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Herd behavior and aggregate fluctuations in financial markets

CONT, Rama; BOUCHAUD, Jean-Philippe - EconWPA - 1997

We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to distributions observed in recent empirical studies of high...

Persistent link: https://www.econbiz.de/10005134800

Comparison between Asian, Russian and Turkish financial crises

Lukkarila, Johanna - EconWPA - 2004

financial crises in Russia and Turkey. The paper shows that the traditional models are still relevant, but to some extent they …

Persistent link: https://www.econbiz.de/10005556609

Russias financial markets boom, crisis and recovery 1995-2001, Lessons for Emerging Markets Investors

Sueppel, Ralph - EconWPA - 2002

From 1995 to 2001 Russia witnessed an asset market boom, a deep financial crisis, and a surprisingly forceful recovery … a convergence of Russia’s economic structures with those in Central and Western Europe. …

Persistent link: https://www.econbiz.de/10005561251

Bayesian Multivariate Regression Analysis with a New Class of Skewed Distributions

Ferreira, Jose T.A.S.; Steel, Mark F.J. - EconWPA - 2004

In this paper, we introduce a novel class of skewed multivariate distributions and, more generally, a method of building such a class on the basis of univariate skewed distributions. The method is based on a general linear transformation of a multidimensional random variable with independent...

Persistent link: https://www.econbiz.de/10005556332

The role of oil prices and the real exchange rate in Russia‘s economy

Rautava, Jouko - EconWPA - 2002

Most people seem to think that Russia’s economy and fiscal situation are still crucially tied up with international oil … Russia's economy and fiscal policy is analysed using VAR methodology and cointegration techniques. The research period … statistics do not indicate that Russia’s dependence on oil and the real exchange rate would somehow have weakened in recent years. …

Persistent link: https://www.econbiz.de/10005561329

A Non-parametric Bootstrap Simulation Study in ESTAR (1) Model

Sen, Liew Khim; Baharumshah, Ahmad Zubaidi; Chong, Choo Wei - EconWPA - 2003

Smooth Transition Autoregressive (STAR) model has been employed in a number of current studies dealing with non-linearities. The usefulness of this model has been documented in these studies. However, the population statistical properties of the parameters in this model remain unknown. This...

Persistent link: https://www.econbiz.de/10005408278

An approach to bank insolvency in transition and emerging economies

Mayes, David G. - EconWPA - 2004

In the light of the inequity of the way losses from bank insolvencies and their avoidance through intervention by the authorities have been distributed over creditors, depositors, owners and the population at large in transition and emerging economies, this paper explores a number of regulatory...

Persistent link: https://www.econbiz.de/10005134654

Collateral-Based Lending in Emerging Markets: Evidence from Thailand

Menkhoff, Lukas; Neuberger, Doris; Suwanaporn, Chodechai - EconWPA - 2005

This paper examines the role and determinants of collateral in emerging markets compared to mature ones. Analyzing a data set of 560 credit files of Thai commercial banks, we find that both the incidence and degree of collateralization are higher there than in developed markets. Thai banks use...

Persistent link: https://www.econbiz.de/10005134744

How should emerging economies manage their foreign exchange reserves?

Gupta, Akash; Agarwal, Rahul - EconWPA - 2004

Asia has emerged as the balancing wheel of global finance. The countries of Asia now account for 70 per cent of global foreign exchange reserves, compared to only 30 percent in 1990 and 21 per cent in the early 1970s. This paper explores theoretical interpretations for the relatively high demand...

Persistent link: https://www.econbiz.de/10005119482

Review of Peter J. Montiel 'Macroeconomics in Emerging Markets'

Haas, Ralph de - EconWPA - 2004

Review of Peter J. Montiel 'Macroeconomics in Emerging Markets'

Persistent link: https://www.econbiz.de/10005076685