Showing 1 - 10 of 61
Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH)....
Persistent link: https://www.econbiz.de/10005825859
The World Economic Outlook (WEO) is a key source of forecasts of global economic conditions. It is therefore important to review the performance of these forecasts against both actual outcomes and alternative forecasts. This paper conducts a series of statistical tests to evaluate the quality of...
Persistent link: https://www.econbiz.de/10005769333
Recent changes to China's financial system, in particular ongoing interest rate liberalization, gradual movement toward a more flexible exchange rate regime, and rapid development of capital markets, have changed substantially the environment in which monetary policy operates. In light of these...
Persistent link: https://www.econbiz.de/10008528622
We present a framework to derive the probability of default implied by the price of equity options. The framework does not require any strong statistical assumption, and provide results that are informative on the expected developments of balance sheet variables, such as assets, equity and...
Persistent link: https://www.econbiz.de/10005599478
Bahrain's financial sector development strategy succeeded in building a leading regional banking center, which has become one of the main engines of growth and sources of employment. Although the simulations conducted in the paper suggest that the banking sector in Bahrain continues to occupy a...
Persistent link: https://www.econbiz.de/10005599768
This paper analyzes the stochastic inventory control problem when the demand distribution is not known. In contrast to previous Bayesian inventory models, this paper adopts a non-parametric Bayesian approach in which the firm’s prior information is characterized by a Dirichlet process prior....
Persistent link: https://www.econbiz.de/10005604861
How much convergence has been achieved between Central and Eastern European (CEE) economies and the eurozone? We explore this question by comparing long-run volatility trends in CEE currencies and the euro. We find that these trends are closely correlated, pointing to convergence in the economic...
Persistent link: https://www.econbiz.de/10005605079
This Poverty Reduction Strategy Paper for the Kingdom of Lesotho presents a determined plan in pursuance of high and sustainable equity-based economic growth. It contains medium-term objectives and strategies to address the major challenges facing the country. These challenges include employment...
Persistent link: https://www.econbiz.de/10011244168
In this study, Greece’s economic program has progress toward its sustainable growth by boosting competitiveness, strengthening financial sector stability, and securing sustainable public finances. The fiscal and broader reforms are to achieve the program’s medium-term objectives....
Persistent link: https://www.econbiz.de/10011244494
This paper discusses the 2006 Article IV Consultation for Moldova and Request for a Three-Year Arrangement Under the Poverty Reduction and Growth Facility. The economic growth of Moldova has continued to be robust, although the drivers of growth—household consumption and...
Persistent link: https://www.econbiz.de/10011244550