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The Intertemporal Relationship between Money and Prices: Evidence for Argentina

Gabrielli, Florencia; McCandless, George - Econometric Society - 2004

In this paper, we study the statistical relationship between money and prices in Argentina during the last quarter of … then apply a filter similar to that of Lucas (1980) and find that correlations between changes in money and prices are … period, the correlation is somewhat less and the relationship implies much smaller changes in prices for a given change in …

Persistent link: https://www.econbiz.de/10005328862

Derivation of Nutrient Prices from Household level Food Expenditure Data: Methodology and Applications

Ray, Ranjan; Majumder, Amita; Coondoo, Dipankor; … - Econometric Society - 2004

consumed in individual countries pose a major problem. Comparison of the level of prices of food items in two countries will be … intake of major nutrients and some measure of the corresponding nutrient prices is available, a comparison of the level of … nutrient prices is possible. At the household level, given the prices of food items actually paid and the corresponding levels …

Persistent link: https://www.econbiz.de/10005342148

Pricing Psychology: Evidence from a Randomized Field Experiment in a Consumer Credit Market

Bertrand, Marianne; Karlan, Dean - Econometric Society - 2004

responded strongly to both prices and frames. …

Persistent link: https://www.econbiz.de/10005702606

Asymmetric Power Distribution: Theory and Applications to Risk Measurement

Komunjer, Ivana - Econometric Society - 2004

Theoretical literature in finance has shown that quantifying the risk of financial time series amounts to measuring their expected shortfall, also known as tail Value at Risk. Unfortunately, little empirical work has been devoted to the problem of modeling and inference of such risk measures...

Persistent link: https://www.econbiz.de/10005328924

Evaluating Incentive Options

Xiong, Wei; Sircar, Ronnie - Econometric Society - 2004

We provide an analytical and flexible framework to evaluate incentive options. Our model not only considers vesting periods and trading and hedging restrictions on the holders, but also specifically includes provisions of reloading and resetting to capture the fact that firms tend to grant more...

Persistent link: https://www.econbiz.de/10005329033

Time Series Behaviour of Stock Trading Volume:An Evidence from Indian Stock Market

Kumar, Alok - Econometric Society - 2004

. Return on stock prices and trading volume are the two prime indicators of trading activity in a stock market. These factors …). Yet the finance literature has centered more on prices and much less on quantities. In recent years the potential presence …

Persistent link: https://www.econbiz.de/10005342341

Risk Sharing through Financial Markets with Endogenous Enforcement of Trades

Koeppl, Thorsten V. - Econometric Society - 2004

When people share risk in financial markets, intermediaries provide costly enforcement for most trades and, hence, are an integral part of financial markets' organization. We assess the degree of risk sharing that can be achieved through financial markets when enforcement is based on the threat...

Persistent link: https://www.econbiz.de/10005129807

Asymmetry, Loss Aversion and Forecasting

Satchell, Stephen E.; Bond, Shaun A. - Econometric Society - 2004

Conditional volatility models, such as GARCH, have been used extensively in financial applications to capture predictable variation in the second moment of asset returns. However, with recent theoretical literature emphasising the loss averse nature of agents, this paper considers models which...

Persistent link: https://www.econbiz.de/10005130163

Financial intermediaries, markets, and growth

Fecht, Falko; Huang, Kevin - Econometric Society - 2004

This paper contributes to the literature comparing the relative performance of financial intermediaries and markets by studying an environment in which a trade-off between risk sharing and growth arises endogenously. Financial intermediaries provide insurance to households against a liquidity...

Persistent link: https://www.econbiz.de/10005130194

Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model

Milunovich, George - Econometric Society - 2004

A new model is developed that augments a structural VAR specification with a GARCH covariance matrix. The model is utilised to study time series dependencies between three size-sorted portfolios from the Australian Stock Exchange. Even after accounting for contemporaneous correlations the...

Persistent link: https://www.econbiz.de/10005063659

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