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Risks and global supply chains : What we know and what we need to know

Baldwin, Richard E.; Freeman, Rebecca - National Bureau of Economic Research - 2021

Recent supply disruptions catapulted the issue of risk in global supply chains (GSCs) to the top of policy agendas and created the impression that shortages would have been less severe if GSCs were either shorter and more domestic, or more diversified. But is this right? We start our answer by...

Persistent link: https://www.econbiz.de/10012660121

Supply Chain Risk : Changes in Supplier Composition and Vertical Integration

Ersahin, Nuri; Giannetti, Mariassunta; Huang, Ruidi - National Bureau of Economic Research - 2023

Using textual analysis of earnings conference calls, we quantify firms' supply chain risk and its sources. Our proxy for supply chain risk exhibits large cross-sectional and time-series variation that aligns with reasonable priors and is unprecedently high during the Covid-19 pandemic. In...

Persistent link: https://www.econbiz.de/10014250152

Supply Chain Resilience : Evidence from Indian Firms

Khanna, Gaurav; Morales, Nicolas; Pandalai-Nayar, Nitya - National Bureau of Economic Research - 2022

We characterize what features make supply chains more resilient. Using new data on the universe of firm-to-firm transactions from an Indian state, we identify firms with larger supplier risk following the Covid-19 lockdowns. Using an event-study design we find firms with suppliers in...

Persistent link: https://www.econbiz.de/10013462737

Derivatives Markets for Home Prices

Shiller, Robert J. - 2008

beginnings of real estate derivative markets is the advance in home price index construction methods, notably the repeat sales …

Persistent link: https://www.econbiz.de/10012464687

Derivatives Usage in Risk Management by US and German Non-Financial Firms : A Comparative Survey

Bodnar, Gordon M. - 1998

This paper is a comparative study of the responses to the 1995 Wharton School survey of derivative usage among US non … derivative usage is most common, followed closely by interest rate derivatives, with commodity derivatives a distant third. In … choice of instruments, and the influence of their market view when taking derivative positions. These differences appear to …

Persistent link: https://www.econbiz.de/10012472108

A Note on the Derivation of Linear Homogeneous Asset Demand Functions

Friedman, Benjamin M. - 1979

Among the numerous familiar sets of specific assumptions sufficient to derive mean-variance portfolio behavior from more general expected utility maximization in continuous time, the assumptions of constant relative risk aversion and joint normally distributed asset return assessments are also...

Persistent link: https://www.econbiz.de/10012478803

Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs

Constantinides, George M. - 2002

By applying stochastic dominance arguments, upper bounds on the reservation write price of European calls and puts and lower bounds on the reservation purchase price of these derivatives are derived in the presence of proportional transaction costs incurred in trading the underlying security....

Persistent link: https://www.econbiz.de/10012469848

Model Uncertainty and Liquidity

Routledge, Bryan R. - 2001

particularly acute for markets where traders rely heavily on a specific empirical model such as in derivative markets. Asset … intermediary makes a market for a propriety derivative security. The market-maker chooses bid and ask prices for the derivative …

Persistent link: https://www.econbiz.de/10012470032

Valuation of Variance Forecast with Simulated Option Markets

Engle, Robert F. - 1990

An appropriate metric for the success of an algorithm to forecast the variance of the rate of return on a capital asset could be the incremental profit from substituting it for the next best alternative. We propose a framework to assess incremental profits for competing algorithms to forecast...

Persistent link: https://www.econbiz.de/10012475683

Nonparametric Risk Management and Implied Risk Aversion

Ait-Sahalia, Yacine - 2000

Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical distributions of market prices. Such quantities do not account for the fact that the same dollar loss can have two very different economic valuations, depending on business...

Persistent link: https://www.econbiz.de/10012471198

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