New Economics Papers
on Financial Markets
Issue of 2006‒07‒15
72 papers chosen by
Carolina Valiente
  1. Cross-Autocorrelation of Dual-Listed Stock Portfolio Returns: Evidence from the Chinese Stock Market By Daxue Wang
  2. Can Miracles Lead to Crises? An Informational Frictions Explanation of Emerging Markets Crises By Emine Boz; University of Maryland
  3. Are Hungarian financial markets liquid enough? The theory and practice of FX and government securities market liquidity By Csaba Csávás; Szilárd Erhart
  4. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models By Francois-Éric Racicot; Raymond Théoret; Alain Coen
  5. Evaluating the Success of Malaysia’s Exchange Controls (1998-99) By S M Ali Abbas (Hertford College)
  6. The Coordination Channel of Foreign Exchange Intervention By Stefan Reitz; M.P Taylor
  7. The cyclicality of interest rate spreads in Austria: Evidence for a financial decelerator? By Johann Burgstaller
  8. Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis By Andrea Cipollini
  9. Household financial assets in the process of development By Honohan, Patrick
  10. Financial development in Latin America : big emerging issues, limited policy answers By Schmukler, Sergio L.; Gozzi, Juan Carlos; de la Torre, Augusto
  11. Mathematical methods of market risk valuation in application to Russian stock market By Andrey M. Boyarshinov
  12. Asset Prices and asset Correlations in Illiquid Markets By Celso Brunetti
  13. Who gets private equity? The role of debt capacity, growth and intangible assets By Baeyens, K.; Manigart, S.
  14. Learning to Forecast the Exchange Rate: Two Competing Approaches. By Paul De Grauwe
  15. The predictive power of the present value model of stock prices By Geraldine Ryan
  16. Entry of Foreign Banks and their Impact on Host Countries By Maria Lehner; Monika Schnitzer
  17. Exchange Rates and Fundamentals: Is there a Role for Nonlinearities in Real Time? By Yunus Aksoy; ; Kurmas Akdogan
  18. Comparative study of central decision makers versus groups of evolved agents trading in equity markets By Cyril Schoreels
  19. The discounted economic stock of money with VAR forecasting By William A. Barnett; U. of Kansas
  20. Bank Profitability and Taxation By Ugo Albertazzi
  21. Testing Financial Integration: Finite Sample Motivated Mothods By Marie-Claude Beaulieu; Marie-Hélène Gagnon
  22. The Triple-Parity Law By Jean-Christian Lambelet
  23. Oil crisis, Energy Saving Technological Change, and the Stock Market Collapse of 1974 By Adrian Peralta-Alva
  24. Estimation of Precautionary Demand by Financial Anxieties By Y. Morita; Department of Economics
  25. On Sovereign Credit Migration: A Study of Alternative Estimators and Rating Dynamics By Ana-Maria Fuertes; Elena Kalotychou
  26. Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model By Pau Rabanal
  27. Sovereign Risk Premiums in the European Government Bond Market By Kerstin Bernoth; Jürgen von Hagen; Ludger Schuknecht
  28. Learning about Stock Volatility: The Local Scale Model with Homoskedastic Innovations By J. Huston McCulloch; ; Ohio State University
  29. Exploring the International Linkages of the Euro Area: a Global VAR Analysis By Stephane Dees; European Central Bank
  30. The External Finance Premium and the Macroeconomy: US post-WWII Evidence By Ferre De Graeve
  31. New Evidence on the Puzzles: Monetary Policy and Exchange Rates By Almuth Scholl; ; Harald Uhlig
  32. Effects of Fundamentals on the Exchange Rate: A Panel Analysis for a Sample of Industrialised and Emerging Economies By Jose Eduardo de A. Ferreira
  33. Monetary regime choice in the accession countries - a theoretical analysis By Anna Lipinska
  34. Exchange-Rate-Based Stabilization, Durables Consumption, and Stylized Facts By Manoj Atolia
  35. Can Perpetual Learning Explain the Forward Premium Puzzle? By George W. Evans; Avik Chakraborty
  36. Assessing the structural VAR approach to exchange rate pass-through By Ida Wolden Bache
  37. Rational Inattention, Portfolio Choice, and the Equity Premium By Yulei Luo
  38. The Equilibrium Real Exchange Rate in Peru: BEER Models and Confidence Band Building By Jesús Ferreyra; Jorge Salas
  39. Macroeconomic Models and the Yield Curve By Sean Holly; Jagjit Chadha
  40. On the financial sustainability of earnings-related pension schemes with " pay-as-you-go " financing and the role of government indexed bonds By Bodor, Andras; Robalino, David A.
  41. How the ECB and the US Fed Set Interest Rates By Ansgar Belke; Thorsten Polleit
  42. Financial Market Imperfections: Does it Matter for Firm Size Dynamics? By Kim P. Huynh
  43. Forecasting the Term Structure of Variance Swaps By Kai Detlefsen; Wolfgang Härdle
  44. A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function By George Monokroussos
  45. An approximate consumption function By Mario Padula
  46. Complete Markets, Enforcement Constraints and Intermediation By Arpad Abraham
  47. Monetary Policy with Heterogeneous Agents and Credit Constraints By Xavier Ragot; Yann Algan
  48. Profitability of Index-based Size and Style Rotation Strategies in the UK Equity Markets By Natasha Todorovic
  49. Forecasting stock prices using Genetic Programming and Chance Discovery By Alma Lilia Garcia-Almanza; Edward P.K. Tsang
  50. Learning, structural instability and present value calculations By M. Hashem Pesaran
  51. Monetary Policy and the Illusionary Exchange Rate Puzzle By Hilde C. Bjørnland; University of Oslo
  52. Modeling the strategic trading of electricity assets By Derek W. Bunn; Fernando S. Oliveira
  53. Currency Predictions for Multi-Currency Instruments By Baldur P. Magnusson; Daniel R. Plante
  54. The emergence of knowledge exchange: an agent-based model of a software market. By Maria Chli
  55. Pricing problems of perpetual Bermudan options By Yoshifumi Muroi
  56. The Rates and Revenue of Bank Transaction Taxes By Jorge Baca-Campodónico; Luiz de Mello; Andrei Kirilenko
  57. ON SELLER ESTIMATES AND BUYER RETURNS By Alex Gershkov; Flavio Toxvaerd
  58. Comparing Value-at-Risk Methodologies By Luiz Renato Lima; ; Breno Pinheiro Néri
  59. Are Indexed Bonds a Remedy for Sudden Stops$\_?$ By C. Bora Durdu,
  60. Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis By Carl Chiarella
  61. Asset price volatilities and trading volumes in heterogeneous agent economies By Costas Xiouros
  62. Asset pricing with adaptive learning By Eva Carceles Poveda; Chryssi Giannitsarou
  63. The Independent Monetary Policy under the Fixed Exchange Regime By Gang Gong; William Goffe
  64. The Political Economy of Corruption and the Role of Financial Institutions By Kira Boerner; Christa Hainz
  65. Financial Deregulation and Industrial Development: Subsequent Impact on Economic Growth in the Czech Republic, Hungary and Poland By Patricia McGrath; ;
  66. Technological Transfers, Limited Commitment and Growth By Alexandre Dmitriev
  67. Financial Autonomy of the European Union after Enlargement By Maciej Cieslukowski; Rui Henrique Alves
  68. Optimal Monetary Policy when Agents are Learning By Krisztina Molnar
  69. Willingness to Pay for Road Safety and Estimates of the Risk of Death: Evidence from a Swedish Contingent Valuation Study By Andersson, Henrik
  70. Secular Trends in U.S Saving and Consumption By Kaiji Chen
  71. Observable Reputation Trading By Hendrik Hakenes; Martin Peitz
  72. Regression methods in pricing American and Bermudan options using consumption processes By Denis Belomestny; Grigori N. Milstein; Vladimir Spokoiny
  1. By: Daxue Wang (PhD program IESE Business School)
    Keywords: Cross-Autocorrelation; Segmented Stock Markets; Dual-Listed Stocks; Market-Wide and Portfolio-Specific Information.
    JEL: G14 G18
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:182&r=fmk
  2. By: Emine Boz (Economics University of Maryland); University of Maryland
    Keywords: financial crises, emerging markets, informational frictions, learning
    JEL: F41 D82 G15
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:19&r=fmk
  3. By: Csaba Csávás (Magyar Nemzeti Bank); Szilárd Erhart (Magyar Nemzeti Bank)
    Abstract: The subject of our study is market liquidity, which is an important element of the functioning of financial markets. Adequate liquidity of markets is of great significance from the point of view of both market participants and the central bank. On the one hand, of all market segments an examination was made of the domestic forint-euro spot FX market, which is of key importance due to the openness of the country’s economy. On the other hand, an analysis was made of the market of forint denominated government bonds, which plays a crucial role in the transmission of the central bank’s interest rate policy. Several useful lessons can be drawn from looking over the literature dealing with the measurement of market liquidity. First, liquidity can unambiguously be interpreted only alongside several liquidity dimensions. The so-called tightness dimension of liquidity can be measured by the transaction costs, a typical indicator of which is the bid-ask spread. Another important dimension is market depth, and market turnover is most often used in literature as its approximation indicator. Accordingly, in the course of empirical examinations, the two main liquidity indicators, i.e. the bid-ask spread and turnover were examined not only separately, but also in terms of their relationship. Another important conclusion to be drawn is that individual liquidity indicators may often signal changes in different directions of market liquidity, and this is one of the reasons why it is important to look at individual indicators together.
    Keywords: Market liquidity, financial markets, bid-ask spread, market turnover.
    JEL: F31 G14 G15
    Date: 2005
    URL: http://d.repec.org/n?u=RePEc:mnb:opaper:2005/44&r=fmk
  4. By: Francois-Éric Racicot (Département des sciences administratives, Université du Québec (Outaouais) et LRSP); Raymond Théoret (Département de stratégie des affaires, Université du Québec (Montréal)); Alain Coen (Département de stratégie des affaires, Université du Québec (Montréal))
    Abstract: A very promising literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. Our first aim is to develop an empirical application of Autoregressive Conditional Duration GARCH models and the realized volatility to forecast future volatilities on irregularly spaced data. We also compare the out sample performances of ACD GARCH models with the realized volatility method. We propose a procedure to take into account the time deformation and show how to use these models for computing daily VaR.
    Keywords: Realized volatility, Ultra High Frequency GARCH, time deformation, financial markets, Daily VaR.
    JEL: C22 C53 G14
    Date: 2006–07–06
    URL: http://d.repec.org/n?u=RePEc:pqs:wpaper:152006&r=fmk
  5. By: S M Ali Abbas (Hertford College)
    Abstract: The paper evaluates in depth, the exchange control measures imposed by Malaysia in September-1998. Controls are evaluated using three alternative benchmarks—Malaysia vs. itself (pre-controls), vs. ex-ante forecasts of Malaysia for the year-1999, and Malaysia vs. the other affected East Asian economies. The comparisons suggest that controls were effective in turning some key variables around, especially the stock market index, and also enabled Malaysia to incur fewer social costs vis-à-vis the other crisis-economies. Finally, a GARCH measure of Malaysia’s interest-rate and stock-market volatility is obtained and the impact of controls on volatility studied. Evidence was found of volatility responding differentially to the Russian crisis (before controls) and the Brazilian crisis (after controls), indicating that controls helped insulate Malaysia from developments in global financial markets. Overall the paper confirms the necessity of LDCs retaining the capital controls option in the absence of material efforts to reform the international financial architecture and the inadequacy of conventional policy tools to effectively deal with present-day capital flows.
    URL: http://d.repec.org/n?u=RePEc:qeh:qehwps:qehwps113&r=fmk
  6. By: Stefan Reitz (Economics Deutsche Bundesbank); M.P Taylor
    Keywords: foreign exchange intervention; market microstructure; nonlinear mean reversion
    JEL: C10 F31 F41
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:16&r=fmk
  7. By: Johann Burgstaller (Department of Economics, Johannes Kepler University Linz, Austria)
    Abstract: This study explores an important aspect of how the Austrian banking sector contributes to the propagation of aggregate shocks. Time series data for the 1995-2003 period are applied to examine the cyclical variations in interest rate spreads. Differentials between interest rates on loans and savings are not found to shrink in economic upturns, so there is no financial mechanism emanating from bank markups that would entail an amplification of macroeconomic fluctuations. But also the evidence for Austrian banks dampening the business cycle (a financial de-celerator) is not striking as the increases of interest rate spreads after shocks in the growth rate of real GDP are practically small.
    Keywords: Interest rate spreads; business cycles; financial accelerator; impulse response analysis
    JEL: E32 G21
    Date: 2006–07
    URL: http://d.repec.org/n?u=RePEc:jku:econwp:2006_02&r=fmk
  8. By: Andrea Cipollini (University of Essex)
    Keywords: Financial Contagion, Dynamic Factor Model, Stochastic Simulation
    JEL: C32 C51 F34
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:477&r=fmk
  9. By: Honohan, Patrick
    Abstract: Systematic information on household financial asset holdings in developing countries is very sparse. The author reviews some available data and current policy debates. Although financial asset holdings by households are highly concentrated, deeper financial systems are correlated with improved income distribution. For low-income countries, the relevant question for poor households is not how much financial assets they have, but whether they have any access to financial products at all. Building on and synthesizing disparate data collection efforts by others, the author produces new estimates of access percentages for over 150 countries. Across countries access is negatively correlated with poverty rates, but the correlation is not a robust one: thus the supposed anti-poverty potential of financial access remains econometrically elusive. Despite policy focus on the value of credit instruments, it is deposit products that tend to be the first to be used as prosperity increases, before more sophisticated savings products and borrowing.
    Keywords: Economic Theory & Research,Banks & Banking Reform,Investment and Investment Climate,Financial Intermediation,Settlement of Investment Disputes
    Date: 2006–07–01
    URL: http://d.repec.org/n?u=RePEc:wbk:wbrwps:3965&r=fmk
  10. By: Schmukler, Sergio L.; Gozzi, Juan Carlos; de la Torre, Augusto
    Abstract: This paper argues that the dominant policy paradigm on financial development is increasingly insufficient to address big emerging issues that are particularly relevant for financial systems in Latin America. This paradigm was shaped over the past decades by a fundamental shift in thinking toward market-based financial development and a complex process of financial crises interpretation. The result has been a richly textured policy paradigm focused on promoting financial stability and the convergence to international standards. It argues, however, that there is a growing dissonance between the current paradigm and the emerging issues, which is illustrated by discussing challenges in three areas: stock markets, small and medium enterprise loans, and defined-contribution pension funds. The paper concludes that the dominant policy paradigm is ill-suited to provide significant guidance in relation to the big emerging issues. It emphasizes the need to take a fresh look at the evidence, improve the diagnoses, revisit expectations, and revise the paradigm.
    Keywords: Financial Economics,Economic Theory & Research,Financial Intermediation,Macroeconomic Management,Markets and Market Access
    Date: 2006–07–01
    URL: http://d.repec.org/n?u=RePEc:wbk:wbrwps:3963&r=fmk
  11. By: Andrey M. Boyarshinov (Computational Mathematics and Mechanics Perm State Technical University)
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:127&r=fmk
  12. By: Celso Brunetti (Finance Johns Hopkins University)
    Keywords: Market Liquidity, Volatilities, Correlations, Asset Pricing, GMM
    JEL: G12
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:331&r=fmk
  13. By: Baeyens, K.; Manigart, S.
    Abstract: While informed private equity (PE) investors screen for the most promising ventures, firms may avoid raising of PE for issues of cost and control. A critical question therefore is: which firms get PE? We consider both supply and demande side arguments to study the characteristics of a sample of 231 firms that did receive PE and compare them to those of a matched sample. Supporting the pecking order theory, we show that firms rely on PE funding when there are no alternatives, i.e.when their debt capacity is limited, due to financial and bankruptcy risk and due to important investments in intangibles. PE investors, from their side, select firms with substantial growth options. Further, firms that receive PE have grown more before the funding event than companies that did not receive PE.
    Keywords: financing choice, private equity
    JEL: G32
    Date: 2006–06–26
    URL: http://d.repec.org/n?u=RePEc:vlg:vlgwps:2006-24&r=fmk
  14. By: Paul De Grauwe (KULeuven)
    Keywords: Exchange Rate Economics, Adaptive Learning, Behavioral Finance
    JEL: F31 F41
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:367&r=fmk
  15. By: Geraldine Ryan (Economics University College Cork)
    Keywords: Present Value Model of Stock Prices; Nonlinear Unit Root Tests; Nonlinear Cointegration Tests; ESTAR- EGARCH model; Long Horizon Predictability Tests.
    JEL: G12 G14 C53
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:102&r=fmk
  16. By: Maria Lehner (University of Munich, Akademiestr. 1/III, 80799 Munich, Germany. Tel: +49 89 2180 2766 maria.lehner@lrz.uni-muenchen.de); Monika Schnitzer (University of Munich, Akademiestr. 1/III, 80799 Munich, Germany and CEPR. Tel: +49 89 2180 2217 schnitzer@lrz.uni-muenchen.de)
    Abstract: Foreign bank entry is frequently associated with spillover effects for local banks and increasing competition in the local banking market. We study the impact of these effects on host countries. In particular, we ask how these effects interact and how they depend on the competitive environment of the host banking market. An increasing number of banks is more likely to have positive welfare effects the more competitive the market environment, whereas spillovers are less likely to have positive welfare effects the stronger competition. Hence, competitive effects seem to reinforce each other, while spillovers and competition tend to weaken each other.
    Keywords: foreign bank entry, multinational bank, competition in banking, spillover effects
    JEL: F37 G21 L13 O16
    Date: 2006–06
    URL: http://d.repec.org/n?u=RePEc:trf:wpaper:152&r=fmk
  17. By: Yunus Aksoy; ; Kurmas Akdogan
    Keywords: monetary model, exchange rates, nonlinear adjustment, real time, unit roots, forecasting
    JEL: F31 F37
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:12&r=fmk
  18. By: Cyril Schoreels (School of Computer Science and IT University of Nottingham)
    Keywords: Agents, Decision Making, Equity Market Trading, Genetic Algorithms, Technical Indicators
    JEL: G10
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:410&r=fmk
  19. By: William A. Barnett; U. of Kansas
    Keywords: Monetary aggregation, discounted economic capital stock, VAR, robustness, capital asset pricing
    JEL: E41 G12 C43 C22
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:51&r=fmk
  20. By: Ugo Albertazzi (Research Department Banca d'Italia)
    Keywords: Tax-Shifting, Corporate Income Tax, Bank Profitability
    JEL: C53 G20 G21
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:364&r=fmk
  21. By: Marie-Claude Beaulieu (Université Laval); Marie-Hélène Gagnon (Université Laval)
    Keywords: market integration, finite sample methods
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:233&r=fmk
  22. By: Jean-Christian Lambelet
    Keywords: nominal uncovered interest rate parity, relative purchasing power parity, real interest rate parity, international arbitrage, economic laws, OECD countries
    JEL: C21 C31 E44 E41
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:33&r=fmk
  23. By: Adrian Peralta-Alva (Department of Economics University of Miami)
    Keywords: Stock Market, Energy Prices, Tobin's q
    JEL: E22 O33 Q43
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:49&r=fmk
  24. By: Y. Morita (Department of Economics Kyoto Gakuen University); Department of Economics
    Keywords: financial anxieties, precautionary demand,cointegration,EGARCH
    JEL: E42 E52 E58
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:46&r=fmk
  25. By: Ana-Maria Fuertes (Cass Business School); Elena Kalotychou (City University London)
    Keywords: Sovereign credit risk; Rating transitions; Markov chain; Time heterogeneity; Rating momentum; Duration dependence.
    JEL: C13 C41 G21
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:509&r=fmk
  26. By: Pau Rabanal (IMF)
    Keywords: Real Exchange Rates, Bayesian Estimation, Model Comparison.
    JEL: F41 C11
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:87&r=fmk
  27. By: Kerstin Bernoth (De Nederlandsche Bank (DNB), ZEI-University of Bonn. k.bernoth@dnb.nl); Jürgen von Hagen (Institut für Internationale Wirtschaftspolitik, University of Bonn, CEPR, and Indiana University, Walter-Flex-Str. 3, 53113 Bonn, Germany, Tel: +49 228 73 9199, vonhagen@uni-bonn.de); Ludger Schuknecht (European Central Bank, ludger.schuknecht@ecb.int)
    Abstract: This paper provides a study of bond yield differentials among EU government bonds issued between 1993 and 2005 on the basis of a unique dataset of issue spreads in the US and DM (Euro) bond market. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premiums which increase with fiscal imbalances and depend negatively on the issuer's relative bond market size. The start of the European Monetary Union has shifted market attention to debt service payments as the key measure of indebtedness and eliminated liquidity premiums in the euro area.
    Keywords: asset pricing, determination of interest rates, fiscal policy, government debt
    JEL: G12 E43 E62 H63
    Date: 2006–05
    URL: http://d.repec.org/n?u=RePEc:trf:wpaper:151&r=fmk
  28. By: J. Huston McCulloch; ; Ohio State University
    Keywords: Local Scale Model, Adaptive Learning, IGARCH, State-Space Model, Stock volatility
    JEL: C32 G10
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:173&r=fmk
  29. By: Stephane Dees; European Central Bank
    Keywords: Global VAR (GVAR), Global interdependencies, global macroeconomic modeling, impulse responses
    JEL: C32 E17 F47
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:47&r=fmk
  30. By: Ferre De Graeve (Ghent University)
    Keywords: financial accelerator, external finance premium, DSGE model, Bayesian estimation
    JEL: E4 E5 G32
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:84&r=fmk
  31. By: Almuth Scholl; ; Harald Uhlig
    Keywords: vector autoregressions, agnostic identification, forward discount bias puzzle, exchange rate puzzle, monetary policy
    JEL: C32 E58 F31
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:5&r=fmk
  32. By: Jose Eduardo de A. Ferreira
    Abstract: This paper tests the traditional monetary model of exchange rates for a sample of industrialized and emerging market economies by making use of panel techniques that allow for a high degree of heterogeneity across countries. The results demonstrated partial support for the monetary model for industrialised market economies but not for emerging ones. This constitutes a puzzle as it would expect countries with greater monetary instability to show a stronger association between exchange rates and monetary fundamentals.
    Keywords: Foreign Exchange; Fundamentals; Panel Data; Unit Roots; Assets
    JEL: F31 F37 F41
    Date: 2006–07
    URL: http://d.repec.org/n?u=RePEc:ukc:ukcedp:0603&r=fmk
  33. By: Anna Lipinska (IDEA Universitat Autonoma de Barcelona)
    Keywords: monetary regime choice, real exchange rate dynamics, accession economies
    JEL: F41 E52
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:243&r=fmk
  34. By: Manoj Atolia (Florida State University)
    Keywords: Inflation, Exchange-Rate-Based-Stabilization, Durables
    JEL: E3 E63 F41
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:416&r=fmk
  35. By: George W. Evans; Avik Chakraborty (Department of Economics, University of Tennessee)
    Abstract: Under rational expectations and risk neutrality the linear projection of exchange rate change on the forward premium has a unit coefficient. However, empirical estimates of this coefficient are significantly less than one (and often negative). We investigate whether replacing rational expectations by discounted least squares (or "perpetual") learning can explain the result. We calculate the asymptotic bias under perpetual learning and show that there is a negative bias that becomes strongest when the fundamentals are strongly persistent, i.e. close to a random walk. Simulations confirm that adaptive learning is potentially able to explain the forward premium puzzle.
    Keywords: Learning, exchange rates, forward premium.
    JEL: D83 D84 F31 G12 G15
    Date: 2006–06–30
    URL: http://d.repec.org/n?u=RePEc:ore:uoecwp:2006-8&r=fmk
  36. By: Ida Wolden Bache (Research Department Norges Bank (Central Bank of Norway))
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:309&r=fmk
  37. By: Yulei Luo (School of Economics and Finance University of Hong Kong)
    Keywords: Rational Inattention, Portfolio Choice, and the Equity Premium
    JEL: D44 G11 G12
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:56&r=fmk
  38. By: Jesús Ferreyra (Central Bank of Peru); Jorge Salas (Central Bank of Peru)
    Abstract: This paper uses the "Behavioral Equilibrium Exchange Rate" (BEER) approach to estimate the equilibrium real exchange rate (RER) for Peru. A bootstrap technique is then employed to build confidence bands for the equilibrium path, so that it is possible to determine whether exchange rate misalignments are statistically significant. Additionally, structural breaks are modeled in the long-run relationship between the RER and its fundamentals. Using quarterly data for 1980.I-2005.III, the authors find that the long-run behavior of the Peruvian RER is explained by the following fundamentals: net foreign liabilities, terms of trade, and, less conclusively, government expenditure and openness. Moreover, the ratio of tradable to non-tradable sector productivities, both in domestic terms and relative to trading partners, appears as an additional RER fundamental only since the 1990s. Finally, there is evidence of some statistically significant RER misalignment episodes over the analyzed period.
    Keywords: Equilibrium Real Exchange Rate, BEER Models, Cointegration, Structural Break, Bootstrap
    JEL: F31 F41 C15 C22
    Date: 2006–06
    URL: http://d.repec.org/n?u=RePEc:rbp:wpaper:2006-006&r=fmk
  39. By: Sean Holly (Cambridge University); Jagjit Chadha (University of St Andrews; Brunel University)
    Keywords: macroeconomic models, yield curve
    JEL: E43 E44 E47
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:105&r=fmk
  40. By: Bodor, Andras; Robalino, David A.
    Abstract: In this paper the authors reconsider the idea of an earnings-related pension system with reserves invested in indexed government bonds as a mechanism to both ensure financial sustainability and improve security. They start by reviewing the characterization of the sustainable rate of return of an earnings-related pension system with pay-as-you-go financing. The authors show that current proxies for the sustainable rate, including the Swedish " gyroscope, " are not stable and propose an alternative measure that depends on the growth of the buffer-stock and the pay-as-you-go asset. Using a simple one-sector macroeconomic model that embeds a notional account pension system they then show how GDP indexed government bonds, if combined with the right measure for the sustainable rate of return on contributions, could be used to generate a sustainable and secure earnings-related pension system, without becoming a fiscal burden. The proposal is particularly attractive for countries considering reforms to earnings-related systems that have accumulated a large implicit pension debt. In this case, the government bonds allow the financing of this debt in a transparent way. The proposed mechanism can also facilitate the transition to a fully-funded pension system when the government bonds are allowed to be traded.
    Keywords: Economic Theory & Research,Technology Industry,Pensions & Retirement Systems,Economic Growth,Population Policies
    Date: 2006–07–01
    URL: http://d.repec.org/n?u=RePEc:wbk:wbrwps:3966&r=fmk
  41. By: Ansgar Belke; Thorsten Polleit
    Date: 2006
    URL: http://d.repec.org/n?u=RePEc:hoh:hohdip:269&r=fmk
  42. By: Kim P. Huynh (Indiana University)
    Keywords: Firm Dynamics, Leverage, Dynamic Panel Data
    JEL: D21 G3 C23
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:428&r=fmk
  43. By: Kai Detlefsen; Wolfgang Härdle
    Abstract: Recently, Diebold and Li (2003) obtained good forecasting results for yield curves in a reparametrized Nelson-Siegel framework. We analyze similar modeling approaches for price curves of variance swaps that serve nowadays as hedging instruments for options on realized variance. We consider the popular Heston model, reparametrize its variance swap price formula and model the entire variance swap curves by two exponential factors whose loadings evolve dynamically on a weekly basis. Generalizing this approach we consider a reparametrization of the three-dimensional Nelson-Siegel factor model. We show that these factors can be interpreted as level, slope and curvature and how they can be estimated directly from characteristic points of the curves. Moreover, we analyze a semiparametric factor model. Estimating autoregressive models for the factor loadings we get termstructure forecasts that we compare in addition to the random walk and the static Heston model that is often used in industry. In contrast to the results of Diebold and Li (2003) on yield curves, no model produces better forecasts of variance swap curves than the random walk but forecasting the Heston model improves the popular static Heston model. Moreover, the Heston model is better than the flexible semiparametric approach that outperforms the Nelson-Siegel model.
    Keywords: Term structure, Variance swap curve, Heston model, Nelson-Siegel curve, Semiparametric factor model
    JEL: G1 D4 C5
    Date: 2006–07
    URL: http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2006-052&r=fmk
  44. By: George Monokroussos (Economics University at Albany, SUNY)
    Keywords: Reserves, Federal Funds Rate, Open Market Operations, Open Market Desk, Censored Models, Data Augmentation, Markov Chain Monte Carlo, Gibbs Sampling, Time-Varying Parameter Models
    JEL: C15 C22 C24 E4
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:390&r=fmk
  45. By: Mario Padula (Università di Salerno)
    Keywords: Consumption, Precautionary Saving, Buffer Stock
    JEL: E21 E27
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:133&r=fmk
  46. By: Arpad Abraham (University of Rochester)
    Keywords: Complete markets, Enforcement Constraints, Intermediation
    JEL: E44 D52 G12
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:320&r=fmk
  47. By: Xavier Ragot; Yann Algan
    Keywords: monetary policy, Credit constraints, Welfare
    JEL: E2 E5
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:292&r=fmk
  48. By: Natasha Todorovic (Faculty of Finance Cass Business School)
    Keywords: PCA, Logit model, value/growth and small/large style rotation
    JEL: G11
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:507&r=fmk
  49. By: Alma Lilia Garcia-Almanza (COMPUTER SCIENCE UNIVERSITY OF ESSEX); Edward P.K. Tsang
    Keywords: Forecasting, Chance discovery, Genetic programming, machine learning
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:489&r=fmk
  50. By: M. Hashem Pesaran (University of Cambridge)
    Keywords: present value, stock prices, structural breaks, Bayesian learning
    JEL: C11 G12 G22
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:529&r=fmk
  51. By: Hilde C. Bjørnland; University of Oslo
    Keywords: Dornbusch overshooting, VAR, monetary policy, exchange rate puzzle, identification.
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:45&r=fmk
  52. By: Derek W. Bunn (London Business School); Fernando S. Oliveira (Operational Research and Systems Warwick Business School)
    Keywords: Competitive advantage, computational learning, auctions, asset trading, simulation, electricity markets
    JEL: L14 C72 C73 L94
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:235&r=fmk
  53. By: Baldur P. Magnusson; Daniel R. Plante
    Keywords: Currency Forecasting, Neural Networks, Brownian Motion
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:399&r=fmk
  54. By: Maria Chli (Electrical and Electronic Engineering Imperial College London)
    Keywords: Agent-based Computational Economics, adaptive behaviour, knowledge sharing, market efficiency
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:361&r=fmk
  55. By: Yoshifumi Muroi (Bank of Japan)
    Keywords: perpetual Bermudan options, optimal stopping problems, linear complementarity problem, PSOR algorithm, linear programming methods, interior point methods
    JEL: C61 G12 G13
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:345&r=fmk
  56. By: Jorge Baca-Campodónico; Luiz de Mello; Andrei Kirilenko
    Abstract: This paper provides cross-country empirical evidence on the productivity of bank transaction taxes (BTTs). Our data set comprises six Latin American countries that have levied BTTs since the late 1980s: Argentina, Brazil, Colombia, Ecuador, Peru and Venezuela. We find that, for a given tax rate, revenue declines over time. Therefore, in order to meet a fixed revenue target in real terms, the tax rate needs to be raised repeatedly. However, we also find that successive increases in the tax rate erode the tax base by more than they raise revenue yield and that the higher the increase in the tax rate, the more and faster the tax base is eroded. We conclude that BTTs do not provide a reliable source of revenue, especially over the medium term. <BR>Ce document fournit une étude empirique de comparaison internationale sur la productivité des impôts sur les transactions bancaires (ITB). Notre base de données correspond à 6 pays d’Amérique latine qui ont un impôt sur les transactions bancaires: Argentine, Brésil, Colombie, Équateur, Pérou et Venezuela. Nous trouvons que le revenu diminue au fil du temps pour un taux d’imposition donné. Pour cette raison, le taux d’imposition doit être augmenté régulièrement en vue d’atteindre une cible de revenu en terme réel. Cependant, nous voyons que les augmentations successives des taux d’imposition réduisent l’assiette d’imposition plus que le rendement obtenu, et plus grande est la hausse du taux d’imposition, plus rapide est l’érosion de l’assiette d’imposition. Nous concluons que l’imposition des transactions bancaires ne fournit pas une source de revenu fiable, particulièrement sur le moyen terme.
    Keywords: bank transaction tax, bank debit tax , tax productivity, impôts sur les transactions bancaires, impôt sur les retraits bancaires, productivité des impôts
    JEL: G28 G29 H21 H22
    Date: 2006–06–30
    URL: http://d.repec.org/n?u=RePEc:oec:ecoaaa:494-en&r=fmk
  57. By: Alex Gershkov (University of Bonn, Department of Economics, Economic Theory II, Lennéstrasse 37, 53113 Bonn, Germany. Tel: +49 228737993, Fax: +49 228737940, alex.gershkov@uni-bonn.de); Flavio Toxvaerd (Faculty of Economics, University of Cambridge, Austin Robinson Building, Sidgwick Avenue, Cambridge CB3 9DD, United Kingdom. Tel: +44 (0) 1223 335258, Fax: +44 (0) 1223 335475, fmot2@cam.ac.uk)
    Abstract: This paper revisits recent empirical research on buyer credulity in arts auctions and auctions for assets in general. We show that elementary results in auction theory can fully account for some stylized facts on asset returns that have been held to suggest that sellers of assets can exploit buyers by providing biased estimates of asset values. We argue that, rather than showing that buyers are credulous, the existing evidence can serve as an indirect test of the rationality assumptions underlying auction theory.
    Keywords: Auctions, information disclosure, seller manipulation, buyer credulity
    JEL: D44 D82 G12 G14
    Date: 2006–02
    URL: http://d.repec.org/n?u=RePEc:trf:wpaper:143&r=fmk
  58. By: Luiz Renato Lima (Graduate School of Economics Getúlio Vargas Foundation); ; Breno Pinheiro Néri
    Keywords: ARCH Quantile Value-at-Risk
    JEL: C52 C53
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:1&r=fmk
  59. By: C. Bora Durdu, (Department of Economics University of Maryland)
    Keywords: Indexed Bonds, Degree of Indexation,
    JEL: F41 F32 E44
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:11&r=fmk
  60. By: Carl Chiarella (University of Technology, Sydney)
    Keywords: Mean variance analysis, heterogeneous beliefs, aggregation, asset pricing
    JEL: G11 G12
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:108&r=fmk
  61. By: Costas Xiouros (Finance and Business Economics University of Southern California)
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:466&r=fmk
  62. By: Eva Carceles Poveda; Chryssi Giannitsarou
    Keywords: Asset pricing, adaptive learning, excess returns, predictability.
    JEL: G12 D83 D84
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:25&r=fmk
  63. By: Gang Gong (Tsinghua University); William Goffe (Economics SUNY Oswego)
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:517&r=fmk
  64. By: Kira Boerner (Department of Economics, University of Munich, Gebelestr. 13, 81679 Munich, Tel: +49 89 980970, Fax: +49 89 2180 2767, kira@dr-boerner.de); Christa Hainz (Department of Economics, University of Munich, Akademiestr. 1/III, 80799 Munich, Tel.: +49 89 2180 3232, Fax.: +49 89 2180 2767, christa.hainz@lrz.uni-muenchen.de.)
    Abstract: In many developing countries, we observe rather high levels of corruption. This is surprising from a political economy perspective, as the majority of people generally suffers from high corruption levels. We explain why citizens do not exert enough political pressure to reduce corruption if financial institutions are missing. Our model is based on the fact that corrupt officials have to pay entry fees to get lucrative positions. The mode of financing this entry fee determines the distribution of the rents from corruption. In a probabilistic voting model, we show that a lack of financial institutions can lead to more corruption as more voters are part of the corrupt system. Thus, the economic system has an effect on political outcomes. Well-functioning financial institutions, in turn, can increase the political support for anti-corruption measures.
    Keywords: Corruption, Financial Markets, Institutions, Development, Voting
    JEL: D73 D72 O17
    Date: 2006
    URL: http://d.repec.org/n?u=RePEc:trf:wpaper:135&r=fmk
  65. By: Patricia McGrath; ;
    Abstract: The Czech Republic, Hungary and Poland all experienced an initial reduction in the number of industries and an increase in unemployment, once they moved to a market driven economy. Over time the unemployment problem reduced in significance though Poland still experiences high levels to date. Industries sprung up in the private sector in all three countries which counterbalanced the drop in state enterprises. Private sector industries all reported easy access to credit once the business set up while firms with head offices overseas tended to use the home country for borrowing purposes. For these companies, the most significant feature of financial deregulation in the Czech Republic, Hungary and Poland was that of freedom of capital movement, which increased both the level of business and investment opportunities. Results show that financial deregulation led to industrial development in all three countries. Tests to indicate the impact of industrial production on economic growth, show that for the three countries industrial production caused economic growth. This was a uni-directional causality.
    Keywords: Transition Economies, Industrial Development, Financial Deregulation, Economic Growth, Eastern Europe
    JEL: E E23 F43
    Date: 2006–02–01
    URL: http://d.repec.org/n?u=RePEc:wdi:papers:2006-818&r=fmk
  66. By: Alexandre Dmitriev (Dept. d'Economia i d'Historia Economica Universitat Autònoma de Barcelona)
    Keywords: Incentive compatibility, technological diffusion, international capital flows, default risk, numerical algorithm.
    JEL: C63 F34 O33
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:248&r=fmk
  67. By: Maciej Cieslukowski (Posznan University of Economics); Rui Henrique Alves (Faculdade de Economia do Porto, Universidade do Porto)
    Abstract: One of the most important and current problems in the European Union (EU) public finance concerns its system of own resources. Almost all economists involved in the subject agree that the present system needs a comprehensive reform, as it does efficiently allows to deal with the new reality of the enlarged European Union. However, there is quite a divergence on how to do the reform, the problem lying in its range and directions. In general some economists postulate to extend the EU tax base by the creation of one or more new EU taxes whereas others opt for simplifying the system by replacing traditional and VAT resources with the so called ”fourth resource”. These differences mainly result from dissimilar approaches of economists to the criterion of financial autonomy. The main aim of this paper is to evaluate the present system of EU own resources and the proposals of its reform owing to the criterion of financial autonomy.
    Keywords: EU budget, own resources, financial autonomy
    JEL: H77 H71 F36
    Date: 2006–07
    URL: http://d.repec.org/n?u=RePEc:por:fepwps:217&r=fmk
  68. By: Krisztina Molnar
    Keywords: Optimal Monetary Policy, Learning, Rational Expectations
    JEL: C62 E0
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:40&r=fmk
  69. By: Andersson, Henrik (VTI)
    Abstract: We examine how WTP for a reduction in road-mortality risk varies with different individual characteristics and how subjective mortality-risk estimates differ from objective (statistical) mortality-risk values. Using data from a Swedish contingent valuation study, we find some support that WTP declines with age and background risk, but we find no support that WTP varies with health status. Further, we find that respondents underassess their own mortality risks, both road- and total-mortality risks, compared to the objective risk measures for Sweden at the time of the survey.
    Keywords: age; background risk; contingent valuation; health status; willingness to pay; risk perception; road safety
    JEL: C51 D61 J28
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:hhs:vtiwps:2006_005&r=fmk
  70. By: Kaiji Chen (Economics University of Oslo)
    Keywords: Consumption, Saving
    JEL: E2
    Date: 2006–07–04
    URL: http://d.repec.org/n?u=RePEc:sce:scecfa:494&r=fmk
  71. By: Hendrik Hakenes (MPI for Research on Collective Goods, Kurt-Schumacher-Str. 10, 53113 Bonn, Germany, hakenes@coll.mpg.de); Martin Peitz (School of BA, International University in Germany, 76646 Bruchsal, Germany, Martin.Peitz@i-u.de)
    Abstract: Is the reputation of a firm tradable when the change in ownership is observable? We consider a competitive market in which a share of owners must retire in each period. New owners bid for the firms that are for sale. Customers learn the owner’s type, which reflects the quality of the good or service provided, through experience. After observing an ownership change they may want to switch firm. However, in equilibrium, good new owners buy from good old owners and retain high-value customers. Hence reputation is a tradable intangible asset, although ownership change is observable.
    Keywords: Reputation, ownership change, intangible assets, theory of the firm.
    JEL: D40 D82 L14 L15
    Date: 2003–07
    URL: http://d.repec.org/n?u=RePEc:trf:wpaper:131&r=fmk
  72. By: Denis Belomestny; Grigori N. Milstein; Vladimir Spokoiny
    Abstract: Here we develop methods for e±cient pricing multidimensional discrete-time American and Bermudan options by using regression based algorithms together with a new approach towards constructing upper bounds for the price of the option. Applying the sample space with payoffs at the optimal stopping times, we propose sequential estimates for continuation values, values of the consumption process, and stopping times on the sample paths. The approach admits constructing both low and upper bounds for the price by Monte Carlo simulations. The methods are illustrated by pricing Bermudan swaptions and snowballs in the Libor market model.
    Keywords: American and Bermudan options, Low and Upper bounds, Monte Carlo simulations, Consumption process, Regression methods, Optimal stopping times
    JEL: C15 G12
    Date: 2006–07
    URL: http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2006-051&r=fmk
This issue is ©2006 by Carolina Valiente. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, please include this notice.
General information on the NEP project can be found at https://nep.repec.org. For comments please write to the director of NEP, Marco Novarese at <director@nep.repec.org>. Put “NEP” in the subject, otherwise your mail may be rejected.
NEP’s infrastructure is sponsored by the School of Economics and Finance of Massey University in New Zealand.
This page is being maintained by Thomas Krichel. It was last updated on 2024‒05‒02 at 12:59.