Showing 1 - 10 of 2,081
This paper aims to select the best model or set of models for modelling volatility of the four most popular …
Persistent link: https://www.econbiz.de/10012910938
This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...
Persistent link: https://www.econbiz.de/10013030485
probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …
Persistent link: https://www.econbiz.de/10013315817
We present a new partial equilibrium theory of price adjustment, based on consumer loss aversion. In line with prospect … theory, the consumers’ perceived utility losses from price increases are weighted more heavily than the perceived utility … an otherwise standard dynamic neoclassical model of monopolistic competition. The resulting theory of price adjustment is …
Persistent link: https://www.econbiz.de/10013315600
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U test) tests confirm the presence of price patterns...
Persistent link: https://www.econbiz.de/10012924450
This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013-2017. The findings indicate...
Persistent link: https://www.econbiz.de/10012927184
This paper examines the day of the week effect in the crypto currency market using a variety of statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) as well as a trading simulation approach. Most crypto...
Persistent link: https://www.econbiz.de/10012942016
. Volatility is shown to depend on the speed of convergence of the cyclical component, the expected length of a cycle and on the … volatility. With exogenous sources of fluctuations, a special case of our model, decentralized factor allocation is efficient …-) stabilize the economy. No unambiguous link exists between volatility and welfare …
Persistent link: https://www.econbiz.de/10012779787
This paper tests the ability of popular New Keynesian models, which are traditionally used to study monetary policy and business cycles, to match the data regarding a key channel for monetary transmission: the dynamic interactions between macroeconomic variables and their corresponding...
Persistent link: https://www.econbiz.de/10012979607
/Dollar exchange rate return. In line with theory, the impact of spot market intervention is strikingly similar to that achieved …
Persistent link: https://www.econbiz.de/10012912669