共查询到20条相似文献,搜索用时 187 毫秒
1.
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 |
2.
Christian Müller 《Empirical Economics》2006,31(3):755-776
This paper investigates how firms’ market power affects the price level. Based on a small macro-model it is shown empirically that firms have structural markup pricing power and take advantage of favourable business cycle fluctuations. To this aim, a multivariate time series model with double integrated variables is estimated. Thereby a model-based business cycle indicator can be derived. Its information content is confronted with survey data giving rise to what is going to be called semantic cross validation approach.
相似文献
Christian MüllerEmail: Phone: +41-44-6324624Fax: +41-44-6321218 |
3.
This paper empirically tests the law of one price by applying unit root tests to three panels consisting of data on 90 consumer
price indices for the EU-25, the EU-15 and the 10 new EU member countries that joined the EU in 2004. The four major findings
of this paper are: (1) panel unit root tests find evidence of price convergence for about 70% of all product groups, (2) the
results are sensitive to the choice of the numeraire country implying that any conclusions must be based on all bilateral
combinations, (3) the average half life across all product groups is 2.0 years, (4) the overall evidence for the law of one
price is weaker in the 10 new EU member countries than in the EU-15.
相似文献
Isabell Koske (Corresponding author)Email: |
4.
Education and its intergenerational transmission: country of origin-specific evidence for natives and immigrants from Switzerland 总被引:1,自引:0,他引:1
This study compares the intergenerational transmission of educational attainment across immigrant groups using the Swiss Census 2000. Determinants of educational outcome and educational mobility are examined. A child’s educational opportunity depends on its parental background. Not only the effect of parental human capital but also other determinants of child educational attainment vary depending on the child’s nationality. Overall educational upward mobility is more pronounced among second generation immigrants than among natives. Children of Turkish, Portuguese and former Yugoslavian origin appear to be most disadvantaged in the process of human capital formation.
相似文献
Regina T. RiphahnEmail: Phone: +49-911-5302268Fax: +49-911-5302178 |
5.
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: |
6.
Recent data on the accumulation patterns of public debt across OECD countries suggests a synthesis is possible between the theoretical and empirical approaches to public debt and also between the traditional and more recent political economy explanations of public debt accumulation. The inductive approach of recent political economy explanations is combined with the intertemporal constraints highlighted in the Ricardian–Barro theory to present a reinterpretation of cross-country debt accumulations patterns. Like the elephant in the blind men and the elephant fable, the conclusion is glaringly obvious. Formal and informal budgetary constraints matter.
相似文献
John ConsidineEmail: Phone: +353-21-490-2850Fax: +353-21-427-3920 |
7.
The Political Foundations of Development: The Case of Botswana 总被引:1,自引:0,他引:1
Unlike many of its fellow sub-Saharan countries, Botswana has avoided the African Growth Tragedy. The success lied in the
ability of the government of Botswana to successfully adopt growth-enhancing policies. We argue that the success stems from
three factors. First, the government enhanced its legitimacy by relying on traditional sources of authority. Second, the traditional
leaders pursued policies that legitimized the political system. Third, the government did not expend resources on military
expenditures during its first decade. The interaction of these factors explain Botswana’s success.
相似文献
Scott A. BeaulierEmail: Phone: +478-301-2836Fax: +478-301-2635 |
8.
The paper constructs an asymmetric information model to investigate the efficiency and equity cases for government mandated benefits. A mandate can improve workers’ insurance, and may also redistribute in favour of more ‘deserving’ workers. The risk is that it may also reduce output. The more diverse are free market contracts—separating the various worker types—the more likely it is that such output effects will on balance serve to reduce welfare. It is shown that adverse effects can be reduced by restricting mandates to larger firms. An alternative to a mandate is direct government provision. We demonstrate that direct government provision has the advantage over mandates of preserving separations.
相似文献
John T. AddisonEmail: Phone: +1-803-7774608Fax: +1-803-7776876 |
9.
Pierre-Guillaume Méon 《Constitutional Political Economy》2006,17(3):207-216
This note studies the volatility of the policy chosen by a committee whose members’ preferences are volatile, due to common and individual preferences shocks. It is shown that majority voting mitigates the latter but not the former. The volatility of the policy is smaller the smaller the volatility of members’ preferences, smaller the larger the size of the committee, and smaller than if it was chosen by a single member. The results hold in a context of uncertainty and with multidimensional issues.
相似文献
Pierre-Guillaume MéonEmail: Phone: +32-2-650-66-48 |
10.
Ivar Kolstad 《Journal of Evolutionary Economics》2006,16(3):321-336
A model of repeated play of a coordination game, in which stage games have a location in social space and players receive noisy signals of the true location of their games, is reviewed. Sugden (1995) (The coexistence of conventions. J Econ Behav Organ 28:241–256) suggests that, in such a model, there can be a stationary state of convention coexistence only if interaction is non-uniform across social space. This paper shows that an alternative definition of conventions, which links conventions to actions rather than expectations, permits convention coexistence when interaction is uniform. To assess robustness, the concept of a global mutant is introduced, to which certain states of coexistence are robust.
相似文献
Ivar KolstadEmail: Phone: +47-55-574239Fax: +47-55-574166 |
11.
12.
Jianpei Li 《Portuguese Economic Journal》2009,8(2):119-136
This paper analyzes the efficiency of team production when risk-neutral agents exhibit other-regarding preferences. It is
shown that full efficiency can be sustained as an equilibrium of a budget-balancing mechanism that punishes some randomly
chosen agents if output falls short of the efficient level but distributes output equally otherwise. The result depends on
agents being sufficiently inequity-averse.
相似文献
Jianpei LiEmail: |
13.
Andrew Roberts 《Constitutional Political Economy》2009,20(2):99-117
This paper analyzes the causes and consequences of constitutional amendments in Eastern Europe. Its results challenge the
conventional wisdom that constitutional change is a consequence of institutions and that major changes will increase executive
powers and limit rights. It finds that the political and social context rather than institutions is the main cause of amendments.
These amendments moreover tend to reduce the power of executives and strengthen guarantees of human rights. The paper attributes
these results to the particular circumstances of the postcommunist transition.
相似文献
Andrew RobertsEmail: |
14.
The authors welcome criticisms emanating from neoclassical critics of Austrian economics. We congratulate Laidler for transcending
the usual modes of macroeconomic analysis to take on praxeological considerations. This paper should be interpreted as a welcome
for his efforts in the hope that they will be widely emulated within the profession.
相似文献
William Barnett IIEmail: |
15.
We produce Monte Carlo evidence on the size and power of the RESET, a heteroscedasticity test, and a test for autocorrelation applied to realistic distributed-lag models. We find that the autocorrelation test has the correct size and high power to detect not only autocorrelation (given a correct model), but also the erroneous omission of several lags of an explanatory variable, whereas the RESET and heteroscedasticity tests are oversized in the presence of positive disturbance autocorrelation, especially when the regressors are also positively autocorrelated, and have no power to detect such misspecification errors. In large samples, size distortion may be avoided by using autocorrelation-robust methods.
相似文献
Athanassios StavrakoudisEmail: |
16.
In the literature on European monetary integration Germany and Italy are mostly strongly contrasted. However, this paper argues that there were important similarities between the policy paradigms in these two countries, in particular if a broader historical perspective is adopted. This work analyses the policy paradigms towards European monetary integration in Italy and Germany. Moreover, it contextualises these paradigms into the national institutional setting: while Germany was characterised by power sharing institutions, Italy featured power fragmentation (something which also affected the economic performance of both countries). There were significant differences between the policy paradigms of foreign policy-makers and economic policy-makers. Foreign policy makers, in both countries, under the influence of a European federalist vision, were strongly in favour of European monetary integration. These beliefs of foreign policy decision makers were crucial in charting EMU policy at history-making moments. The pro EMU policy paradigms of foreign policymakers contrasted, during most of the period covered, with the more sceptical beliefs of economic policy makers. In both countries, economic policy-makers, at different moments, had doubts whether enough “convergence” had been reached to make a more stable exchange rate system sustainable.
相似文献
Ivo MaesEmail: Phone: +32-2-2212796Fax: +32-2-2213162 |
17.
Dimitris K. Christopoulos 《Empirical Economics》2006,31(3):601-611
This paper uses non-linear models to investigate non-stationarity of real GDP per capita for seven OECD countries over the period 1900–2000. Unit root tests based on non-linear models are more powerful than traditional ADF statistics in rejecting the null unit root hypothesis. Empirical results show that, contrary to what the linear ADF statistics suggest, stationarity characterizes five out of the seven countries. This finding stands at variance with other recent studies which conclude that movements in real GDP per capita can be characterized as a non-stationary process.
相似文献
Dimitris K. ChristopoulosEmail: |
18.
Krzysztof Kompa Aleksandra Matuszewska-Janica 《International Advances in Economic Research》2009,15(1):59-70
The Warsaw Stock Exchange (WSE) has been operating in present form for 15 years. WSE is regarded as an “emerging market”.
We can observe that it is still developing (in order to become “developed market”). The level of development is often analyzed
with reference to the efficiency of the market. We can say that the capital market is efficient if the prices at the market
fully reflect all available information. The aim of the presented research is to analyze the current situation at the Warsaw
Stock Exchange. Particularly we investigate the weak form of efficiency using selected statistical tests. The research is
based on actual data concerning daily observations of shares at the Warsaw Stock Exchange transformed to the logarithmic rates
of return, considering the period 2000–2006 and subperiods: the bear market, stagnation and the bull market.
相似文献
Aleksandra Matuszewska-Janica (Corresponding author)Email: |
19.
Stefan Mann 《Forum for Social Economics》2007,36(1):29-42
Social scientists are reluctant to make explicit interpersonal comparisons of well-being. However, implicit comparisons are
made on a surprisingly regular basis. These comparisons are based on the wealth and the Kaldor–Hicks concept in utility theory
and on self-reported well-being in happiness research. Taking a utilitarian stance, this paper tests the ethical foundations
of both principles. While self-reported well-being serves as an acceptable proxy for utilitarian decision-making, the Kaldor–Hicks
concept does not appear so. Implications for evaluating policies are outlined.
相似文献
Stefan MannEmail: |
20.
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: |