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Privatization, Political Risk and Stock Market Development in Emerging Economies
Perotti, Enrico C.; van Oijen, Pieter - 1999
This paper investigates whether privatization in emerging economies has a significant indirect effect on local stock market development through the resolution of political risk. We argue that a sustained privatization program represents a major political test that gradually resolves uncertainty...
Persistent link: https://www.econbiz.de/10010324472
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 1999
Exchange rates typically exhibit time-varying patterns in both means andvariances. The histograms of such series indicate heavy tails. In thispaper we construct models which enable a decision-maker to analyze theimplications of such time series patterns for currency risk management.Our approach...
Persistent link: https://www.econbiz.de/10010324426
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; van Dijk, Herman K. - 2001
We construct models which enable a decision-maker to analyze the implications oftypical timeseries patterns of daily exchange rates for currency risk management. Ourapproach is Bayesianwhere extensive use is made of Markov chain Monte Carlo methods. The effects ofseveral modelcharacteristics...
Persistent link: https://www.econbiz.de/10010324963
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Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form
Bos, Charles S.; Shephard, Neil - 2004
In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...
Persistent link: https://www.econbiz.de/10010325429
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Sovereign Risk and Macroeconomic Fluctuations in an Emerging Market Economy
Kirchner, Markus; Rieth, Malte - 2010
This paper assesses the role of sovereign risk in explaining macroeconomic fluctuations in Turkey. We estimate two versions of a simple New Keynesian small open economy model on quarterly data for the period 1994Q3-2008Q2: A basic version and a version augmented by a default premium on...
Persistent link: https://www.econbiz.de/10010325979
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The Impact of Trade Liberalization on the Return to Education in Vietnam: Wage versus Employment Effect
Oostendorp, Remco H.; Quang, Doan Hong - 2011
Several studies have identified the impact of trade liberalization in developing countries on the return to education within a Mincerian framework through a difference-in-difference estimator or with industry-level measures of trade openness. These studies have typically estimated the return to...
Persistent link: https://www.econbiz.de/10010325919
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The Importance of Accounting for Time Trends when Estimating the Euro Effect on Trade
Bun, Maurice J.G.; Klaassen, Franc J.G.M. - 2003
To study the effect of the euro on international goods trade one typically estimates a panel model for the level of … euro is only present at the end of the sample, this may have led to an upward bias in existing euro estimates to help … have different effects across country-pairs. Data on industrialized countries over 1967-2002 show the existing euro effects …
Persistent link: https://www.econbiz.de/10010324985
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Exponential or Power Distance-decay for Commuting? An Alternative Specification
de Vries, Jacob J.; Nijkamp, Peter; Rietveld, Piet - 2004
-to-work journeys between municipalities in Denmark. Special attention is given to a proper estimation method and the form of the …
Persistent link: https://www.econbiz.de/10010325561
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Informal Sector in Developed and less Developed Countries: A Literature Survey
Gerxhani, Klarita - 1999
The main goal of this study is two-fold: (1) to provide a general overview of thecontributions to the literature on the informal sector, with a special focus on the PublicChoice approach; and (2) to compare these contributions across two institutionallydifferent types of countries: developed and...
Persistent link: https://www.econbiz.de/10010324457
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Time-Varying Market Integration and Expected Returns in Emerging Markets
de Jong, Frank; de Roon, Frans A. - 2001
We use a simple model in which the expected returns in emerging markets depend on their systematicrisk as measured by their beta relative to the world portfolio as well as on the level ofintegration in that market. The level of integration is a time-varying variable that depends on themarket...
Persistent link: https://www.econbiz.de/10010324738