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Regulation of International Financial Markets by Transactions Taxes: The Effect of the Tobin Tax on Trade Volume und Exchange Rate Volatility
Haberer, Markus - 2006
volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …
Persistent link: https://www.econbiz.de/10009471738
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Trading Systems, Volatility, and the Regulation of Stock Markets: An Investigation of the Microstructure of the Warsaw Stock Exchange
Henke, Harald - 2004
into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …
Persistent link: https://www.econbiz.de/10009460735
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Two Essays in Macroeconomics
Wu, Dong - 2010
mid-1980s, in contrast to the simultaneous volatility decline of most aggregates, including overall hours and employment … the skill premium, it is interesting to check its short-run implications for employment volatility. The numerical results … DSGE models' implications for overall labor market' volatility. …
Persistent link: https://www.econbiz.de/10009450956
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Interactive expectations
Flieth, B; Foster, J - 2002
In modeling expectation formation, economic agents are usually viewed as forming expectations adaptively or in accordance with some rationality postulate. We offer an alternative nonlinear model where agents exchange their opinions and information with each other. Such a model yields multiple...
Persistent link: https://www.econbiz.de/10009447863
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It takes more than a bubble to become Japan
Posen, Adam - 2003
bubbles, a bubble itself is not sufficient to cause real-side disruption. What central bankers should learn from Japan …
Persistent link: https://www.econbiz.de/10009472319
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A Regime Shift Model of the Recent Housing Bubble in the United States
Van Order, Robert - 2006
evidence on volatility is strong. In general, volatility did not increase in the nonbubble MSAs, and it decreased in the faster …
Persistent link: https://www.econbiz.de/10009476926
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Essays on speculation.
Slawski, Adam Wladyslaw - 2009
University of Minnesota Ph.D. dissertation. August 2009. Major: Economics. Advisor: Narayana Kocherlakota. 1 computer file (PDF); iv, 65 pages, appendices A-B.
Persistent link: https://www.econbiz.de/10009462812
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Learning from experience in the stock market
Nakov, Anton; Nuño Barrau, Galo - 2011
Incluye bibliografía ; Este documento estudia la dinámica de los precios de las acciones en un modelo tipo «árbol de Lucas» en el que los inversores tienen vidas finitas y aprenden de su propia experiencia. Los individuos actualizan sus expectativas mediante aprendizaje bayesiano basado en...
Persistent link: https://www.econbiz.de/10012530357
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Four Essays on Measuring Financial Risks
Chiriac, Roxana-Mihaela - 2010
Diese Dissertation untersucht die Messung finanzieller Risiken und besteht aus vier eigenständigen Forschungspapieren über die Analyse, Modellierung und Vorhersage solcher Risiken in verschiedenen wirtschaftlichen Szenarien. Die gegenwärtigen Risikomaße ignorieren größtenteils das...
Persistent link: https://www.econbiz.de/10009471737
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Evaluating the Liquidity of Stocks using Transaction Data
Ivanchuk, Nataliya - 2004
In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows beyond the walls of the academia, as the security exchanges recognize the importance of the concept and plan to adopt unique measures of liquidity and publish them in the...
Persistent link: https://www.econbiz.de/10009471789