canada, France, UK and US.359 - PublicationReal & nominal foreign exchange volatility effects on exports – the importance of timing(2009-11-19T16:30:10Z)
; 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 effect into both a timing as well as a size impact. We find that the size impact of forecasted foreign exchange volatility does not vary according to the measure used in terms of magnitude and direction. However, there are very different timing effects, when we compare real and nominal foreign exchange rate volatility.256 - PublicationReal & nominal foreign exchange volatility effects on exports – the importance of timing(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 effect into both a timing as well as a size impact. We find that the size impact of forecasted foreign exchange volatility does not vary according to the measure used in terms of magnitude and direction. However, there are very different timing effects, when we compare real and nominal foreign exchange rate volatility.355 - PublicationInternational influences on Irish stock returns(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) model. Importantly we find that both US and UK stock returns are significant determinants of Irish returns. Further,US returns are an important transition variable. Additionally,we show that both the US industrial production growth and changesin short term interest rates play an important role in explaining Irish stock returns. A two transition variable model finds that US short term interest rate changes exert a secondary nonlinear influence on Irish returns. The significance of US variables is reflective of the influence of US investment in the Irish economy.320 - PublicationIs macroeconomic uncertainty bad for macroeconomic performance? Evidence from five Asian countries(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 of important conclusions. First, in the majority of countries uncertainty regarding the output growth rate is related negatively to the average growth rate. Second, contrary to expectations, inflation uncertainty in most cases does not harm the output growth performance of an economy. Third, inflation and output uncertainty have a mixed effect on inflation. These results imply that macroeconomic uncertainty may even improve macroeconomic performance, i.e., raise output growth and reduce inflation.126 - PublicationMonetary shocks and REIT returns(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 of unanticipated changes has not previously been addressed in terms of possible effects on both REIT’s returns and volatility. The results show a strong response in both the first and second moments of REIT returns to unexpected policy rate changes. The results for the impact of the shock on both mean and volatility of returns is consistent with results from studies addressing broader equity markets. However, we find evidence both against behavioral changes in volatility coincident to US monetary policy decisions and asymmetric responses to the monetary policy shock.1004 - PublicationEuropean monetary policy surprises : the aggregate and sectoral stock market response(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 UK and German aggregate and sectoral stock returns in an event study. The decomposition of the (un)expected changes in policy rates are based on futures markets. Overall, our results suggest that, UK monetary policy surprises have a significant negative influence on both aggregate and industry level stock returns in both the UK and Germany. The in uence of German/Euro area monetary policy shocks appears insignificant for both countries.983 - PublicationAn analysis of the EU Emission Trading Scheme(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 critically important element of the EU ETS is the establishment of a market determined price for EU allowances. This article examines the extent to which several theoretically founded factors including, economic growth, energy prices and weather conditions determine the expected prices of the European Union CO2 allowances during the 2005 through to the 2009 period. The novel aspect of our study is that we examine the heavily traded futures instruments that have an expiry date in Phase 2 of the EU ETS. Our study adopts both static and recursive versions of the Johansen multivariate cointegration likelihood ratio test as well as a variation on this test with a view to controlling for time varying volatility effects. Our results are indicative of a new pricing regime emerging in Phase 2 of the market and point to a maturing market driven by the fundamentals. These results are valuable both for traders of EU allowances and for those policy makers seeking to improve the design of the European Union ETS.271