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The dynamics of ex-ante risk premia in the foreign exchange market: evidence from the yen/usd exchange rate using survey data
Prat, Georges; Uctum, Remzi - HAL - 2007
Using financial experts' Yen/USD exchange rate expectations provided by Consensus Forecasts surveys, this paper aims to model the 3 and 12-month ahead ex-ante risk premia, measured as the difference between the expected and forward exchange rates. The condition of predictability of returns...
Persistent link: https://www.econbiz.de/10008792964
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Fire Sales Forensics: Measuring Endogenous Risk
Cont, Rama; Wagalath, Lakshithe - HAL - 2012
We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large … our estimation methodology with two empirical examples: the hedge fund losses of August 2007 and the Great Deleveraging …
Persistent link: https://www.econbiz.de/10010548433
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To what extent do exchange rates and their volatility affect trade ?
Huchet-Bourdon, Maryline; Korinek, J. - HAL - 2011
unequivocally clear picture of the trade impacts of changes in exchange rates. The impact of exchange rate volatility on trade also … their volatility on trade flows in China, the Euro area and the United States in two broadly defined sectors, agriculture on … the one hand and manufacturing and mining on the other. It finds that exchange volatility impacts trade flows only …
Persistent link: https://www.econbiz.de/10010899210
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Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance
Fliess, Michel; Join, Cédric - HAL - 2008
New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some … of the volatility with respect to the forecasted trendline, are provided. $\mathcal{Z}$-transform and differential …
Persistent link: https://www.econbiz.de/10008791958
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The persistence of firms' knowledge base: a quantile approach to Italian data
Colombelli, Alessandra; Quatraro, Francesco - HAL - 2014
The paper investigates the patterns of persistence of innovation and of the properties of firms' knowledge base (KB) across a sample of Italian firms in the period 1998-2006. The analysis draws upon a theoretical representation of knowledge as a collective good, stemming from the recombination...
Persistent link: https://www.econbiz.de/10010933797
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Bayesian Unconditional Quantile Regression: An Analysis of Recent Expansions in Wage Structure and Earnings Inequality in the U.S. 1992-2009
Lubrano, Michel; Ndoye, Abdoul Aziz Junior - HAL - 2012
We develop a reliable Bayesian inference for the RIF-regression model of Firpo, Fortin and Lemieux (Econometrica, 2009) in which we first estimate the log wage distribution by a mixture of normal densities. This approach is pursued so as to provide better estimates in the upper tail of the wage...
Persistent link: https://www.econbiz.de/10010933806
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The Informal Sector Wage Gap: New Evidence using Quantile Estimations on Panel Data
Bargain, Olivier; Kwenda, Prudence - HAL - 2013
We estimate the informal-formal sector pay gap throughout the conditional wage distribution using panel data from Brazil, Mexico and South Africa. We control for time-invariant unobservables and identification is stemming from inter-sector movers. We control for observables in a non-linear way...
Persistent link: https://www.econbiz.de/10010933885
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Bias Transmission and Variance Reduction in Two-Stage Quantile Regression
Kim, Tae-Hwan; Muller, Christophe - HAL - 2012
In this paper, we propose a variance reduction method for quantile regressions with endogeneity problems. First, we derive the asymptotic distribution of two-stage quantile estimators based on the fitted-value approach under very general conditions on both error terms and exogenous variables....
Persistent link: https://www.econbiz.de/10010933929
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Competing marital contracts? The marriage after civil union in France
Leturcq, Marion - HAL - 2011
Large changes in marital trends during the second half of the 20th century raise the question of the reason leading to marriage in Western Europe and in Northern America: declining marriage rates, increase in cohabitation, increasing divorce rates. But the reason to get married can be diverse...
Persistent link: https://www.econbiz.de/10009401091
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The employment effects of innovation
Coad, Alex; Rao, Rekha - HAL - 2007
The issue of technological unemployment receives perennial popular attention. Although there are previous empirical investigations that have focused on the relationship between innovation and employment, the originality of our approach lies in our choice of method. We focus on four 2-digit...
Persistent link: https://www.econbiz.de/10010750726