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Why Ratings Matter: Evidence from Lehman’s IndexRating Rule Change
Chen, Zhihua; Lookman, Aziz A.; Schürhoff, Norman; … - Swiss National Centre of Competence in Research North … - 2010
This paper examines the role of bond ratings and the effects of rating-based regulations in thecorporate bond market. Exploiting an unanticipated mechanical change in how the benchmarkLehman bond indices are constructed in 2005, we show that rating-induced market segmentationof the bond market...
Persistent link: https://www.econbiz.de/10009248846
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Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - Bank für Internationalen Zahlungsausgleich <Basel> - 2008
Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. We find that one can...
Persistent link: https://www.econbiz.de/10009305112
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Segmented Asset Markets and Optimal ExchangeRate Regimes
Singh, Rajesh Kumar; Lahiri, Amartya; Végh, Carlos A. - Iowa State University of Science and Technology <Ames, … - 2006
This paper revisits the issue of the optimal exchange rate regime in a flexible price environment. The key innovation is that we analyze this question in the context of environments where only a fraction of agents participate in asset market transactions (i.e., asset markets are segmented)....
Persistent link: https://www.econbiz.de/10009360923
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What Moves the Bond Market?
Fleming, Michael J.; Remolona, Eli M. - Federal Reserve Bank <New York, NY> - 1997
[...]In this article, we take a close look at a single yearin the U.S. Treasury securities market (which we refer to asthe bond market) and attempt to identify information thatmay account for the sharpest price changes and the mostactive trading episodes. Sharp price moves may be attributedto...
Persistent link: https://www.econbiz.de/10005870221
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Road Pricing - Singapore's Experience
Chin, Kian Keong - 2002
This overviews Singapore's experiences with road pricing over the past years. …
Persistent link: https://www.econbiz.de/10005847845
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When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia
Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010
equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …
Persistent link: https://www.econbiz.de/10009305103
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Pan-Asianism in Meiji and Taishô Japan : A Preliminary Framework
Saaler, Sven - 2002
Pan-Asianism in Japanese history has not received much scholarly attention so far. Indeed, as some scholars have pointed out (Beasley 1987a), it is questionable whether the notion of an ideology that only existed as a loose set of ideas and, moreover, had its foundations in European concepts,...
Persistent link: https://www.econbiz.de/10005850185
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Asia’s Trade Performance after the Currency Crisis
Higgins, Matthew J.; Klitgaard Hertel, Thomas - Federal Reserve Bank <New York, NY> - 2000
worldtradable goods prices. Indeed, trade prices were fallingthroughout Asia by similar magnitudes, regardless of howmuch each … Thailand, the import and export priceindexes did not seem to have been influenced much by thebaht’s value, while those for …
Persistent link: https://www.econbiz.de/10005869932
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Asia Crisis Postmortem: Where Did the Money Go and Did the United States Benefit?
Van Wincoop, Eric; Yi, Kei-Mu - Federal Reserve Bank <New York, NY> - 2000
[...]In our view, this apparently surprising immunity of the U.S.economy to the Asia crisis reflects the fact that the …
Persistent link: https://www.econbiz.de/10005869933
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On the Relative Performance of Multi-Strategy and Funds of Hedge Funds
Agarwal, Vikas; Kale, Jayant R. - 2007
Recently, there has been explosive growth in two products from the hedge fund industry ⎯ multi-strategy(MS) funds and funds of hedge funds (FOFs), both of which offer diversification across different hedgefund strategies. In well-functioning markets, both investment vehicles should offer...
Persistent link: https://www.econbiz.de/10005855891