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Expiration Day Effect in Korean Stock Market: Wag the Dog?

Park, Chang-Gyun; Lim, Kyung-Mook - Econometric Society - 2004

Despite the great success of the derivatives market, several concerns were expressed regarding the additional … volatility stemming from program trading during the expiration of derivatives. This paper examines the impact of the expiration … of the KOSPI 200 index derivatives on cash market of Korea Stock Exchange (KSE). The KOSPI 200 index derivatives market …

Persistent link: https://www.econbiz.de/10005702728

Long Memory in Import and Export Price Inflation and Persistence of Shocks to the Terms of Trade

TAN, G. K. Randolph - Econometric Society - 2004

, estimates of the impulse responses are computed which take into account possible fractional integration. The dynamic behavior in …

Persistent link: https://www.econbiz.de/10005702737

International Business Cycles: Evidence from Capital Coefficient Based Measures of Capacity Utilisation

Graff, Michael - Econometric Society - 2004

The paper refers to capacity utilisation, applying a short-cut that is sometimes used in business cycle research to yearly GDP and investment data from 1960 to the present for 22 countries. The basic idea is that the empirical short-run fluctuations of the capital output ratio v are mainly due...

Persistent link: https://www.econbiz.de/10005342165

Trading Blocs and Foreign Direct Investment: Endogenous Coalition Structure

Im, Hyejoon - Econometric Society - 2004

I examine the relationship between trading blocs and Foreign Direct Investment (FDI). Firms in the model serve foreign markets either by exporting or by setting up plants abroad, which is FDI. I find that countries forming a bloc could attract FDI from non-member countries. However, I show by...

Persistent link: https://www.econbiz.de/10005063769

Technology Differences and Capital Flows

Claro, Sebastian - Econometric Society - 2004

technology-backward or low-return-to-capital country will face capital inflows or outflows after financial integration depending …

Persistent link: https://www.econbiz.de/10005699622

The GATT and Gradualism

Zissimos, Ben; Lockwood, Ben - Econometric Society - 2004

This paper shows how the institutional rules imposed on its signatories by the GATT created a strategic incentive for countries to liberalize gradually. Free trade can never be achieved if punishment for deviation from a trade agreement is limited to a 'withdrawal of equivalent concessions.'...

Persistent link: https://www.econbiz.de/10005702631

On the hidden links between financing costs and international trade patterns

Jinjarak, Yothin - Econometric Society - 2004

This paper investigates whether there is a link between financing costs and international trade patterns, and if so, whether this link is determined by the strength of trade and financial ties between trading partners. The potential importance of these considerations stems from the fact that...

Persistent link: https://www.econbiz.de/10005702744

A Note on Free Trade Agreement and Wage Bargaining Structure

Riyanto, Yohanes E.; Hur, Jung - Econometric Society - 2004

Mezzeti and Dinopoulos (1991) show that a free trade agreement (trade liberalization) decreases wage rate. However, Naylor (1998) shows that trade liberalization increases wage rate. Both papers consider tariff as exogenously given. In this paper we show that these conflicting results can be...

Persistent link: https://www.econbiz.de/10005702769

The Equity Premium and the Baby Boom

Brooks, Robin - Econometric Society - 2004

This paper explores the quantitative impact of the Baby Boom on stock and bond returns. It constructs a neoclassical growth model with overlapping generations, in which agents make a portfolio decision over risky capital and safe bonds in zero net supply. The model has exogenous technology and...

Persistent link: https://www.econbiz.de/10005328938

Market Price of Risk Specifications for Affine Models: Theory and Evidence

Cheridito, Patrick; Filipovic, Damir - Econometric Society - 2004

We extend the standard specification of the market price of risk for affine yield models of the term structure of interest rates, and estimate several models using the extended specification. For most models, the extended specification fits US data better than standard specifications, often with...

Persistent link: https://www.econbiz.de/10005328948