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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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Parameter estimation error: a cautionary tale in computational finance
Popovic, Ray - 2010
We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying …
Persistent link: https://www.econbiz.de/10009476145
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Network effects, compatibility, and adoption of standards
Grajek, Michał - 2005
standard and international trade. The estimation results allow us to formulate some interesting policy conclusions. …
Persistent link: https://www.econbiz.de/10009467122
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Asymmetrische Effekte der Geldpolitik auf die Industrie in der Bundesrepublik Deutschland - eine Untersuchung auf Branchenebene
Hock, Thorsten - 2003
Die Arbeit setzt sich mit Unterschieden des geldpolitischen Transmissionsprozesses im Verarbeitenden Gewerbe der Bundesrepublik Deutschland auseinander. Dazu wird der Sektor nach der Systematik der BACH-Datenbank der europäischen Kommission in 10 Branchen eingeteilt. An eine kurze Betrachtung...
Persistent link: https://www.econbiz.de/10009433722
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Trend and Cycles in Coal and Oil Prices in the Long Run: A Schumpeterian Approach
Bloch, Harry; Sapsford, D. - 2011
We contribute to the task of identifying trends and cycles in energy prices by examining very long series of prices for coal and oil, going back to 1650 in the case of coal and 1859 in the case of oil. We find annual rates of increase in real price of greater than two percent are found for coal...
Persistent link: https://www.econbiz.de/10009435028
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Economic Effects of Oil and Food Price Shocks in Asia and Pacific Countries: An Application of SVAR Model
Alom, Fardous - 2011
This study investigates the economic effects of external oil and food price shocks in thecontext of selected Asia and Pacific countries including Australia, New Zealand, SouthKorea, Singapore, Hong Kong, Taiwan, India and Thailand. The study is conducted withinthe framework of SVAR model using...
Persistent link: https://www.econbiz.de/10009442814
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A Test of a Two-Factor 'Market and Oil' Pricing Model
Faff, Robert W; Brailsford, Tim - 1999
In this paper we employ a GMM-based approach to test the restrictions imposed by a two-factor 'market and oil' pricing model when a risk-free asset is assumed to exist. We examine the Australian market which has several interesting features including self-sufficiency in relation to oil, a large...
Persistent link: https://www.econbiz.de/10009451584
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Potential bilateral trade between South Africa and Angola in the agricultural sector : a gravity model approach / J.L. Erero
Erero, Jean Luc - 2007
This study applies the gravity trade model to assess South Africa-Angola trade potential in the agriculturalsector. A step-by-step example of the model's empirical implementation is also provided. It is found thatthe gravity model, with foundations in the physical sciences, is a useful...
Persistent link: https://www.econbiz.de/10009456190
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Essays on structural transformation in international economics
Stefanski, Radoslaw L. - 2009
University of Minnesota Ph.D. dissertation. July 2009. Major: Economics. Advisors: Timothy J. Kehoe, Fabrizio Perri. 1 computer file (PDF); vii, 110 pages. Ill. (some col.)
Persistent link: https://www.econbiz.de/10009462839