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Does Regulatory Harmonization Increase Bilateral Asset Holdings?
Vlachos, Jonas - C.E.P.R. Discussion Papers - 2004
By combining new data on bilateral asset holdings with data on securities regulation in an empirical gravity model, it … is found that bilateral differences in securities regulation lead to decreased portfolio holdings. Hence, regulatory … the exogenous component of asset holdings to be associated with larger differences in securities regulation. This might …
Persistent link: https://www.econbiz.de/10005124356
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The Role of Inventories and Speculative Trading in the Global Market for Crude Oil
Kilian, Lutz; Murphy, Daniel P - C.E.P.R. Discussion Papers - 2010
eliminates speculation as an explanation of the 2003-08 oil price surge. …
Persistent link: https://www.econbiz.de/10008530341
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Riding the South Sea Bubble
Temin, Peter; Voth, Hans-Joachim - C.E.P.R. Discussion Papers - 2004
The efficient markets hypothesis implies that, in the presence of rational investors, bubbles cannot develop. We analyse the trading behaviour of a sophisticated investor, a London goldsmith bank, during the South Sea bubble in 1720. The bank believed the stock to be overvalued, yet found it...
Persistent link: https://www.econbiz.de/10005136583
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Carry Trades, Monetary Policy and Speculative Dynamics
Plantin, Guillaume; Shin, Hyun Song - C.E.P.R. Discussion Papers - 2011
We ask when currency carry trades are associated with destabilizing dynamics in the foreign exchange market, and investigate the role of monetary policy rules in setting of such dynamics. In a model where the exchange rate has a long-term fundamental anchor, we find that carry trades can be...
Persistent link: https://www.econbiz.de/10008854487
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The International Monetary System: An Analysis of Alternative Regimes
Miller, Marcus; Williamson, John - C.E.P.R. Discussion Papers - 1988
This is an exercise in the positive economics of alternative monetary regimes. The behaviour of output and prices is compared using a stochastic specification which allows asymptotic variances to be obtained without difficulty. Free floating of exchange rates together with national money supply...
Persistent link: https://www.econbiz.de/10005281288
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Is the European Monetary System a DM-Zone?
De Grauwe, Paul - C.E.P.R. Discussion Papers - 1989
In this paper we analyze issues of symmetry and asymmetry in the workings of the EMS. We first measure how interest rates react to speculative disturbances. We find that despite the fact that speculative shocks have usually forced the offshore interest rates of the weak currencies to increase by...
Persistent link: https://www.econbiz.de/10005281408
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Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories
Kilian, Lutz; Lee, Thomas K - C.E.P.R. Discussion Papers - 2013
crude oil inventories affects the empirical evidence for speculation. Notwithstanding some differences, overall these …
Persistent link: https://www.econbiz.de/10011083911
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Speculation in the Oil Market
Juvenal, Luciana; Petrella, Ivan - C.E.P.R. Discussion Papers - 2014
comovement among different commodities. We assess whether speculation in the oil market played a role in driving this salient … demand. However, speculation played a significant role in the oil price increase between 2004 and 2008, and its subsequent …
Persistent link: https://www.econbiz.de/10011084143
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The Role of Speculation in Oil Markets: What Have We Learned So Far?
Fattouh, Bassam; Kilian, Lutz; Mahadeva, Lavan - C.E.P.R. Discussion Papers - 2012
was caused by the increased financialization of oil futures markets, which in turn allowed speculation to become a major … empirical methodologies and discuss to what extent each approach sheds light on the role of speculation. We find that the … existing evidence is not supportive of an important role of speculation in driving the spot price of oil after 2003. Instead …
Persistent link: https://www.econbiz.de/10011084244
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Speculation, Risk Premia and Expectations in the Yield Curve
Barillas, Francisco; Nimark, Kristoffer P - C.E.P.R. Discussion Papers - 2013
An affine asset pricing model in which agents have rational but heterogeneous expectations about future asset prices is developed. We estimate the model using data on bond yields and individual survey responses from the Survey of Professional Forecasters and perform a novel three-way...
Persistent link: https://www.econbiz.de/10011084555