Showing 92,011 - 92,020 of 92,939
resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus … thinness and the consequent price volatility may become joint self-perpetuating features of an equity market, whatever the … volatility of asset fundamentals. If, however, appropriate incentive schemes are adopted to encourage entry of additional …
Persistent link: https://www.econbiz.de/10005662005
This study examines the conditional volatility and correlation dependency and interdependency for the four major … volatility. These results have become more pervasive when the exchange rate and FFR are included. Monetary policy also has a …
Persistent link: https://www.econbiz.de/10008484071
realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of … multivariate volatility models, and thinking carefully about forecasting models and expertise …
Persistent link: https://www.econbiz.de/10008484072
We study the effect of primary commodities on development indicators in a sample of 86 countries over the period 1965-2005. To this purpose we employ a system of equations. We use interactive terms to estimate separate slope coefficients for Sub-Saharan African (SSA) countries, Central African...
Persistent link: https://www.econbiz.de/10008484435
volatility and exogenous shocks in the price and inventory series are controlled for in estimation. Redressing the empirical … linkage between volatility, prices, and inventories is important because volatility increases returns to inventories, which in … volatility is an important determinant in the short-run conditional mean processes for both the price and inventories. The …
Persistent link: https://www.econbiz.de/10008486413
There has recently been considerable interest in the potential adverse effects associated with excessive uncertainty in energy futures markets. Theoretical models of investment under uncertainty predict that increased uncertainty will tend to induce firms to delay investment. These models are...
Persistent link: https://www.econbiz.de/10008487712
increases volatility of terms of trade and thus the number and frequency of macroeconomic shocks. One would expect modern … not help much in terms of volatility …
Persistent link: https://www.econbiz.de/10008555374
the abnormal returns and volatility changes of those component stocks. The empirical results show that, after the removal … volatility. To reduce the possible impact on volatility, the authorities may take the activity of margin transactions into …
Persistent link: https://www.econbiz.de/10008555948
This paper explores the relationship between special-interest groups and volatility of GDP growth. In an unbalanced … the volatility of GDP growth. …
Persistent link: https://www.econbiz.de/10005572315
The purpose of this paper is to empirically determine the causes of the worldwide diversity of inflation volatility. We … higher inflation volatility. …
Persistent link: https://www.econbiz.de/10005572439