共查询到20条相似文献,搜索用时 31 毫秒
1.
Corrado Andini 《Portuguese Economic Journal》2009,8(1):15-22
In a seminal paper, Levine et al. (J Monet Econ 46:31–77, 2000) provide cross-sectional evidence showing that financial development has positive average impact on long-run growth, using
a sample of 71 countries. We argue that the evidence is sensitive to the presence of outliers.
相似文献
Corrado AndiniEmail: |
2.
Dimitris K. Christopoulos 《Empirica》2007,34(3):273-280
This short paper explores the relationship between investment and saving rates in a sample of 13 OECD countries over the period
1885–1992. To this end, I employ panel cointegration tests based on the maximum likelihood approach developed by Johansen
(J Economic Dynamics Control 12:231–254, 1988) instead of conventional panel cointegration residual based tests, in order to draw sharper conclusions. Using estimation
techniques appropriate for heterogeneous panels I find a low degree of capital mobility for the sub-periods 1921–1992 and
1950–1992. The findings overwhelmingly support the hypothesis of perfect capital mobility in the short run.
相似文献
Dimitris K. ChristopoulosEmail: |
3.
This study examines the impact of a stamp tax rate increase on market behavior, using data from two stock exchanges in China. We find that when the tax rate increases from 0.3 to 0.5% (which implies that the transaction cost increases by about 1/3) trading volume decreases by 1/3. This implies an elasticity of turnover with respect to a stamp tax of −50% and an elasticity of turnover with respect to transaction cost of −100%. The markets’ volatility significantly increases after the increase in the tax rate. Furthermore, the change in the volatility structure indicates that the markets become less efficient in the sense that shocks are less quickly assimilated in the markets.
相似文献
Badi H. Baltagi (Corresponding author)Email: |
Dong LiEmail: |
Qi LiEmail: |
4.
In this article we propose a two step procedure for modeling the propagation of financial shocks. The first step consists
in the estimation, by means of SWARCH models, of the conditional probability of being in a period of high volatility, while
in the second step such indicators are included in a structural simultaneous equations models for interdependences among different
countries. The results show that episodes of financial crisis effectively happened during periods of high volatility and that
such measures of instability are important in explaining the propagation of devaluation expectations between six European
Countries during the ERM period.
相似文献
Marta BevilacquaEmail: |
5.
We document the patterns of market-wide and firm-specific volatility in the Portuguese stock market over the 1991–2005 period
and test several explanations for the behavior of firm-level idiosyncratic volatility. Unlike previous studies we find no
evidence of a statistically significant rise in firm-specific volatility. On the contrary, the ratio of firm-specific risk
to total risk slightly decreases. We show that this result stems from new listings of large privatized companies that display
lower firm-specific risk. Our findings are consistent with the idea that changes in idiosyncratic volatility are related to
changes in the composition of the market.
相似文献
Ana Paula SerraEmail: |
6.
Paresh Kumar Narayan 《International Advances in Economic Research》2008,14(3):280-290
In this paper we analyze per capita incomes of the G7 countries using the common cycles test developed by Vahid and Engle
(Journal of Applied Econometrics, 8:341–360, 1993) and extended by Hecq et al. (Oxford Bulletin of Economics and Statistics, 62:511–532, 2000; Econometric Reviews, 21:273–307, 2002) and the common trend test developed by Johansen (Journal of Economic Dynamics and Control, 12:231–254, 1988). Our main contribution is that we impose the common cycle and common trend restrictions in decomposing the innovations into
permanent and transitory components. Our main finding is permanent shocks explain the bulk of the variations in incomes for
the G7 countries over short time horizons, and is in sharp contrast to the bulk of the recent literature. We attribute this
to the greater forecasting accuracy achieved, which we later confirm through performing a post sample forecasting exercise,
from the variance decomposition analysis.
相似文献
Paresh Kumar NarayanEmail: |
7.
In this paper, we propose a new benchmarking procedure lying on cumulants for computing the factor loadings in financial models
of returns. We apply this technique to the well-known augmented Fama and French (J Fin Econ 43(2):153–193, 1997) model and compare it with another technique of ours based on higher moments. Our new procedure confirms the fact that the
alpha is supposed to decrease when we disaggregate HFR indices to the level of individual funds while correcting for specification
errors. Our new technique is therefore useful for hedge funds selection or ranking based on the alpha of Jensen corrected
for specification errors. This technique will also be useful for calibrating other financial models of returns like the simple
market model or the conditional alpha and beta models.
相似文献
Raymond ThéoretEmail: |
8.
Mansor H. Ibrahim 《International Review of Economics》2007,54(4):463-483
In this paper, we empirically examine the finance-economic development relations for the case of Malaysia. Using a battery
of time series econometric techniques, we document robust evidence suggesting favorable output effects of financial market
development. Likewise, there are consistent results showing the adverse real effects of financial volatility. The results
of the development of financial intermediaries, however, are fragile. Moreover, the development of the financial markets hinges
crucially on macro-economic performance and financial stability of the country. However, the process of financial market development
is likely to be accompanied by financial volatility, leaving Malaysia with the trade-off between financial development and
financial volatility. Lastly, we obtain limited evidence indicating the complementarity between financial market and banking
sector developments.
相似文献
Mansor H. IbrahimEmail: |
9.
Khaled Bennour 《International Review of Economics》2009,56(2):163-173
This paper extends the prey–predator model of Grossman and Kim (J Political Econ 103:1275–1288, 1995) to analyze the relation between the value of a contested rent and the emergence of conflict. We show that an increase in
the value of the rent makes a conflict equilibrium more likely. We also analyze the case where the valuation of the rent is
different for the two players. We find, for example, that a conflict equilibrium may occur even though the predator has an
important disadvantage in warfare. That is when his valuation of the rent is sufficiently high compared to that of the prey.
相似文献
Khaled BennourEmail: |
10.
Kinga Mazur 《International Advances in Economic Research》2007,13(4):495-514
The main objective of this paper is to investigate which of the two competing capital structure theories – the pecking order
of financing choices or the traditional static trade-off model – better describes the financing decisions in Polish companies
traded on the Warsaw Stock Exchange (WSE). The data come from financial statements of the companies and cover a 5-year period,
2000–2004. First, a correlation is run in order to separate a set of significant factors influencing the capital structure
from the list of the following independent variables: assets structure, profitability, growth opportunities, liquidity, firm
size, product uniqueness, earnings volatility, non-debt tax shields, dividend policy, and the effective tax rate. Next, in
order to test the relationship between capital structure and its potential determinants, multiple regression is run. The evidence
generally suggests the relevance of the pecking order hypothesis in explaining the financing choices of Polish firms.
相似文献
Kinga MazurEmail: |
11.
Schmitt-Grohé and Uribe (NBER wp 10724, 2004b) analyzes the optimal, simple and implementable monetary policy rules in a medium-scale macromodel, as the one proposed by
Christiano et al. (J Polit Econ 113:1–45, 2005). In doing so, they use a sensible, but somewhat arbitrary constraint to account for the lower bound condition on the nominal
interest rate. In this work, we check the robustness of their main results to such a criteria. We find that the optimal policies
are actually absolutely robust to the easing of this criterion for all the different cases considered.
相似文献
Guido AscariEmail: |
12.
Giovanna Tagliabue 《International Review of Economics》2009,56(3):303-313
The impact of the great financial crisis that started in the United States with the implosion of “subprime” loans has drawn
the public’s attention on one of the most innovative branches of financial market, the famous derivatives. The financial crisis
and the involvement of major banking institutions thus call for some thinking about the concept of control in Italy and in
a globalized world. In Italy, even though the scale of the risks connected with transactions in derivatives is limited, some
banks may have damaged their reputations by pushing complex derivative products onto unwitting clients. Apart from reassurance
and all kinds of justifications, and without arguing whether this was deliberate or not, the monetary authorities, Consob,
and ABI have clearly reported the risk of a world financial crisis too late.
相似文献
Giovanna TagliabueEmail: |
13.
George C. Bitros 《The Review of Austrian Economics》2008,21(4):301-328
This paper centers on the structure of capital and the useful lives of its components by considering an economy with two representative
firms, one producing a necessity and another producing a luxury. This difference determines their reinvestment opportunities.
Therefore, while the one applies replacement, the other adopts scrapping. However, as these capital policies lead to different
service lives, the analysis confronts the issues raised by Miller (Review of Income and Wealth 29:284–296, 1982, Review of Income and Wealth 36:67–82, 1990) and deals with them by drawing on Haavelmo’s (A study in the theory of investment, Chicago: The University of Chicago Press, 1960) suggestions regarding the aggregation of capital. Among other findings, it turns out that the simulation results are highly
robust, thus demonstrating that real-world implications may be even stronger than strictly suggested by the model.
相似文献
George C. BitrosEmail: |
14.
Friederike Mengel 《Journal of Evolutionary Economics》2009,19(3):397-415
We analyze a local interaction model where agents play a bilateral prisoner’s dilemma game with their neighbors. Agents learn
about behavior through payoff-biased imitation of their interaction neighbors (and possibly some agents beyond this set).
We find that the Eshel et al. (Am Econ Rev 88:157–179, 1998) result that polymorphic states are stochastically stable in such a setting is not robust. In particular, whenever agents
use information also of some agents beyond their interaction neighbors, the unique stable outcome is one where everyone chooses
defection. Introducing a sufficiently strong conformist bias into the imitation process, we find that full cooperation always
emerges. Conformism is thus identified as a new mechanism that can stabilize cooperation.
相似文献
Friederike MengelEmail: |
15.
Karl-Ernst Schenk 《Journal of Evolutionary Economics》2006,16(3):231-253
This concept revolves around differences of embeddedness of organizations in the macro patterns of routines (economic policy regimes), which in turn may differentially provide them–and the system as a whole–with ‘procedural rationality’ in dealing with identified problems in their relevant complex environment. Regularities of interdependence are specified between different regime patterns and the variety of coordination routines between and inside micro organizations. Corresponding regularities are also observed for internal governance routines of organizations, which in turn determine the behavioral adaptation by self-organization that may be rationally in a local perspective, but–contingent on the organization’s embeddedness in the coordination structure–not necessarily so in a comprehensive one.
相似文献
Karl-Ernst SchenkEmail: |
16.
The application of the rational choice postulate to a political context invariably leads to the conclusion that most voters
are ill informed when making the decision on whom to vote for. In this paper, the authors conduct an empirical evaluation
of the rational ignorance theory, based on the model developed by (Rogoff and Sibert Rev Econ Stud LV:1–16, (1988) and by considering that better informed voters reward political candidates who show better performances. The levels of performance
are established through the construction of an empirical frontier using the Data Envelopment Analysis (DEA) methodology. According
to our results, based on the 1997 Portuguese local elections, even though swing voters do not necessarily behave as rationally
ignorant voters, a large majority of voters are rationally ignorant.
相似文献
José da Silva CostaEmail: |
17.
Roberta Patalano 《Constitutional Political Economy》2007,18(4):223-241
Since the contributions by D. North [(1990). Institutions, institutional change, and economic performance. New York: CUP] and his Nobel Prize lecture [(1994). Economic performance through time, Nobel Prize Lecture. The American Economic Review, 84(3), 359–368], the relationship between mind and institutions has been increasingly investigated by economists. Mantzavinos,
North, and Shariq [(2004). Learning, institutions, and economic performance. Perspectives on Politics, 2(1), 75–84] introduced the expression cognitive institutionalism in order to define this stream of research. In the first part of the paper we discuss some recent findings of the cognitive
approach to institutions and its roots in the history of economic ideas. We also claim that in such an approach, no place
has yet been found for a crucial faculty of the human mind, imagination. We then explore the concept of radical imaginary developed by Cornelius Castoriadis in his book The Imaginary Institution of Society (1975; 1987). From the perspective of cognitive economics, and on the grounds of Castoriadis’ legacy, we aim at highlighting
some basic mechanisms of interaction between imagination, affectivity and institutions.
相似文献
Roberta PatalanoEmail: |
18.
This study measures cost inefficiency of Kansas public school districts and applied both mathematical programming and stochastic
frontier approach. The empirical study uses two-stage data envelopment analysis model and the cost inefficiency effects model
proposed by Battese and Coelli (Empirical Economics 24:325–332, 1995) and applied to a panel data. The results found mean inefficiencies from these two models are very close. The results indicate
that Kansas school districts, on average, exhibit cost inefficiency in their operations, however, there is a tendency for
inefficiencies to decline over time. The study does not find any strong evidence for lower efficiency due to lower expenditure
per-pupil. Instead, we found inconclusive evidences where lower efficiency for certain school districts could be assigned
to unfavorable environmental cost conditions.
相似文献
John PoggioEmail: |
19.
Antonio Ribba 《Empirical Economics》2006,31(2):497-511
In this paper, by using a combination of long-run and short-run restrictions, we identify a small structural VECM which includes inflation, unemployment and the federal funds rate and study the dynamic interactions at different frequencies among these variables. Our results show that: (a) in accordance with the traditional view of economic fluctuations, aggregate demand shocks and monetary policy shocks push inflation and unemployment in opposite directions in the short run; (b) the permanent supply shock explains the long-run movement of inflation and unemployment. These conclusions are at odds with the prediction of “natural-rate” models but are consistent with the idea of a propagation mechanism which links productivity shocks to inflation and unemployment at medium and low frequencies. Thus, with respect to some recent studies (e.g. Beyer and Farmer, ECB Working Paper 121, 2002, and Ireland, J Monet Econ 44:279–291, 1999), we offer a different interpretation of the low-frequency comovements between inflation and unemployment characterizing the US economy in the last decades.
相似文献
Antonio RibbaEmail: |
20.
In this paper, using daily data for six major international stock market indexes and a modified EGARCH specification, the
links between stock market returns, volatility and trading volume are investigated in a new nonlinear conditional variance
framework with multiple regimes and volume effects. Volatility forecast comparisons, using the Harvey-Newbold test for multiple
forecasts encompassing, seem to demonstrate that the MSV-EGARCH complex threshold structure is able to correctly fit GARCH-type
dynamics of the series under study and dominates competing standard asymmetric models in several of the considered stock indexes.
相似文献
José Dias CurtoEmail: |