Similar Search Results

Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion

Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - C.E.P.R. Discussion Papers - 2002

This Paper develops a test of contagion in financial markets based on bivariate correlation analysis, which generalizes existing tests, and applies it to the international effects of the Hong Kong stock market crisis of October 1997. Contagion is defined as a structural break in the...

Persistent link: https://www.econbiz.de/10005791976

Country and Industry Dynamics in Stock Returns

Catão, Luis A. V.; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004

An important question in international finance is to what extent stock return volatility is influenced by country location, industry affiliation, and global factors. This Paper develops a new methodology to measure these effects, in which portfolios mimicking ‘pure’ country and industry...

Persistent link: https://www.econbiz.de/10005067673

Preferred Risk Habitat of Individual Investors

Dorn, Daniel; Huberman, Gur - C.E.P.R. Discussion Papers - 2007

The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks with volatilities … commensurate with their risk aversion; more risk-averse individuals pick lower-volatility stocks. The investors' portfolio … stocks are sold they are replaced by stocks of similar volatilities, and the more risk averse customers indeed hold less …

Persistent link: https://www.econbiz.de/10005067451

Is There Regional Tax Competition? Firm Level Evidence for Belgium

Crabbé, Karen; Janssen, Boudewijn; Vandenbussche, Hylke - C.E.P.R. Discussion Papers - 2004

This is the first Paper that looks at regional tax competition within one single country. In many countries in Europe, regions within a country differ substantially in their economic development and attractiveness to firms. Belgium is a typical example of a country where the economic situation...

Persistent link: https://www.econbiz.de/10005661436

The Term Structure of Inflation Expectations

Chernov, Mikhail; Mueller, Philippe - C.E.P.R. Discussion Papers - 2008

accommodates forecasts over multiple horizons from multiple surveys and Treasury yields by allowing for differences between risk …

Persistent link: https://www.econbiz.de/10005662095

Is Official Exchange Rate Intervention Effective?

Taylor, Mark P - C.E.P.R. Discussion Papers - 2003

I examine the effectiveness of exchange rate intervention within the context of a Markov-switching model for the real exchange rate. The probability of switching between stable and unstable regimes depends non-linearly upon the amount of intervention, the degree of misalignment and the duration...

Persistent link: https://www.econbiz.de/10005789130

Galton's Fallacy and Tests of the Convergence Hypothesis

Quah, Danny - C.E.P.R. Discussion Papers - 1993

Recent tests for the convergence hypothesis derive from regressing average growth rates on initial levels: a negative initial level coefficient is interpreted as convergence. These tests turn out to be plagued by Francis Galton's classical fallacy of regression towards the mean. Using a dynamic...

Persistent link: https://www.econbiz.de/10005791236

Accession to the WTO and EU Enlargement: What Potential for Trade Increase?

Koukhartchouk, Oxana; Maurel, Mathilde - C.E.P.R. Discussion Papers - 2003

This Paper asks the question of the impact of institutions on trade and tries to estimate the potential for trade increase between CIS, Central Eastern European countries and the EU. The latter is computed using the gravity equation and the procedure introduced by Hausman and Taylor (1981). It...

Persistent link: https://www.econbiz.de/10005791826

Estimating Loss Function Parameters

Elliott, Graham; Komunjer, Ivana; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2003

In situations where a sequence of forecasts is observed, a common strategy is to examine ‘rationality’ conditional on a given loss function. We examine this from a different perspective - supposing that we have a family of loss functions indexed by unknown shape parameters, then given the...

Persistent link: https://www.econbiz.de/10005791975

Dots to Boxes: Do the Size and Shape of Spatial Units Jeopardize Economic Geography Estimations?

Briant, Anthony; Combes, Pierre-Philippe; Lafourcade, Miren - C.E.P.R. Discussion Papers - 2008

This paper evaluates, in the context of economic geography estimates, the magnitude of the distortions arising from the choice of zoning system, which is also known as the Modifiable Areal Unit Problem (MAUP). We consider three standard economic geography exercises (the analysis of spatial...

Persistent link: https://www.econbiz.de/10005792469