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1.
Institutional change entails institutional design, assessment, and modification, which necessarily take place within the constraints
and opportunities afforded by existing institutional arrangements. Viktor Vanberg has made major contributions to our understanding
of how institutions evolve. We wish to contribute to this symposium in honor of Vanberg by analyzing how institutions for
the management of water institutions in Southern California evolved primarily through the use of the courts as settings for
deliberation, learning and institutional change.
相似文献
William BlomquistEmail: |
2.
This study sheds new light on the mixture of distribution hypothesis by means of a study of the weekly exchange rate volatility of the Norwegian krone. In line with other studies we find that the impact of information arrival on exchange rate volatility is positive and statistically significant, and that the hypothesis that an increase in the number of traders reduces exchange rate volatility is not supported. The novelties of our study consist in documenting that the positive impact of information arrival on volatility is relatively stable across three different exchange rate regimes, and in that the impact is relatively similar for both weekly volatility and weekly realised volatility. It is not given that the former should be the case since exchange rate stabilisation was actively pursued by the central bank in parts of the study period. We also report a case in which undesirable residual properties attained within traditional frameworks are easily removed by applying the log-transformation on volatilities.
相似文献
Genaro Sucarrat (Corresponding author)Email: URL: http://www.core.ucl.ac.be/~sucarrat/index.html |
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.
Mohammad S. Hasan 《Empirical Economics》2006,31(1):195-206
Using the notion of co-integration theory and a vector error correction modelling approach, this paper examines in retrospect
the long-run relationship between the exchange rate of silver-based currencies and the intrinsic value of silver in India
and Iran in a bivariate model. The results based on unit root and co-integration tests indicate a reliable long-run relationship
between the price of silver and the exchange rate of silver-based currencies. Our findings also suggest a bi-directional relationship
between the price of silver and exchange rate of pound per rupee in the case of India and a feedback relationship between
the intrinsic value of qiran and the exchange rate of pound per qiran in the case of Iran.
相似文献
Mohammad S. HasanEmail: |
5.
Naa Anyeley Akofio-Sowah 《International Advances in Economic Research》2009,15(3):296-309
This paper investigates the relationship between the monetary regime: pegged, currency board, dollarization, and the exchange
rate pass-through for a sample consisting of 15 Sub-Saharan Africa countries and 12 Latin American countries. The research
findings about pass-through rates will shed light on the feasibility of a monetary union for Sub-Saharan Africa. The inclusion
of the latter country group was deemed desirable to explore pass-through behavior in several monetary regime options not often
used in Sub-Saharan Africa.
相似文献
Naa Anyeley Akofio-SowahEmail: |
6.
The study aims to examine the impact of changes in policy variables namely, monetary aggregate (M1), exchange rate and interest
rate on two monetary goal variables, namely output and price level in Fiji from 1970 to 2006 by applying the procedures of
variance decomposition and impulse response functions. We conclude that the money channel is the most effective channel of
transmission mechanism among the three channels.
相似文献
Chee-Keong Choong (Corresponding author)Email: |
7.
This paper evaluates the quality of human resource management (HRM) in Croatia because excellent human resource (HR) policies,
programs and activities enable enterprises to maximize their workforce productivity. The research was conducted in enterprises
with more than 200 employees. The value of HRM was assessed using the HR audit approach. Fifty-five HR indicators were analyzed
from the top 10 Croatian HR enterprises to serve as benchmarks for the final sample of 80 enterprises. Results indicate Croatian
enterprises have deficient HR practices, on average. Independent sample t-tests showed 61.82% of HR indicators were significantly better in the benchmark firms. Consequently, HRM in Croatia can not
be considered solid ground for achieving competitiveness through people.
相似文献
Maja VidovićEmail: |
8.
It is well-known that endogenous cycles can occur in Ramsey models with heterogeneous households and borrowing constraints.
In this note, we address the issue of robustness in the more general case of endogenous labor supply and we explain the occurrence
of local indeterminacy under progressive taxation.
相似文献
Thomas Seegmuller (Corresponding author)Email: |
9.
Elena Goldman 《Empirical Economics》2006,31(2):449-477
This paper tests an efficient market hypothesis for the Russian ruble–UK sterling exchange rates in the gold standard period 1897–1913. Using Bayesian Markov Chain Monte Carlo methods it is shown how to test a weak-form market efficiency in a doubly truncated regression model with ARMA-GARCH error. The suggested model accounts for time series characteristics of the data and bounds of exchange rates caused by the gold points and government intervention. We find that the weak-form efficiency hypothesis can not be rejected for the gold standard ruble exchange rates in both St.Petersburg and London markets.
相似文献
Elena GoldmanEmail: |
10.
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: |
11.
Gianandrea Goisis Maria Letizia Giorgetti Paola Parravicini Francesco Salsano Giovanna Tagliabue 《International Review of Economics》2009,56(3):227-242
In this article, using the data of 2008, we try to describe the impact of scale and product differentiation in 282 European
banks. While evidence of the economies of scale is less clear, the results obtained using a translogarithmic function system
show that significant economies of scope do exist even for new banking products like derivatives.
相似文献
Giovanna TagliabueEmail: |
12.
The remoteness and geography of Alaska create service access rigidities that are difficult to overcome. The delivery of basic
services like healthcare, police protection, and justice are often inadequate in rural places. The continued employment of
neoclassical assumptions in policy making is a primary reason policies fail to overcome the barriers. A broader scope of analysis
can inform the issues faced by rural residents and provide insight into alternate solutions.
相似文献
Tara NatarajanEmail: |
13.
Based on a sample of 1,084 European regions (EU15) from 1995 to 2004, we estimate the relationship between the average growth
rate of GDP per capita and the volatility of the growth rate allowing for spatial effects. The spatial lag and spatial error
models show that the regional per capita growth rate and volatility are significantly positively related on average. However,
the inclusion of country interaction terms reveals that the volatility impact is not uniform across countries. In particular,
the relationship between growth and volatility is significantly positive for the majority of countries but significantly negative
for three countries (namely Finland, Italy, and Ireland).
相似文献
Martin FalkEmail: |
14.
Sjoerd Beugelsdijk 《Journal of Evolutionary Economics》2007,17(2):187-210
In this paper, we empirically study the relationship between entrepreneurial culture and economic growth. Based on a micro
based comparison of entrepreneurs and non-entrepreneurs, we develop a measure reflecting entrepreneurial attitude at the regional
level. We subsequently relate this newly developed variable, ‘entrepreneurial culture,’ to innovativeness and economic growth
in 54 European regions. Extensive robustness analysis suggests that differences in economic growth in Europe can be explained
by differences in entrepreneurial culture, albeit mostly in an indirect way.
相似文献
Sjoerd BeugelsdijkEmail: |
15.
The paper investigates the factors affecting the equilibrium level of output in a panel of European countries. Output depends
on factor inputs and on the technology and the efficiency with which those factors are used. Efficiency may be driven by international
conditions and institutional changes such as the Single Market Programme in Europe. The technology indicators used in this
study depend upon research and development and also include the level of labour efficiency which is indexed on skills data.
The level of the capital stock depends upon the user cost of capital, which may depend upon risk and hence on the volatility
of the economy. Recent literature suggests that real exchange rate volatility is important in determining investment and therefore
has an impact on equilibrium output. A link of this form is uncovered for the European economies. If policy can reduce these
volatilities then it can also raise equilibrium output.
相似文献
Ray BarrellEmail: |
16.
Nejla Adanur Aklan Mehmet Nargelecekenler 《International Advances in Economic Research》2008,14(2):156-166
This paper estimates the backward-looking and forward-looking monetary policy reaction functions of the Central Bank of the
Republic of Turkey (CBRT) by considering the post-crisis period from August 2001 to September 2006, with a special emphasis
on inflation targeting. Policies which the CBRT applied are analyzed according to the Taylor rule. The empirical results indicate
that the CBRT followed the Taylor rule in its interest setting behaviour. In forward-looking models, the response coefficient
of inflation and the output gap is greater than that of backward-looking models. The results of forward-looking models reflect,
the policies conducted in Turkey. In the post-crisis period, expected inflation has been the main reaction variable for the
CBRT. This suggests that monetary policy over the post-crisis period was not accommodating increases in expected inflation.
The main conclusion is that ‘Taylor rule’ based monetary policies were effective in inflation targeting in Turkey.
相似文献
Mehmet NargelecekenlerEmail: |
17.
The extent to which demand and supply shocks are transmitted in the supply chain is an important topic. As many supply chains
cross international borders exchange rate pass through is an important element in this context. In this paper a multivariate
system that allow us to test different hypothesis with respect to the supply chain is specified. Our empirical analysis includes
tests of whether there is a link between the different stages in the supply chain, whether the exchange rate pass through
is complete and whether price signals are fully transmitted. Different exogeneity assumptions are testable hypothesis, and
one can avoid the simultaneity problem associated with the common single equation specifications. Moreover, one can also test
whether the exchange rate is determined outside the system, as well as testing for price leadership. An application is provided
for the supply chain for cod between Norway and Portugal.
相似文献
Frank AscheEmail: |
18.
The behavior of the exchange rate in the genetic algorithm with agents having long memory 总被引:1,自引:1,他引:0
Yiping Xu 《Journal of Evolutionary Economics》2006,16(3):279-297
This paper studies the behavior of the exchange rate in Kareken and Wallace (1981)'s model under the genetic algorithm adaptation with agents having long memory. The simulation results show that, if agents have full memory, the average portfolio fraction will converge, and the initial equilibrium that it converges to is history dependent. Under the lasting evolutionary pressure of the noise trader, the market will eventually drift from one equilibrium to another, and asymptotically will converge to the neighborhood of an equilibrium with agents putting their savings equally into two currencies. If the agents do not have full memory, the foreign exchange market will show periodic crisis. Before and after a market crises, the average portfolio fraction will converge to different stationary equilibria. A mean difference equation of the average portfolio fraction is also given to describe the dynamics of the model.
相似文献
Yiping XuEmail: |
19.
Monthly seasonally unadjusted data can exhibit roots with possibly fractional orders of integration, corresponding to the
monthly but also to the quarterly and to the long-run or trending components of the series. In this paper we use a procedure
which is suitable to test simultaneously for the order of integration of each of these components and apply it to several
US monetary aggregates.
相似文献
Guglielmo Maria CaporaleEmail: |
20.
How large is liquidity risk in an automated auction market? 总被引:2,自引:0,他引:2
We introduce a new empirical methodology that models liquidity risk over short time periods for impatient traders who submit market orders. Using Value-at-Risk type measures, we quantify the liquidity risk premia for portfolios and individual stocks traded on the automated auction market Xetra. The specificity of our approach relies on the adequate econometric modelling of the potential price impact incurred by the liquidation of a portfolio. We study the sensitivity of liquidity risk towards portfolio size and traders' time horizon, and interpret its diurnal variation in the light of market microstructure theory.
相似文献
Pierre GiotEmail: Phone: +32-81-724887 |
Joachim Grammig (Corresponding author)Email: Phone: +49-7071-2976009Fax: +49-29-5546 |