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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

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

Testing Weak Exogeneity in Cointegrated System

Chiying, Hsiao; Pu, Chen - Econometric Society - 2004

This paper develops a limiting theory for Wald tests of weak exogeneity in error correction models (ECMs). It is well known that Wald statistics on cointegrated systems may involve nonstandard distribution and nuisance parameters, if $I(1)$ variables are not negligible in the statistics. To...

Persistent link: https://www.econbiz.de/10005086413

The US Phillips Curve and inflation expectations: A State Space Markov-Switching explanatory model

Million, Nicolas; Guerrero, Guillaume - Econometric Society - 2004

This paper proposes a new empirical representation of US inflation expectations in a Stace-Space Markov-Switching framework in order to identify the expectations regimes which are associated with short and long term Phillips curves. Results suggest that the dynamics of inÂ‡ation expectation...

Persistent link: https://www.econbiz.de/10005086423

Business Cycles and Macroeconomic Policy Coordination in Mercosur

Gonzalez-Rozada, Martin; Fanelli, Jose Maria - Econometric Society - 2004

Abstract: The paper analyzes cyclical comovements in the Mercosur area differentiating idiosyncratic from common shocks. In the Mercosur (or any region for that matter) shocks can be country-specific, affecting only one country or a specific set of countries (for example, a weather-related...

Persistent link: https://www.econbiz.de/10005063563

Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature

Lund, Jesper; Andersen, Torben G.; Benzoni, Luca - Econometric Society - 2004

We introduce continuous-time models that capture the salient features of the short-term interest rate and remain tractable for asset pricing applications. We extend classical specifications within and outside of the affine class to multi-factor settings with latent variables that are readily...

Persistent link: https://www.econbiz.de/10005063579

Statistical Models for High Frequency Security Prices

Oomen, Roel C.A. - Econometric Society - 2004

This article studies two extensions of the compound Poisson process with iid Gaussian innovations which are able to characterize important features of high frequency security prices. The first model explicitly accounts for the presence of the bid/ask spread encountered in price-driven markets....

Persistent link: https://www.econbiz.de/10005063597

Conditional Inference in Cointegrating Vector Autoregressive Models

Mavroeidis, Sophocles; Garderen, Kees Jan van - Econometric Society - 2004

A Vector Autoregressive model (VAR) with normally distributed innovations is a Curved Exponential Model (CEM). Cointegration imposes further curvature on the model and this means that in addition to the important reasons for conditioning in non-stationary time series as given by Johansen (1995,...

Persistent link: https://www.econbiz.de/10005063620

Models of foreign exchange intervention: Estimation and testing

Brown, Bryan W.; Hodgson, Douglas J. - Econometric Society - 2004

We propose a general non-linear simultaneous equations framework for the econometric analysis of models of intervention in foreign exchange markets by central banks in response to deviations of exchange rates from possibly time-varying target levels. We consider efficient estimation of possibly...

Persistent link: https://www.econbiz.de/10005063625

Robustness of a semiparametric estimator of a copula

Silvapulle, Param; Kim, Gunky; Silvapulle, Mervyn J. - Econometric Society - 2004

Copulas offer a convenient way of modelling multivariate observations and capturing the intrinsic dependence between the components of a multivariate random variable. A semiparametric method for estimating the dependence parameters of copulas was proposed by Genest, Ghoudi and Rivest (1995), in...

Persistent link: https://www.econbiz.de/10005063630

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