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A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices
Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016
This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which … vary according to whether they are in low or high volatility regimes. …
Persistent link: https://www.econbiz.de/10011479769
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Option prices and model-free measurement of implied herd behavior in stock markets
Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - This version: December 20, 2014
In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...
Persistent link: https://www.econbiz.de/10010464790
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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10011940034
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Intraday price discovery in fragmented markets
Ozturk, Sait; Wel, Michel van der; Dijk, Dick van - 2014
) does not lead the entire day. Spreads, the number of trades and volatility can explain almost half of the intraday …
Persistent link: https://www.econbiz.de/10010250525
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Analyzing a flat income tax in the Netherlands
Jacobs, Bas; Mooij, Ruud A. de; Folmer, Cees - 2007
A flat tax rate on income has gained popularity in European countries. This paper assesses the attractiveness of such a flat tax in achieving redistributive objectives with the least cost to labour market performance. We do so by using a detailed applied general equilibrium model for the...
Persistent link: https://www.econbiz.de/10011372518
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Victims of progress : economic integration, specialization, and wages for unskilled labor
Francois, Joseph F.; Nelson, Douglas R. - 2000
In this paper we demonstrate that intra-industry trade (or FDI)between identical countries could produce theobserved deterioration in the relative wages of unskilled workers.This involves a model of North-Northintegration through either increased trade flows or increased MNE-based production....
Persistent link: https://www.econbiz.de/10011303867
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Assessing the impact of trade policy on labor markets and production
Francois, Joseph F. - 2004
This paper discusses the measurement of production and employment effects of trade policy, and more broadly the effects of economic integration and globalization. First, it provides a broad-brush overview of the ex-post literature linking trade to performance, such as measures of worker...
Persistent link: https://www.econbiz.de/10011335212
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The kids are alright - labour market effects of unexpected parental hospitalisations in the Netherlands
Rellstab, Sara; Bakx, Pieter; Garcia-Gomez, Pilar; Van … - 2018
Unexpected negative health shocks of a parent may reduce adult children's labour supply via informal caregiving and stress-induced mental health problems. We link administrative data on labour market outcomes, hospitalisations and family relations for the full Dutch working age population for...
Persistent link: https://www.econbiz.de/10011848137
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Labour market effects of international fragmentation of production : evidence from a survey and case studies in the Dutch industries
Berghuis, Ebel; Butter, Frank A. G. den - 2013
Persistent link: https://www.econbiz.de/10010191259
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Does offshoring shape labor market imperfections? : a comparative analysis of Belgian and Dutch firms
Dobbelaere, Sabien; Fuss, Catherine; Vancauteren, Mark - 2023
We study the relationship between offshoring and the prevalence and intensity of labor market imperfections at the firm level in Belgium and the Netherlands. Wagemarkup pricing stemming from workers' monopoly power is more prevalent than wagemarkdown pricing originating from firms' monopsony...
Persistent link: https://www.econbiz.de/10014233431