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The fatter the tail, the fatter the climate agreement : simulating the influence of fat tails in climate change damages on the success of international climate negotiations
Dekker, Thijs; Dellink, Rob; Ketterer, Janina - 2013
International climate negotiations take place in a setting where uncertainties regarding the impacts of climate change …
Persistent link: https://www.econbiz.de/10009690831
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Energy contagion analysis : a new perspective with application to a small petroleum economy
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2018
We put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis periods in energy markets, and test for this using standard correlation measures and recently proposed adjusted correlation, co-skewness, and co-volatility contagion tests. Our analysis...
Persistent link: https://www.econbiz.de/10011922053
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The pass-through of exchange rate in the context of the European sovereign debt crisis
Cheikh, Nidhaleddine Ben; Rault, Christophe - 2015
This paper investigates whether exchange rate pass-through (ERPT) into import prices is a nonlinear phenomenon for five heavily indebted Euro area countries, namely the so-called GIIPS group (Greece, Ireland, Italy, Portugal, and Spain). Using logistic smooth transition models, we explore the...
Persistent link: https://www.econbiz.de/10011346864
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Volatility transmission in emerging European foreign exchange markets
Bubák, Vít; Kočenda, Evžen; Zikes, Filip - 2010
This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily...
Persistent link: https://www.econbiz.de/10003969723
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - 2010
making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …
Persistent link: https://www.econbiz.de/10003965868
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On the sensitivity of collective action to uncertainty about climate tipping points
Barrett, Scott; Dannenberg, Astrid - 2014
threshold is uncertain. Theory suggests that behavior should differ dramatically either side of a dividing line for threshold …
Persistent link: https://www.econbiz.de/10010249688
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Bargaining with a residual claimant : an experimental study
Embrey, Matthew; Hyndman, Kyle; Riedl, Arno - 2014
rather than a risk-less pie. Contrary to theory, the comparatively less risk adverse residual claimants benefit the most … the intuition that risk exposure is detrimental, we show that residual claimants are able to extract a risk premium, which … is increasing in risk exposure. In some cases the premium is so high that it is advantageous to bargain over a risky pie …
Persistent link: https://www.econbiz.de/10010438024
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Optimal policy under dollar pricing
Egorov, Konstantin; Mukhin, Dmitry - 2020
Recent empirical evidence shows that most international prices are sticky in dollars. This paper studies the optimal policy implications of this fact in the context of an open economy model, allowing for an arbitrary structure of asset markets, general preferences and technologies, time-or...
Persistent link: https://www.econbiz.de/10012213072
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Reciprocity, world prices and welfare
Raimondos-Møller, Pascalis; Woodland, Alan D. - 2011
We examine in detail the circumstances under which reciprocity, as defined in Bagwell and Staiger (1999), leads to fixed world prices. We show that a change of tariffs satisfying reciprocity does not necessarily imply constant world prices in a world of many goods and countries. While it is...
Persistent link: https://www.econbiz.de/10009312187
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Price equalization does not imply free trade
Mutreja, Piyusha; Ravikumar, B.; Riezman, Raymond Glenn; … - 2013
In this paper we show that price equalization alone is not sufficient to determine the barriers to international trade. There are many barrier combinations that deliver price equalization, but each combination implies a different volume of trade. We demonstrate this first theoretically in a...
Persistent link: https://www.econbiz.de/10009700288