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Efficiency of the Secondary T-Bill Market
Dvorný, Zdeněk - In: Prague Economic Papers 2004 (2004) 1, pp. 17-25
The article analyzes efficiency of the Czech treasury T-bill market and the interbank deposit market over period 1993 …
Persistent link: https://www.econbiz.de/10005256980
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An inflation expectations horserace
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2010
For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...
Persistent link: https://www.econbiz.de/10009647457
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The Good News and the Bad News about Long-run Stock Market Returns
Robertson, Donald; Wright, Stephen - Faculty of Economics, University of Cambridge - 1998
If stock prices followed a random walk, uncertainty about future stock prices would be so great that the observed bias towards equities in long-term investment portfolios would be surprising. The good news is that if, as a growing body of research suggests, there is even a weak tendency for...
Persistent link: https://www.econbiz.de/10005113827
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The Determinants of Foreign Exchange Intervention by Central Banks: Evidence from Australia.
Kim, S.-J.; Sheen, J. - School of Economics, Faculty of Arts and Social Sciences - 1999
Intervention by the Reserve Bank of Australia on foreign exchange markets from 1993 to 1997 is conjectured to have been determined by exchange rate trend correction, exchange rate volatility smoothing and profitability considerations. Using Probit and friction models, we show that these factors...
Persistent link: https://www.econbiz.de/10005775662
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Agent Behaviour, Financial Market and Welfare Theory
Paranque, Bernard; Baets, Walter; Pruden, Henry - EconWPA - 2005
when they have to manage risk and their portfolio. If we follow Kaldor and its definition of speculation, then we could …
Persistent link: https://www.econbiz.de/10005413089
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Minute-by-Minute Dynamics of the Australian Bond Futures Market in Response to New Macroeconomic Information.
Kim, S.-J.; Sheen, J. - School of Economics, Faculty of Arts and Social Sciences - 1999
This paper investigates the response efficiency of the 10-year Australian Commonwealth bond futures market to the new …
Persistent link: https://www.econbiz.de/10005618923
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Time variation in asset price responses to macro announcements
Grisse, Christian; Goldberg, Linda S. - Schweizerische Nationalbank (SNB) - 2013
, including the level of policy rates at the time of the release, and risk conditions: government bond yields increase in response … to "good news", but less so when risk is elevated. Risk conditions matter since they can capture the effects of … objectives of central banks, and the effect of news announcements on the risk premium. …
Persistent link: https://www.econbiz.de/10010895105
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Size and Risk in the Finanzal Markets
Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2009
This paper examines relationships between size and risk in financial markets. Based on the work of Makridakis / Taleb … [2009] and Taleb / Tapiero [2009], presents the problems of excessive risk and imbalances caused by the size of firms …. Markets mixed on firm growth traps externalities can influence risk, high-cost for the commons. A policy of regulation and …
Persistent link: https://www.econbiz.de/10008543512
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A MACROPRUDENTIAL SUPERVISION MODEL. EMPIRICAL EVIDENCE FROM THE CENTRAL AND EASTERN EUROPEAN BANKING SYSTEM
Ioan, Trenca; Peter, Balogh; Simona, Mutu - In: Annals of Faculty of Economics 1 (2013) 1, pp. 1133-1141
One of the positive effects of the financial crises is the increasing concern of the supervisors regarding the financial system's stability. There is a need to strengthen the links between different financial components of the financial system and the macroeconomic environment. Banking systems...
Persistent link: https://www.econbiz.de/10010685436
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Financial Innovation and Its Effects on Financial Stability and Efficiency
Camelia, ªargu Alina; Angela, Roman - In: Ovidius University Annals, Economic Sciences Series XI (2011) 1, pp. 2035-2041
paper is to underline the impact of financial innovation on the stability and efficiency of the financial system while also …
Persistent link: https://www.econbiz.de/10010632600