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The evolution of regional productivity disparities in the European Union, 1975-2000
Kamarianakis, Yiannis; Gallo, Julie Le - EconWPA - 2003
The aim of this paper is to assess the evolution of regional productivity disparities in the European Union. Using a sample of 205 regions and 8 sectors on the 1975-2000 period, we use Esteban’s shift- share analysis to investigate the extent to which the existing interregional inequalities in...
Persistent link: https://www.econbiz.de/10005556195
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Modelling International Bond Markets with Affine Term Structure Models
Mosburger, Georg; Schneider, Paul - EconWPA - 2005
This paper investigates the performance of international affine term structure models (ATSMs) that are driven by a mutual set of global state variables. We discuss which mixture of Gaussian and square root processes is best suited for modelling international bond markets. We derive necessary...
Persistent link: https://www.econbiz.de/10005134688
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Is Liquidity Reflected in Bond Yields? Evidence from the Euro Corporate Bond Market
Houweling, Patrick; Mentink, Albert; Vorst, Ton - EconWPA - 2002
We test whether liquidity is priced in the euro-denominated corporate bond market. We use the Arbitrage Pricing Theory … to control for other sources of risk. Yields are used to measure the bonds' expected returns and liquidity is … significant pricing anomalies due to liquidity exist for euro- denominated bonds. We find that the yield premium between liquid …
Persistent link: https://www.econbiz.de/10005413035
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Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange
Hu, Shing-yang - EconWPA - 1997
This paper tries to find a widely accessible measure of liquidity and studies its impact on asset pricing. Using … trading turnover as a measure of liquidity and the 1976-1993 Tokyo Stock Exchange data, I find that, cross-sectionally, stocks …
Persistent link: https://www.econbiz.de/10005413235
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ALTERNATIVE TEMPORAL CROSS-SECTION SPECIFICATIONS OF THE DEMAND FOR DEMAND DEPOSITS
Feige, Edgar L. - EconWPA - 2005
This paper examines a broad set of alternative temporal cross- section specifications of the demand for money as a means of estimating the degree of substitution between demand deposits and other liquid assets. Despite differences in data bases, model specifications and estimation techniques,...
Persistent link: https://www.econbiz.de/10005076813
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Capital Regulation and Credit Risk Taking : Empirical Evidence from Banks in Emerging Market Economies
Godlewski, Christophe - EconWPA - 2004
The primary purpose of this article is to investigate the relationship between bank capital and credit risk taking in emerging market economies. We also investigate the influence of several regulatory, institutional and legal features on the relationship between risk and capital. We apply a...
Persistent link: https://www.econbiz.de/10005076943
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A Self-Consistent Model for the Forward Price Dynamics
Makhankov, Vlad - EconWPA - 2003
We consider mean-reverting stochastic processes and build a self- consistent model for forward price dynamics and their applications in power industries. This model with stochastic volatility of the forward price is built using the ideas and equations of stochastic differential geometry in order...
Persistent link: https://www.econbiz.de/10005124894
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THE NEW GROWTH THEORIES AND THEIR EMPIRICS, Discussion Paper in Economics, University of Glasgow, N. 2005-04 (http://www.gla.ac.uk/Acad/Economics
Capolupo, Rosa - EconWPA - 2005
The aim of this paper is to update the reviews on endogenous growth theories in order to explore whether recent empirical studies are more supportive of their main predictions. Among the core topics studied in the growth econometric framework, namely, convergence, identifications of growth...
Persistent link: https://www.econbiz.de/10005125606
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Human Capital: Infrastructural and Superstructural Constraints to Economic Performance across U.S. Native American Reservations and Trust Lands
Amavilah, Voxi Heinrich S - EconWPA - 2004
The current research emphasis on institutions as key determinants of economic performance, rather than on resources and resource productivity, has uncovered important questions for further research. For example, if institutions are central to economic performance, then what explains observed...
Persistent link: https://www.econbiz.de/10005125631
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Human Capital and Income across U.S. Native American Reservations and Trust Lands
Amavilah, Voxi Heinrich S - EconWPA - 2005
The current research emphasis on institutions as key determinants of economic performance has uncovered important questions for further research. For example, if institutions are central to economic performance, then what explains observed differences in performance across parts of one economy...
Persistent link: https://www.econbiz.de/10005125647