Similar Search Results

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

Market Discipline under Systemic Risk: Evidence from Bank Runs in Emerging Economies

Schmukler, Sergio L.; Levy-Yeyati, Eduardo; Peria, … - Econometric Society - 2004

This paper shows that systemic risk exerts a significant impact on the behavior of depositors, sometimes overshadowing their responses to standard bank fundamentals. Systemic risk can affect market discipline both regardless of and through bank fundamentals. First, worsening systemic conditions...

Persistent link: https://www.econbiz.de/10005328877

Sources and Propagation Mechanims of Foreign Disturbances in Small Open Economies: A Dynamic Factor Analysis

Justiniano, Alejandro - Econometric Society - 2004

This paper uses dynamic factor analysis to investigate the sources of foreign shocks and the propagation mechanism of these disturbances into two small open economies, Australia and Canada. Panels including a variety of foreign and domestic series for each country are used to estimate the...

Persistent link: https://www.econbiz.de/10005328892

BUSINESS CYCLE IN THE INDUSTRIAL PRODUCTION OF BRAZILIAN STATES

Portugal, Marcelo Savino; Morais, Igor Alexandre Clemente de - Econometric Society - 2004

The present paper applies the Markov switching model with the aim of checking two industrial production features of six major Brazilian states. Firstly, we try to determine the date of business cycles and, soon afterwards, we verify the existence or not of an unobservable component that is...

Persistent link: https://www.econbiz.de/10005328920

How Does the Monetary Model of Exchange Rate Determination Look When It Really Works?

Garces-Diaz, Daniel - Econometric Society - 2004

This paper shows that the Mexican experience from 1945 to 2002 is, like the German hyperinflation period, a unique monetary ``natural experiment,'' where fundamental relationships, like money demand, PPP and the monetary model of exchange rate determination can be analyzed with unparalleled...

Persistent link: https://www.econbiz.de/10005328935

On the inadmissibility of classical tests in unit-root-type situations

Ploberger, Werner - Econometric Society - 2004

In this paper it is shown that "classical" tests can become asymptotically inadmissible (i.e. we show that there exist uniformly better tests) if the information matrix becomes stochastic: A typical example is the augmented Dickey-Fuller test for unit roots (in case of no deterministic trend. We...

Persistent link: https://www.econbiz.de/10005328960

Asymptotic Distribution of the Cointegrating Vector Estimator in Error Correction Models with Conditional Heteroskedasticity

Seo, Byeongseon - Econometric Society - 2004

The notion of cointegration was developed by Engle and Granger (1987), and since then has been considered important in the recent development of time series econometrics. Many statistical methods have been developed for the analysis of the cointegrated systems, and several methods of estimating...

Persistent link: https://www.econbiz.de/10005328963

BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS

Bauwens, Luc; Rombouts, Jeroen - Econometric Society - 2004

We consider the estimation of a large number of GARCH models, say of the order of several hundreds. Especially in the multivariate case, the number of parameters is extremely large. To reduce this number and render estimation feasible, we regroup the series in a small number of clusters. Within...

Persistent link: https://www.econbiz.de/10005328977

Testing Asset Pricing Model with Coskweness

Urga, Giovanni; Adesi, Giovanni Barone; Gagliardini, Patrick - Econometric Society - 2004

In this paper we investigate portfolio coskewness using a quadratic market model as return generating process. It is shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model including coskewness is tested through the restrictions it...

Persistent link: https://www.econbiz.de/10005328981

Small sample confidence intervals for multivariate impulse response functions at long horizons

Rossi, Barbara; Pesavento, Elena - Econometric Society - 2004

Existing methods for constructing confidence bands for multivariate impulse response functions depend on auxiliary assumptions on the order of integration of the variables. Thus, they may have poor coverage at long lead times when variables are highly persistent. Solutions that have been...

Persistent link: https://www.econbiz.de/10005329012

1
2
3
4
5
6
7
8
Next
Last