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Bircan, Cagatay; Brück, Tilman; Vothknecht, Marc - 2010

focused on the other direction. We use cross-country panel data for the time period 1960-2005 to estimate war-related changes … in income inequality. Our results indicate rising levels of inequality during war and especially in the early period of … post-war reconstruction. However, we find that this rise in income inequality is not permanent. While inequality peaks …

Persistent link: https://www.econbiz.de/10010271373

Conflict experiences and household expectations on recovery: Survey evidence from northern Uganda

Bozzoli, Carlos; Brück, Tilman; Muhumuza, Tony - 2010

We analyse the role of mass violent conflict in influencing individual expectations. We hypothesise that individuals are likely to report negative expectations if they were exposed to conflict events in the past. We combine individual and household level data from the Northern Uganda Livelihood...

Persistent link: https://www.econbiz.de/10010285753

The Welfare Effects of Farm Household Activity Choices in Post-War Mozambique

Brück, Tilman - 2004

This paper analyses the effects of activity choices on farm household income and consumption in a war … with instrumental variables. War-time activity choices (such as subsistence farming) are shown to enhance welfare in the … post-war period. Market and social exchange induce only limited welfare gains. Cotton adoption reduces household welfare …

Persistent link: https://www.econbiz.de/10010260686

How many bucks in a bang: on the estimation of the economic costs of conflict

de Groot, Olaf J.; Brück, Tilman; Bozzoli, Carlos - 2009

give a thorough overview of the existing literature, first by addressing the history of case studies that address conflict …

Persistent link: https://www.econbiz.de/10010291777

Explaining the Bond-CDS Basis: The role of credit risk and liquidity

Bühler, Wolfgang; Trapp, Monika - 2009

We explore the relationship between CDS premia and bond asset swap spreads on the same reference entity. As Duffie (1999) shows, there is a clear theoretical link between CDS premia and bond prices if the two quantities are viewed as a pure measure of credit risk. However, many studies provide...

Persistent link: https://www.econbiz.de/10010302543

Tell-tale tails: A data driven approach to estimate unique market information shares

Grammig, Joachim G.; Peter, Franziska J. - 2010

The trading of securities on multiple markets raises the question of each market's share in the discovery of the informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely determine these contributions. Thereby we resolve the...

Persistent link: https://www.econbiz.de/10010302551

Risk and return in convertible arbitrage: Evidence from the convertible bond market

Agarwal, Vikas; Fung, William H.; Loon, Yee Cheng; … - 2010

In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy-and-hedge strategy involving taking a long position in...

Persistent link: https://www.econbiz.de/10010303833

Global imbalances and the current account adjustment process: An empirical analysis

Tippkötter, Marius - 2010

This paper investigates the impact of the exchange rate regime on the current account adjustment process. In a first step, the present analysis assesses previous empirical work supporting the predominant view that more flexible exchange rate regimes facilitate current account adjustments. Using...

Persistent link: https://www.econbiz.de/10010271366

Long memory and fractional integration in high frequency financial time series

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...

Persistent link: https://www.econbiz.de/10010271372

Time-varying spot and futures oil price dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...

Persistent link: https://www.econbiz.de/10010271375