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REINSURANCE, TAXES AND EFFICIENCY: A CONTINGENT CLAIMS MODEL OF INSURANCE MARKET EQUILIBRIUM

GARVEN, James R.; Louberge, Henri - EconWPA - 1994

This paper presents an analytical model of underwriting capacity and insurance market equilibrium under an asymmetric corporate tax schedule. It is shown that reinsurance markets enable risk-neutral insurers to allocate tax shields to those firms that have the greatest capacity for utilizing...

Persistent link: https://www.econbiz.de/10005413066

Order Flow and Exchange Rate Dynamics in Brazil

Medeiros, Otavio De - EconWPA - 2005

The paper presents results of empirical tests with hybrid nominal exchange rate models for the Brazilian foreign exchange market, using macroeconomic and market microstructure variables. The basic model was originally proposed and tested in the German (DM/US$) and the Japanese (¥/US$) foreign...

Persistent link: https://www.econbiz.de/10005134888

Fear of disruption: a model of Markov-switching regimes for the Brazilian country risk conditional volatility

Une, Maurício Yoshinori; Portugal, Marcelo Savino - EconWPA - 2005

In the literature, little role is attributed to the country risk conditional volatility in the determination of the macroeconomic equilibrium in a developing small open economy (DSOE). This paper posits the prime hypothesis that, in the presence of multiple equilibria and self-fulfilling...

Persistent link: https://www.econbiz.de/10005556329

Can fear beat hope? A story of GARCH-in-Mean-Level effects for Emerging Market Country Risks

Une, Maurício Yoshinori; Portugal, Marcelo Savino - EconWPA - 2005

Upon winning the 2002 presidential elections, event that considerably increased the Brazilian country risk levels and volatility, Lula celebrated by declaring: “hope has beaten fear”. Extending Une and Portugal (2004), the aim of this paper is twofold: to empirically test the interrelations...

Persistent link: https://www.econbiz.de/10005556352

The Composition of International Capital Flows: Risk Sharing Through Foreign Direct Investment

Albuquerque, Rui - EconWPA - 2004

Evidence on international capital flows suggests that foreign direct investment (FDI) is less volatile than other financial flows. To explain this finding, I model international capital flows under the assumptions of imperfect enforcement of financial contracts and inalienability of FDI....

Persistent link: https://www.econbiz.de/10005119449

Knowledge Sources of Innovation in a Small, Open Economy: The Case of Singapore

Wong, Poh Kam; Ho, Yuen Ping - EconWPA - 2005

knowledge for innovation output in Singapore, a small, highly open economy that has traditionally been significantly dependent … Singaporean firms depends disproportionately on technological knowledge produced by MNCs with operational presence in Singapore … universities constitute an insignificant, albeit rapidly growing, source for innovation in Singapore. …

Persistent link: https://www.econbiz.de/10005124862

Labor Productivity and Inter-Sectoral Reallocation of Labor in Singapore (1965-2002)

Akkemik, K. Ali - EconWPA - 2005

decomposition of aggregate productivity growth in Singapore over the period 1965-2002. The static shift-share analysis is utilized …

Persistent link: https://www.econbiz.de/10005062744

On Singaporean Dollar-U.S. Dollar and Purchasing Power Parity

Liew, Venus Khim-Sen; Baharumshah, Ahmad Zubaidi; Lim, … - EconWPA - 2003

This study re-examines the validity of relationship between Singapore Dollar-US Dollar exchange rate and the relative … Smooth Transition Autoregressive (ESTAR)- type non-linear mean-reverting adjustment process of the nominal Singapore dollar … Singapore Dollar-US Dollar exchange rate and consumer price index ratio, this study shows that the relationship is in fact non …

Persistent link: https://www.econbiz.de/10005408165

On Singaporean Dollar and Purchasing Power Parity

Liew, Venus Khim-Sen; Baharumshah, Ahmad Zubaidi; Lim, … - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005119476

Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality

Benos, Alexandros; Papanastasopoulos, George - EconWPA - 2005

In this paper we have combined fundamental analysis and contingent claim analysis into a hybrid model of credit risk measurement. We have extended the standard Merton approach to estimate a new risk neutral distance to default metric, assuming a more complex capital structure, adjusting for...

Persistent link: https://www.econbiz.de/10005134687