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The Warsaw Stock Exchange Index WIG: Modelling and Forecasting

Wdowinski, Piotr; Zglinska-Pietrzak, Aneta - CESifo - 2005

In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...

Persistent link: https://www.econbiz.de/10005406048

Vertical Integration and Valuation of International Oil Companies

Misund, Bård; Osmundsen, Petter; Sikveland, Marius - CESifo - 2014

This paper studies financial statement information from the 50 largest international oil and gas companies during 1992 to 2011 and evaluates their relation to market values. In particular, we examine how this relationship is affected by accounting method choice (successful efforts versus full...

Persistent link: https://www.econbiz.de/10010960642

Asset Pricing with Uncertain Betas: A Long-Term Perspective

Gollier, Christian - CESifo - 2013

How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...

Persistent link: https://www.econbiz.de/10010877682

Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes

Gollier, Christian - CESifo - 2012

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

Persistent link: https://www.econbiz.de/10010603851

Do Markets Care about Central Bank Governor Changes? Evidence from Emerging Markets

Moser, Christoph; Dreher, Axel - CESifo - 2007

Central bank governor changes in emerging markets may convey important signals about future monetary policy. Based on a new daily data set, this paper examines the reactions of foreign exchange markets, domestic stock market indices and sovereign bond spreads to central bank governor changes....

Persistent link: https://www.econbiz.de/10005765858

Risk Premia in General Equilibrium

Posch, Olaf - CESifo - 2010

This paper shows that non-linearities imposed by a neoclassical production function alone can generate time-varying and asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications improve substantially when we allow for...

Persistent link: https://www.econbiz.de/10008511599

Dusting off the Perception of Risk and Returns in FOREX Markets

Cumperayot, Phornchanok - CESifo - 2003

, based on the volatility of macroeconomic fundamentals. The modified flexible-price monetary model is used to characterize …

Persistent link: https://www.econbiz.de/10005094310

Measuring the Social Discount Rate under Uncertainty: A Methodology and Application

Ahsan, Syed; Tsigaris, Panagiotis - CESifo - 2002

It is well recognised that the issue of the social rate of discount applies only to the gains from public investment that accrues to the public sector. When it comes to measurement, however, there is a problem: public investment in infrastructure and the like do not usually yield direct...

Persistent link: https://www.econbiz.de/10005406216

The Micro Dynamics of Macro Announcements

Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - CESifo - 2013

response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …

Persistent link: https://www.econbiz.de/10010877723

Commodity Price Volatility, Democracy and Economic Growth

Arezki, Rabah; Gylfason, Thorvaldur - CESifo - 2011

We use a new dataset on non-resource GDP to examine the impact of commodity price volatility on economic growth in a … panel of up to 158 countries during the period 1970-2007. Our main finding is that commodity price volatility leads to a … result, we show that increased commodity price volatility leads to a statistically significant and quantitatively large …

Persistent link: https://www.econbiz.de/10009352227