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Derivative securities use grows as banks strive to hedge risks

In: Financial Update (1999) Jan, pp. 8-9

Persistent link: https://www.econbiz.de/10005514508

Bubbles in experimental asset markets: Irrational exuberance no more

Ackert, Lucy F.; Church, Bryan K.; Deaves, Richard - Federal Reserve Bank of Atlanta - 2002

The robustness of bubbles and crashes in markets for finitely lived assets is perplexing. This paper reports the results of experimental asset markets in which participants trade two assets. In some markets, price bubbles form. In these markets, traders will pay even higher prices for the asset...

Persistent link: https://www.econbiz.de/10005514535

Circuit breakers with uncertainty about the presence of informed agents: I know what you know . . . I think

Ackert, Lucy F.; Church, Bryan K.; Jayaraman, Narayanan - Federal Reserve Bank of Atlanta - 2002

This study conducts experimental asset markets to examine the effects of circuit breaker rules on market behavior when agents are uncertain about the presence of private information. Our results unequivocally indicate that circuit breakers fail to temper unwarranted price movements in periods...

Persistent link: https://www.econbiz.de/10005514565

Firm-level evidence on international stock market movement

Brooks, Robin; Negro, Marco Del - Federal Reserve Bank of Atlanta - 2003

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in twenty countries, we estimate a factor model that decomposes stock returns into global, country- and industry-specific...

Persistent link: https://www.econbiz.de/10005514572

The price of inflation and foreign exchange risk in international equity markets

Robotti, Cesare - Federal Reserve Bank of Atlanta - 2001

of international equity markets in which only global market risk appears to be priced. When using the Hansen … performance of the II-CAPM (PPP) is mainly attributable to significant hedging against inflation risk. …

Persistent link: https://www.econbiz.de/10005514580

Minimum-variance kernels, economic risk premia, and tests of multi-beta models

Balduzzi, Pierluigi; Robotti, Cesare - Federal Reserve Bank of Atlanta - 2001

This paper uses minimum-variance (MV) admissible kernels to estimate risk premia associated with economic risk … variables and to test multi-beta models. Estimating risk premia using MV kernels is appealing because it avoids the need to 1 …) identify all relevant sources of risk and 2) assume a linear factor model for asset returns. Testing multi-beta models in terms …

Persistent link: https://www.econbiz.de/10005514591

Opinion : Risky business

Weinberg, John - In: Econ Focus (2003) Fall, pp. 48-48

Persistent link: https://www.econbiz.de/10005514693

The exchange rate exposure of U.S. and Japanese banking institutions

Chamberlain, Sandra; Howe, John S.; Popper, Helen - Center for Pacific Basin Monetary and Economic Studies, … - 1995

sensitivity of the U.S. firms by linking the U.S. estimates cross-sectionally to accounting-based measures of currency risk. We … currency risk. Benchmarked in this way, the reported measures that we examine appear to provide a significant, though only …

Persistent link: https://www.econbiz.de/10005514917

Private capital flows, capital controls, and default risk

Wright, Mark L . J. - Center for Pacific Basin Monetary and Economic Studies, … - 2004

depend on the form of default risk. When private loans are enforceable, but there is the risk that the government will …

Persistent link: https://www.econbiz.de/10005514922

A note of the relationship between bank holding company risk and nonbank activity

Elijah Brewer, III - Federal Reserve Bank of Chicago - 1988

Persistent link: https://www.econbiz.de/10005514991