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Network centrality and stock market volatility : the impact of communication topologies on prices

Hein, Oliver; Schwind, Michael; Spiwoks, Markus - In: Journal of finance and investment analysis 1 (2012) 1, pp. 199-232

We investigate the impact of agent communication networks on prices in an artificial stock market. Networks with different centralization measures are tested for their effect on the volatility of prices. Trading strategies diffuse through the different network topologies, mimetic contagion...

Persistent link: https://www.econbiz.de/10010079539

Dynamic speculative behaviors and mortgage bubbles in the real estate market of mainland China

Wang, Sheng - In: Journal of finance and investment analysis 1 (2012) 1, pp. 1-54

It is systemic to expound how that the speculative behaviors are driven by the number of a series housing policies promulgated by China's government for the real estate market. The market is resulted in full of speculative behaviors, and has been booming since the beginning of this decade, even...

Persistent link: https://www.econbiz.de/10010079547

The future of retirement and the pension system : how the public’s expectations vary over time and across socio-economic groups

Bissonnette, Luc; Soest, Arthur van - In: IZA Journal of European Labor Studies 1 (2012), pp. 1-21

We analyze expectations of the Dutch population ages 25 and older concerning future generosity of state and … until 2012 on individuals’ subjective expectations concerning changes between now and ten or twenty years from now in the … security benefits, and the average retirement age ten or twenty years from now. We find significant variation in expectations …

Persistent link: https://www.econbiz.de/10010082266

An interpretation of an affine term structure model for Chile

Ochoa, J. Marcelo - In: Estudios de economía 33 (2006) 2, pp. 155-184

This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no-arbitrage term structure model for Chile. The dynamics of yields in the model are explained by two latent factors, namely...

Persistent link: https://www.econbiz.de/10009959071

Empirical testing on uncovered interest rate parity in Malaysia

Jaratin Lily; Mori Kogid; Mohd Rahimie Abd Karim; … - In: Journal of applied finance & banking 1 (2011) 2, pp. 95-114

Uncovered interest rate parity (UIRP) provides a crucial theoretical concept for many models in international finance and international monetary economics. Using quarterly data span from 1998Q1 to 2010Q3, we run conventional regressions (OLS) and simple GARCH analysis on UIRP for the case of...

Persistent link: https://www.econbiz.de/10010009075

The impact of the Bank of Japan’s news announcements on the Japanese Yen, US Dollar, and the Euro

Kurihara, Yutaka - In: Journal of applied finance & banking 2 (2012) 3, pp. 39-50

This article examines the impact of news about the Bank of Japan monetary policy announcements regarding the Japanese yen, US dollar, and the Euro interest rates. Whether or not the announcements from the monetary authorities impact the domestic markets is related to the success of their...

Persistent link: https://www.econbiz.de/10010009133

Simple, compound and continuous interest discounts : a comparative study

Parada-Daza, José Rigoberto - In: Journal of applied finance & banking 3 (2013) 1, pp. 31-43

This article makes an analytical comparison between simple, compound and continuous interest discount factors. It studies the equivalency relations between the three discount factors. An analysis is performed for a limited time period and of normal economy interest rates. It makes use of the...

Persistent link: https://www.econbiz.de/10010118436

The effectiveness of stock prices on the phase of short-term interest rates : evidence from Eastern European countries

Yıldırım, Nurtac; Ozcelebi, Oguzhan; Kansu, Aydan - In: Advances in management & applied economics 3 (2013) 4, pp. 21-35

In recent years the issue of the role of asset prices in monetary setting has become increasingly topical since booms and busts in asset market are associated with the fluctuations in overall economic activity through its impacts on aggregate spending. In this study, we use Smooth Transition...

Persistent link: https://www.econbiz.de/10010148062

The effect of target federal funds rate changes on the foreign exchange markets : an event study approach

Wang, Alan T.; Hung, Shu-hsun; Jiang, I-ming - In: Journal of applied finance & banking 3 (2013) 3, pp. 117-132

with our expectations: federal funds rate increases (decreases) are associated with the U.S. dollar appreciation …

Persistent link: https://www.econbiz.de/10010148088

The effect of stock market wealth on private consumption in Zimbabwe

Bindu, Samuel; Chigusiwa, Lloyd; Mazambani, D.; … - In: International journal of economic sciences and applied … 4 (2011) 2, pp. 125-142

The study seeks to examine stock market wealth effects on private non-durable consumption for Zimbabwean households using quarterly data from 1994(1) to 2008(2). The bounds testing approach to cointegration is employed to test the long run relationship between stock market wealth and...

Persistent link: https://www.econbiz.de/10009958072