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Does Competition Eliminate Discrimination? Evidence from the Commercial Sex Market in Singapore
Li, Huailu - 2015
The street sex worker market in Geylang, Singapore is highly competitive. Clients can search legally at negligible cost …
Persistent link: https://www.econbiz.de/10012457755
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Analysis of the Monetary Transmission Mechanism : Methodological Issues
McCallum, Bennett T. - 1999
This paper argues that, in studying the monetary policy transmission process, more emphasis should be given to the systematic portion of policy behavior and correspondingly less to random shocks basically because shocks account for a very small fraction of policy-instrument variability. Analysis...
Persistent link: https://www.econbiz.de/10012471390
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Does Anticipated Aggregate Demand Policy Matter? Further Econometric results
Mishkin, Frederic S. - 1981
A heated debate has arisen over what Modigliani has dubbed the Macro Rational Expections (MRE) hypothesis. This hypothesis embodies two component hypotheses: 1) rational expectations and 2) short-run neutrality -- i.e., that anticipated changes in aggregate demand will have already been taken...
Persistent link: https://www.econbiz.de/10012478324
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Econometric Models of Limit-Order Executions
Lo, Andrew W. - 1997
This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is...
Persistent link: https://www.econbiz.de/10012472554
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …
Persistent link: https://www.econbiz.de/10012480268
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Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors
Sangvinatsos, Antonios - 2003
changes in term premia generates large hedging demands for long-term bonds …
Persistent link: https://www.econbiz.de/10012468608
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An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
Getmansky, Mila - 2003
The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation...
Persistent link: https://www.econbiz.de/10012469129
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Option Hedging Using Empirical Pricing Kernels
Rosenberg, Joshua V. - 1997
This paper develops a method for option hedging which is consistent with time-varying preferences and probabilities … the spread between implied and objective volatilities. Hedging results reveal that typical hedging techniques for out …-of-the-money S&P500 index options, such as Black-Scholes or historical minimum variance hedging, are inferior to the EPK hedging …
Persistent link: https://www.econbiz.de/10012472589
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GARCH Gamma
Engle, Robert F. - 1995
This paper addresses the issue of hedging option positions when the underlying asset exhibits stochastic volatility. By … parameterizing the volatility process as GARCH, and utilizing risk- neutral valuation, we estimate hedging parameters (delta and … gamma) using Monte-Carlo simulation. We estimate hedging parameters for options on the Standard and Poor's 500 index, a bond …
Persistent link: https://www.econbiz.de/10012473758
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Lending to the Unbanked : Relational Contracting with Loan Sharks
Lang, Kevin - 2019
We study roughly 11,000 loans from unlicensed moneylenders to over 1,000 borrowers in Singapore and provide basic …
Persistent link: https://www.econbiz.de/10012480344