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Random risk aversion and the cost of eliminating the foreign exchange risk of the Euro

Azar, Samih A - In: Economics Bulletin 30 (2010) 1, pp. 157-168

This paper answers the following questions. If the Euro foreign exchange risk is given, what is the cost of eliminating such a risk? How does risk aversion affect this cost? What is the relation between the insurance premium on the Euro and this cost? Is it possible to find out the level of risk...

Persistent link: https://www.econbiz.de/10008546794

Random risk aversion and the cost of eliminating the foreign exchange risk of the Euro

Azar, Samih A - In: Economics Bulletin 30 (2010) 1, pp. 157-168

Persistent link: https://www.econbiz.de/10008562800

Testing for a unit root against ESTAR nonlinearity with a delay parameter greater than one.

Norman, Stephen - In: Economics Bulletin 29 (2009) 3, pp. 2152-2173

In this paper, the tests of Kapetanios, Shin, and Snell (2003) and Bec, Ben Salem, and Carrasco (2004), which are designed to detect nonstationarity verses globally stationary exponential smooth transition autoregressive (ESTAR) nonlinearity, are extended to allow for a delay parameter, d, that...

Persistent link: https://www.econbiz.de/10008563244

Heteroskedastic Dynamic Factor Models: A Monte Carlo Study

Suren, Gijsbert; Moura, Guilherme - In: Economics Bulletin 32 (2012) 4, pp. 2884-2898

We propose to estimate heteroskedastic dynamic factor models using the Kalman filter, where the state vector is augmented with the heteroskedastic disturbances. Although this model is not conditionally Gaussian, Monte Carlo results show that parameters can be accurately estimated.

Persistent link: https://www.econbiz.de/10011278767

Computationally efficient approximation for the double bootstrap mean bias correction

Ouysse, Rachida - In: Economics Bulletin 31 (2011) 3, pp. 2388-2403

We propose a computationally efficient approximation for the double bootstrap bias adjustment factor without using the inner bootstrap loop. The approximation converges in probability to the population bias correction factor. We study the finite sample properties of the approximation in the...

Persistent link: https://www.econbiz.de/10009274533

An City-Level Analysis of Mortality and the Business Cycle across Racial and Ethnic Groups

Gonzalez, Fidel; Quast, Troy; Fontenla, Matias - In: Economics Bulletin 32 (2012) 3, pp. 2511-2521

This paper employs U.S. metropolitan data to investigate the relationship between mortality rate and the business cycle …. We utilize mortality and employment data that are specific to a given city, year and race/ethnic group. The analysis … relationship to vary according to the level of economic activity in that metropolitan area. We find that while overall mortality is …

Persistent link: https://www.econbiz.de/10011278508

A Proof for ‘Who is a J’ Impossibility Theorem

Saporiti, Alejandro - 2017

In the analysis of group identification, Kasher and Rubinstein (1997), Logique Analyse 160, 385-395, have shown that any method to aggregate the opinions of a group of agents about the individuals in the group that posses a specific attribute, such as race, nationality, profession, etc., must be...

Persistent link: https://www.econbiz.de/10012950733

Stochastic Dominance, Poverty and the Treatment Effect Curve

Verme, Paolo - 2010

, FGT poverty measures and stochastic dominance theory. A Treatment Effect Curve (TEC) is derived and its use illustrated …

Persistent link: https://www.econbiz.de/10013148313

Some Implications of a Quartic Loss Function

Aretz, Kevin - 2008

Motivated by a central banker with a symmetric inflation zone target, we assume in this letter that the loss function of a policy maker can be approximated by the quartic form. For non-normal distributions, we show that such a loss function implies a systematic inflation bias even when the bank...

Persistent link: https://www.econbiz.de/10012726832

On the power of modified Kapetanios-Snell-Shin (KSS) tests

Su, Jen-je; Wai-kong (adrian) Cheung; Astrophel (kim) Choo - In: Economics Bulletin 30 (2010) 3, pp. 2028-2036

This paper investigates if the recursive detrending method that works well for linear unit root tests also provides good outcomes for nonlinear unit root tests. It is found that the method improves the power of the nonlinear test when only a non-trending mean needs to be removed. The test,...

Persistent link: https://www.econbiz.de/10008500617