We present a derivative pricing and estimation methodology for a class of stochastic volatility models that exploits the observed 'bursty' or persistent nature of stock price volatility. Empirical analysis of high-frequency S&P 500 index data confirms that volatility reverts slowly to its mean...

This study examines relations between stock returns and potential explanatory factors in Korea, an important and segmented emerging market. Our results show that Korean stock returns in general and returns on stocks listed in Section 1 in particular are significantly positively related to...

Az euró válságának szélesebb globális összefüggései vannak, mind a kiváltó okait, mind a nemzetközi pénzügyi rendszer működésének hiányosságait illetően. Az európai monetáris integráció szilárd reálgazdasági alapokon nyugszik. Az euró teljesítménye mind az...

There are two possible responses to the Greek debt crisis: ‘Plan A’, continued official lending, for as long as needed, with possible voluntary private sector involvement, and ‘Plan B’, coercive preemptive or post-default restructuring with significant face value reduction in...

We use data on exchange rates and consumer price indices and the weighting matrix derived by Bayoumi, Lee and Jaewoo (2006) to calculate consumer price index-based REER. The main novelties of our database are that (1) it includes data for 178 countries –many more than in any other publicly...

A tanulmány a jelenlegi pénzügyi és világgazdasági válság hátterét elemzi. Elsőként az észak-amerikai jelzáloghitel-piac vizsgálatán keresztül mutatja be a válság kiindulását és gyökereit, a jelzáloghitelek értékpapírosodására koncentrálva. A cikk bevezeti az...

Using a panel of 21 OECD countries and 40 years of annual data, we find that countries with similar government budget positions tend to have business cycles that fluctuate more closely. That is, fiscal convergence (in the form of persistently similar ratios of government surplus/deficit to GDP)...

The euro area‘s sovereign debt crisis continues though significant steps have been taken to resolve it. This paper proposes a comprehensive solution to the crisis based on three pillars: a plan to restore banking sector soundness in the whole euro area, a resolution of sovereign debt crisis...

The euro area is facing crisis, while the US is not, though the overall fiscal situation and outlook is better in the euro area than in the US, and though the US faces serious state-level fiscal crises. A higher level of fiscal federalism would strengthen the euro area, but is not inevitable....