This paper deals with joint estimation of production and risk preference functions in the presence of output price uncertainty. We use quadratic production and utility functions under the assumption that producers maximize expected utility of anticipated profit. A panel data on Norwegian salmon...

This study examines whether small sample bias affects the standard inference about the foreign exchange market efficiency hypothesis. Our findings indicate that the bias is large enough to result in rejection of the efficient market hypothesis even when it is true. We use bootstrapping to adjust...

Forward exchange rate unbiassedness is rejected in test for international exchange markets. Such issue can be interpreted as evidence of a biased forward rate and/or time-varying risk premia. This paper proposes a stochastic general equilibrium model which generates substantial variability in...

The paper derives operating and financial measures of leverage and tests their association with market based measures of equity risk. It is the first such study to use purely accounting-based data to derive the leverage measures. In line with previous literature it conducts a new test on the...

This paper considers the problem of estimating Markov regime switching models with endogenous explanatory variables. When the data-generating process for consumption is subject to Markov regime switching, the standard model for the term structure of interest rates based on the Euler equations...

We develop an institutional framework for central banks that try to pursue a stability-oriented monetary policy with the strategy of exchange rate targeting. Recent experience shows that a crucial element of this approach is to avoid destabilizing capital inflows. Policy makers can exert...

With increasing wind power penetration more and more volatile and weather dependent energy is fed into the German electricity system. To manage the risk of windless days and transfer revenue risk from wind turbine owners to investors wind power derivatives were introduced. These insurance-like...

Risk premium plays an important role in stock investing. Experiments have shown that value stocks typically have a higher average return than growth stocks; however, this effect persists indefinitely, even disappearing in some stages. Some studies suggested high volatility in the series of...