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The Impact of US Subsidies on the World Cotton Market: A Reassessment

Shepherd, Ben - EconWPA - 2005

Following a critical review of the existing quantitative literature on cotton subsidies, a vector autoregression (VAR) is used to model the effects of US subsidies on the world cotton market from 1965 to 2001. Surprisingly, subsidies are found to have only a limited impact on prices despite...

Persistent link: https://www.econbiz.de/10005119310

Generalized Moments Estimation for Spatial Panel Data: Indonesian Rice Farming

Druska, Viliam; Horrace, William C. - EconWPA - 2002

We consider estimation of a panel data model where disturbances are spatially correlated in the cross-sectional dimension, based on geographic or economic proximity. When the time dimension of the data is large, spatial correlation parameters may be consistently estimated. When the time...

Persistent link: https://www.econbiz.de/10005062574

Specification Searches in Spatial Econometrics: The Relevance of Hendry's Methodology

Florax, Raymond J.G.M.; Folmer, Hendrik; Rey, Sergio J. - EconWPA - 2002

This paper brings together a number of new specification search strategies in spatial econometric modeling. In the literature, experimental results for several forward stepwise strategies aimed at remedying spatial dependence, have been reported. Essentially, these strategies boil down to the...

Persistent link: https://www.econbiz.de/10005119054

Robust Wald Tests in SUR Systems with Adding Up Restrictions: An Algebraic Approach to Proofs of Invariance

Ray, Surajit; Ravikumar, B.; Savin, N. Eugene - EconWPA - 1998

explanatory variables are present in all equations and where heteroskedasticity and/or autocorrelation of unknown forms may be … autocorrelation consistent covariance matrix estimator, is invariant to the equation deleted. Our proof of invariance is algebraic and …

Persistent link: https://www.econbiz.de/10005119082

Introducing a scale of market shocks

Zumbach, Gilles O.; Dacorogna, Michel M.; Olsen, Jorgen L. - EconWPA - 2004

importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset …

Persistent link: https://www.econbiz.de/10005076995

Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach

SULEIMANN, Ryan - EconWPA - 2003

ﬁnancial instruments in the portfolio and on the volatility of those returns.This task is relatively simple if the correlations … and volatilities do not change over time.But in reality both volatility and stock market indexes’ correlations do change …

Persistent link: https://www.econbiz.de/10005124892

A Self-Consistent Model for the Forward Price Dynamics

Makhankov, Vlad - EconWPA - 2003

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 to close the system of equations for the forward price and its volatility …. Stationary distributions for the forward price volatility are found analytically as well as the forward price curves in the one …

Persistent link: https://www.econbiz.de/10005124894

Financial contagion, interest rates and the role of the exchange rate as shock absorber in Central and Eastern Europe

Habib, Maurizio Michael - EconWPA - 2002

affected by ‘vo- latility contagion’ coming from emerging markets. I find also some partial support for the ‘volatility …

Persistent link: https://www.econbiz.de/10005125528

Volatility, Heterogeneous Agents and Chaos

Gomes, Orlando - EconWPA - 2004

exemplifies how heterogeneity concerning the volatility of two stochastic processes may lead to chaotic motion; the second is a …

Persistent link: https://www.econbiz.de/10005125624

What determines macroeconomic volatility? A cross-section and panel data study

Spiliopoulos, Leonidas - EconWPA - 2005

This paper examines the determinants of the volatility in growth rates, seeking to expand on a very limited literature … which has focused almost exclusively on financial determinants of volatility. An analysis of 41 variables and their effects … on growth volatility yields some surprising results: the relationship between financial sophistication and volatility is …

Persistent link: https://www.econbiz.de/10005126343