Showing 1 - 10 of 131
This paper presents evidence on the impact of managers on cost efficiency in banking. Stochastic frontier analysis is …. University education enhances efficiency if the manager is running a large bank. Managing director changes are systematically … followed by efficiency changes. Manager retirement typically causes an efficiency improvement, whereas other manager changes …
Persistent link: https://www.econbiz.de/10005190734
dominant ‘big four’ state-owned banks. This paper seeks to help predict the effects of this change by analysing the efficiency … efficiency. We present corroborating robustness checks and offer several credible mechanisms through which minority foreign … owners can increase Chinese bank efficiency. These findings suggest that minority foreign ownership of the big four is likely …
Persistent link: https://www.econbiz.de/10005419687
Recent cross-country comparisons of bank efficiency have been based on pooled estimates of banks across countries and … efficiency of banks in each country that operate both within and outside their own environments. The results indicate that … technical efficiency is a significant deterrence to foreign competition. …
Persistent link: https://www.econbiz.de/10005423697
In this paper we use a New Keynesian model to explain why volatility transfer from high frequency to low frequency cycles can and did occur during the period commonly referred to as the "great moderation". The model suggests that an increase in inflation aversion and/or a reduction to a...
Persistent link: https://www.econbiz.de/10010945112
In his celebrated 1966 Econometrica article, Granger first hypothesized that there is a ‘typical’ spectral shape for an economic variable. This ‘typical’ shape implies decreasing levels of energy as frequency increases, which in turn implies an extremely long cycle in economic...
Persistent link: https://www.econbiz.de/10008626082
The aim of this paper is to illustrate how the stability of a stochastic dynamic system is measured using the Lyapunov exponents. Specifically, we use a feedforward neural network to estimate these exponents as well as asymptotic results for this estimator to test for unstable (chaotic)...
Persistent link: https://www.econbiz.de/10005190763
This paper studies the extent to which market crashes are predictable for a set of six countries, focusing in particular on possible differences between transition economies (The Czech Republic, Hungary and Poland) and mature markets (UK, US and EU). We estimate a set of individual country and...
Persistent link: https://www.econbiz.de/10005423692
This study investigates the impact of new information on the volatility of exchange rates. The impact of scheduled US and European macroeconomic news on the volatility of USD/EUR 5-minute returns was tested by using the Flexible Fourier Form method. The results were consistent with earlier...
Persistent link: https://www.econbiz.de/10005648850
This paper investigates the dependence of average stock market volatility on the timescale or on the time interval used to measure price changes, which dependence is often referred to as the scaling law. Scaling factor, on the other hand, refers to the elasticity of the volatility measure with...
Persistent link: https://www.econbiz.de/10005648897
No consensus has emerged on how to deal with overnight returns when calculating realized volatility in markets where trading does not take place 24 hours a day. This paper explores several common volatility applications, investigating how the chosen treatment of overnight returns affects the...
Persistent link: https://www.econbiz.de/10008774236