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1.
Luigi Prosperetti 《International Review of Economics》2009,56(3):265-273
The article briefly outlines how the two major structural causes of the financial crisis have been a massive underestimation
of the negative externalities potentially arising from malfunctioning of financial markets, and the policy decision to assign
the production of an eminently public good, financial stability, to private parties. Both ideas have been a tenet of the so-called
Greenspan doctrine. The crisis also shows that all regulators tend to be captured in the end, and thus any new legislation
should contain bright-line rules, that might look inefficient when assessed with reference to the market they regulate, but
are socially efficient, because it would be politically costly to alter them. Criminal sanctions, which after all are a social
form of regulation, should also be strengthened.
相似文献
Luigi ProsperettiEmail: |
2.
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: |
3.
Pier Luigi Porta 《International Review of Economics》2009,56(3):251-263
The current crisis is triggering off a number of overdue reflections and interventions. The need for closer regulation of
the financial system is widely perceived to be necessary. That is no doubt necessary, but probably insufficient. A careful
overhaul of the functions of the banking and financial system is also needed. Our forefathers, at the time of the Great Depression,
were perhaps less demurring to trim a bloated financial system.
相似文献
Pier Luigi PortaEmail: |
4.
We use the Markov regime-switching ARCH (SWARCH) model of Hamilton and Susmel (J Econometrics 64:307–333, 1994) to document the presence of high volatility regimes in six Latin American countries (Argentina, Brazil, Chile, Mexico, Peru,
and Venezuela). We found four high volatility episodes, each associated to either a local (the Mexican crisis of 1994, the
Brazilian crisis of 1998–1999, the Argentinean crisis of 2001–2002) or a worldwide financial crisis (the Asian financial crisis
of 1997). However, we found that the effects of each financial crisis are short-lived and that between 2 and 4 months after
each crisis, all markets return to low volatility regimes.
相似文献
Stephen K. PollardEmail: |
5.
European policy makers, notably in the euro area, seem to take for granted that the electorate will punish them for bold reform
in product and labour markets. This may explain why progress in the euro area has been comparatively limited. This paper posits
and, using a dataset for 21 OECD countries, shows that this fear of electoral backlashes is unfounded, provided that financial
markets work well. The mechanisms involved are relatively straightforward: well functioning financial markets “bring forward”
future yields of structural reform to the present, thus permitting to overcome possible short-run costs. As a result, the
electorate tend to reward, not punish, reformist governments. This has important implications for the design of structural
reform packages, with financial market reforms being an essential ingredient beside product and labour market reforms.
相似文献
Paul van den NoordEmail: |
6.
Dilip K. Das 《International Review of Economics》2009,56(1):85-104
In the recent past, the operations of the capital-rich Sovereign-Wealth Funds (SWFs) went on increasing in the global capital
markets. As the global economic crisis that started in 2007 deepened, SWF operations dramatically spurted, leading to further
progressive increase in their significance for the global capital markets. For all appearances they are going to be important
financial players in the foreseeable future. This article focuses on the basic concept of SWFs, their structure and operations.
It attempts to analyze and elucidate on them. Notwithstanding the fact that SWFs are an instrument of enhancing liquidity
and financial resource allocation in the international capital market, they managed to become a source of controversies. Consequently
they became a source of escalation in financial protectionism in several advanced industrial economies, in particular the
USA. The article concludes that this was unwarranted. Recently SWFs have attempted to device an array of best practices to
improve the transparency of their global financial operations. These measures are expected to enhance the acceptance of SWFs
as well as global recognition of their operations. They would also help in dispelling the negative image that SWFs have held
in several advanced industrial economies.
相似文献
Dilip K. DasEmail: |
7.
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: |
8.
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: |
9.
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: |
10.
Using data from the Austrian retail gasoline market we find that a higher station density reduces average prices. Market (i.e. ownership) concentration does not significantly affect average price, however is negatively related to the density of stations. Estimation of the pricing and entry equations as simultaneous equations does not alter our conclusions, and suggests causality running from station density to price. We argue that the spatial dimension of markets allows the identification of market conduct, which is particularly relevant for competition policy.
相似文献
Klaus GuglerEmail: |
11.
In this paper we develop a dynamic model for integer counts to capture fundamental properties of financial prices at the transaction level. Our model relies on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the price changes. Since the model is capable of capturing a wide range of discrete price movements it is particularly suited for financial markets where the trading intensity is moderate or low. We present the model at work by applying it to transaction data of two shares traded at the NYSE traded over a period of one trading month. We show that the model is well suited to test some theoretical implications of the market microstructure theory on the relationship between price movements and other marks of the trading process. Based on density forecast methods modified for the case of discrete random variables we show that our model is capable to explain large parts of the observed distribution of price changes at the transaction level.
相似文献
Winfried PohlmeierEmail: Phone: +49-7531-882660Fax: +49-7531-884450 |
12.
The purpose of this paper is to investigate the impact of innovation quality as a success factor of companies that satisfy
demand in government-subsidized science-based markets. This paper focuses on the Photovoltaic market in Germany as a case
study. It carries out the analysis in three stages. First, the efficiency of photovoltaic product characteristics is examined
using data envelopment analysis (DEA). Second, by means of a metric re-scaling approach, the technical improvement of solar
modules offered on the German market is analyzed over time. Next, the results of the second stage are compared to demand growth
(evolution of market shares). In conclusion, it can be shown that innovation quality in science-based markets is often an
explanation of long-term growth, but occasionally a reduction of performance characteristics meets demand.
相似文献
I. HallerEmail: |
13.
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: |
14.
Steve Fleetwood 《The Review of Austrian Economics》2007,20(4):247-267
Theory and policy relating to labor markets is dominated by the mainstream labor market model, although a less well-known,
socioeconomic version can also be identified. The mainstream model is methodologically flawed and forced, thereby, to relegate
any (serious) investigation of labor market institutions and/or social structures to the margins of its analysis. The socioeconomic
account is not so much methodologically flawed, as methodologically ambivalent. While this ambivalence does not actually prevent
the investigation of institutions and/or social structures, it does promote ambiguity whenever we inquire into the precise nature of the interaction between them and labor markets. Insights from Austrian economics, when used in collaboration with critical
realist methodology, can play a part in augmenting the socioeconomic account, generating a totally new approach to the analysis
of labor markets.
相似文献
Steve FleetwoodEmail: |
15.
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 |
16.
Austrian themes,data, and sports economics 总被引:1,自引:1,他引:0
Stephen Shmanske 《The Review of Austrian Economics》2007,20(1):11-24
This paper uses data from Major League Baseball and themes from Moneyball by Michael Lewis to empirically illustrate Kirznerian entrepreneurship. While Kirzner envisioned competition in markets for
profit, the sports economics literature shows that sporting competition has things in common with market competition. This
is important because a strength of sports economics, namely, the abundant data, can help overcome a perceived weakness of
Austrian economics, namely, the lack of empirical content. This paper describes and empirically confirms how certain front
office decision makers of the Oakland Athletics were alert to opportunities that were being overlooked by other baseball executives.
相似文献
Stephen ShmanskeEmail: |
17.
Does population density matter in the process of matching heterogeneous job seekers and vacancies? 总被引:1,自引:0,他引:1
This paper studies the matching of job seekers and vacant jobs using data on local labour markets. We estimate differences
in the ability of the local markets to form new matches and trace whether these differences can be explained by the differing
population densities across markets or by the heterogeneity of job seekers measured by the distribution of their education
level. We find that high-density areas are more efficient in forming matches than other areas despite frictions caused by
the wider heterogeneity of job seekers in those areas than elsewhere.
相似文献
Jukka LahtonenEmail: |
18.
Mina Baliamoune-Lutz 《International Advances in Economic Research》2008,14(4):422-432
We explore the short-run dynamics and long-run relationship between income and financial development in Algeria, Egypt, and
Morocco. We use co-integration and VECM models and four indicators of financial development. The empirical results indicate
that there is a long-run relationship between income and each financial development indicator, except credit to the private
sector in Algeria. On the other hand, Granger-causality test results indicate that the evidence on the direction of causality
is mixed.
相似文献
Mina Baliamoune-LutzEmail: |
19.
Evolutionary targeting 总被引:1,自引:1,他引:0
Evolutionary Targeting is a dynamic, systems-evolutionary policy perspective which focuses on triggering, re-enforcing and
sustaining market-led evolutionary processes of emergence of Multiagent Structures (industries, clusters, markets, etc). A major aspect is leveraging existing successes in firms to promote emergence of such
structures. This requires discrete policy interventions directed at varying areas of system/market failure, which make their
appearance at difference phases of the overall process. The paper briefly illustrates the approach through an analysis of
VC policies in Israel and selected European countries, and by referring to the traditional view of Infant Industry development and existing views on high tech cluster development. The resulting framework of analysis, which differs radically
from the ‘Picking Winners’ policies of the past and from the successful targeting of infant industries in Korea and post war
Japan, seems to fit the increasingly turbulent and high return/high risk global environment prevailing today.
相似文献
Morris TeubalEmail: |
20.
Order aggressiveness and order book dynamics 总被引:2,自引:0,他引:2
In this paper, we study the determinants of order aggressiveness and traders’ order submission strategy in an open limit order book market. Applying an order classification scheme, we model the most aggressive market orders, limit orders as well as cancellations on both sides of the market employing a six-dimensional autoregressive conditional intensity model. Using order book data from the Australian Stock Exchange, we find that market depth, the queued volume, the bid-ask spread, recent volatility, as well as recent changes in both the order flow and the price play an important role in explaining the determinants of order aggressiveness. Overall, our empirical results broadly confirm theoretical predictions on limit order book trading. However, we also find evidence for behavior that can be attributed to particular liquidity and volatility effects.
相似文献
Nikolaus HautschEmail: |