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The impact of financial openness on the size of utility-enhancing government

Erauskin, Iñaki - In: Economics - The Open-Access, Open-Assessment E-Journal 7 (2013), pp. 1-56

consumption-wealth ratio, and welfare should be greater in an open economy because of higher productivity and/or less volatility …

Persistent link: https://www.econbiz.de/10010981397

The impact of financial openness on the size of utility-enhancing government

Erauskin, Iñaki - Institut für Weltwirtschaft (IfW) - 2013

-wealth ratio, and welfare should be higher in an open economy due to a higher productivity and/or less volatility through risk …

Persistent link: https://www.econbiz.de/10010983184

Since when have FOREX markets incorporated EMU into currency pricing? Evidence from four exchange rate series

Wilfling, Bernd - HWWA Institut für Wirtschaftsforschung - 2001

rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov …-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-?-vis the German mark using …

Persistent link: https://www.econbiz.de/10010984994

Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns

Gürtler, Marc; Rauh, Ronald - Department Wirtschaftswissenschaften, Technische … - 2013

In this paper we analyze a multivariate non-stationary regression model empirically. With the knowledge about unconditional heteroscedasticty of financial returns, based on univariate studies and a congruent paradigm in Gürtler and Rauh (2009), we test for a time-varying covariance structure...

Persistent link: https://www.econbiz.de/10010985506

Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity

Gürtler, Marc; Rauh, Ronald - Department Wirtschaftswissenschaften, Technische … - 2012

In this paper we analyze an econometric model for non-stationary asset returns. Volatility dynamics are modelled by …

Persistent link: https://www.econbiz.de/10010985509

Collusion and demand volatility

Breton, Michèle; Kharbach, Mohammed - In: Economics Bulletin 35 (2015) 1, pp. 241-246

In this article, we use a simple mean-variance set up, where two symmetric Â…firms are competing in quantities, and investigate the impact of demand variability on the stability of collusion.

Persistent link: https://www.econbiz.de/10011199645

TESTING FOR LONG MEMORY IN VOLATILITY IN THE INDIAN FOREX MARKET

Kumar, Anoop S. - In: Economic Annals 59 (2014) 203, pp. 75-75

This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using … volatility (absolute returns and squared returns) by employing three measures of long memory. Next, the presence of long memory … in conditional volatility is tested using ARMA-FIGARCH and ARMA-FIAPARCH models under various distributional assumptions …

Persistent link: https://www.econbiz.de/10011199682

"Consumption Volatility, Liquidity Constraints and Household Welfare"

Dogra, Keshav; Gorbachev, Olga - Department of Economics, Lerner College of Business and … - 2015

households. Consumption volatil-ity increased significantly over this period, especially for liquidity constrained households …We evaluate the impact of increased income uncertainty and financial liberalisation in the US on consumption volatility … and household welfare. We estimate Euler equations and measure the volatility of unpredictable changes in consumption as …

Persistent link: https://www.econbiz.de/10011199810

ROMANIAN FINANCIAL MARKET’S REACTION TO FED TAPERING TALK DURING 2013

PANAIT, Iulian - In: Studii Financiare (Financial Studies) 18 (2014) 4, pp. 19-30

This paper examines the reaction of the Romanian financial markets to the changes of monetary policies in the US during 2013. Using daily data for Bucharest Stock Exchange main equity index, EURRON exchange rate, 5 and 2 year government bond price index and 5 year government CDS (USD) price, we...

Persistent link: https://www.econbiz.de/10011200008

The Fundamental Surplus in Matching Models

Ljungqvist, Lars; Sargent, Thomas J - C.E.P.R. Discussion Papers - 2015

To generate big responses of unemployment to productivity changes, researchers have reconfigured matching models in various ways: by elevating the utility of leisure, by making wages sticky, by assuming alternating-offer wage bargaining, by introducing costly acquisition of credit, or by...

Persistent link: https://www.econbiz.de/10011201357