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Non Monotone Liquidity Under-Supply
Ana, Fostel; John, Geanakoplos - Econometric Society - 2004
We show that very little is needed to create liquidity under-supply in equilibrium: only the presence of credit constraints on demand. We show that the under-supply is a non-monotone function of the demand distortion that causes it, a result that may have interesting implications for emerging...
Persistent link: https://www.econbiz.de/10005063557
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General Properties of Rational Stock-Market Fluctuations
Mele, Antonio - Econometric Society - 2004
Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with given sets of predictions on aggregate stock-market fluctuations ? This paper develops theoretical test conditions addressing this and related reverse engineering issues arising within a fairly...
Persistent link: https://www.econbiz.de/10005342258
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Asymmetric Information, Stock Returns and Monetary Policy: A Theoretical and Empirical Analysis
Tas, Bedri Kamil Onur - Econometric Society - 2004
monetary policy actions because monetary policy actions reveal the private information that the Fed has about future inflation …
Persistent link: https://www.econbiz.de/10005130171
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Beta Risk and Regime Shift in Market Volatility
Galagedera, Don U.A.; Shami, Roland G. - Econometric Society - 2004
In this paper, we relate security returns in the thirty securities in the Dow Jones index to regime shifts in the market portfolio (S&P500) volatility. We model market volatility as a multiple-state Markov switching process of order one and estimate non-diversifiable security risk (beta) in the...
Persistent link: https://www.econbiz.de/10005130158
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Imperfect Rationality and Inflationary Inertia: A New Estimation of the Phillips Curve for Brazil
Portugal, Marcelo Savino; Fasolo, Angelo Marsiglia - Econometric Society - 2004
This paper presents some new estimates for the relationship between inflation and unemployment in Brazil based on a new … important factor in explaining the high persistence (inertia) of Brazilian inflation; iii) inflation does have an autonomous … inertial component, without linkage to shocks in individual markets; iv) a non-linear relationship between inflation and …
Persistent link: https://www.econbiz.de/10005699614
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Banks and Capital Inflows
Fontenla, Matias - Econometric Society - 2004
This paper examines the effects that capital inflows have on the financial system in a Diamond-Dybvig environment. Here, an adverse-selection problem arises where short-term capital has the incentive to enter the domestic banking system while long-term capital chooses to stay out. Then,...
Persistent link: https://www.econbiz.de/10005328911
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Can Financial Frictions Help Explain the Performance of the US Fed?
de-Blas-Pérez, Beatriz - Econometric Society - 2004
of output and inflation between the Pre- and the Post-Volcker periods. I use a limited participation model with credit … reporting substantially different interest rate rules before and after 1981:2, but fail to assign more weight to inflation … assign more weight to inflation and less to output stabilization after 1981:2. Money demand processes vary between sub …
Persistent link: https://www.econbiz.de/10005328958
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International linkage of real interest rates: the case of East Asian countries
Kim, Jae H.; Ji, Philip I. - Econometric Society - 2004
This paper examines linkage of real interest rates for a group of selected countries in East Asia. The countries under study include Japan, Korea, Singapore, Malaysia and Thailand. The long run relationship is tested and estimated using the conitegration analysis. We also have conducted the...
Persistent link: https://www.econbiz.de/10005342174
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Do the Stock Markets of South Asia Follow a Random Walk?
Cooray, Arusha - Econometric Society - 2004
This paper examines stock market behaviour in India, Sri Lanka, Pakistan, and Bangladesh employing unit root tests, autocorrelation tests and spectral analysis. Evidence suggests that all markets exhibit a random walk. The multivariate cointegration tests based upon the Johansen Juselius (1988,...
Persistent link: https://www.econbiz.de/10005342181
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Agency costs and asymmetric information in a small open economy: a dynamic general equilibrium model
Kim, Kunhong; Claus, Iris - Econometric Society - 2004
, a government and an inflation targeting monetary authority are introduced. The foreign sector is incorporated following …
Persistent link: https://www.econbiz.de/10005342290