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1.
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: |
2.
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 |
3.
The relationship between insurance and economic growth in Europe: a theoretical and empirical analysis 总被引:1,自引:0,他引:1
The role of insurance companies, although growing in importance in financial intermediation, has received less attention than
bank and stock markets and if so, mainly as a provider of risk transfer in single country or very heterogeneous samples. We
investigate both the impact of insurance investment and premiums on GDP growth in Europe. We conduct a cross-country panel
data analysis from 1992 to 2005 for 29 European countries. We find a positive impact of life insurance on GDP growth in the
EU-15 countries, Switzerland, Norway and Iceland. For the New EU Member States from Central and Eastern Europe, we find a
larger impact for liability insurance. Furthermore our findings emphasise the impact of the real interest rate and the level
of economic development on the insurance-growth nexus. We argue that the insurance sector needs to be paid more attention
in financial sector analysis and macroeconomic policy.
相似文献
Kjell Sümegi (Corresponding author)Email: |
4.
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: |
5.
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 |
6.
We study interactions between two policymakers, central bank and government, in managing public debt as the result of a two-stage
game. In the first stage, the institutional regime is established. This determines the equilibrium solution for the second
stage, in which a differential game is played between the two policymakers. It is shown that, if the policymakers can communicate
before the game is played (multiple-equilibrium), coordination problems can be solved by using the concept of correlated equilibrium.
相似文献
Debora Di GioacchinoEmail: |
7.
Export variety and the economic performance of countries 总被引:3,自引:0,他引:3
We explore the relationship between export variety and economic development, using data on OECD countries between 1964 and
2003. We show that structural change in the world economy has a particular arrow of time leading to a growing variety of exports.
Distinguishing between related variety (within sectors) and unrelated variety (variety between sectors), we also show that
related variety stimulates growth instantaneously, while unrelated variety only promotes growth with a considerable time lag.
This finding is in line with the evolutionary notions that economic development and international trade patterns are path
dependent.
相似文献
Koen FrenkenEmail: |
8.
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: |
9.
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: |
10.
Miguel-Ángel Galindo Martín Francisco Escribano Sotos María Teresa Méndez Picazo 《International Advances in Economic Research》2007,13(2):214-221
The improvement of data statistics as well as the econometrician methods have facilitated the introduction the new variables
and factors I the economic growth analysis. In this sense, real variables have mainly been considered in the economic growth
studies, but not financial or risk management aspects. In this sense, it is interesting to analyze the relationship between
economic growth and value at risk and the feed-back process. The goal of the paper is to analyze the relationship between
economic growth and risk management and the feed-back process. We will consider economic variables, including economic growth,
rule of law, human capital, fiscal policy and monetary policy, among others, in our analysis. We will analyze the theoretical
relationships between these variables and risk and the effects of risk on economic growth. We will also develop an empirical
analysis considering the case of 15 European Union countries.
相似文献
María Teresa Méndez PicazoEmail: |
11.
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: |
12.
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: |
13.
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: |
14.
Anthony E. Bopp 《International Advances in Economic Research》2009,15(2):226-232
Hospital expenditures vary across states both in terms of the levels and growth rates. Economic status, insurance coverage
(or lack thereof), health risk factors, and demographic factors are used to explain these differences. Interestingly, the
prevalence of poverty rates across states does not seem to be a good predictor of differences in hospital expenditures but
the percent without health insurance does relate to higher hospital expenditures, when the factors listed above are all considered.
Policy discussions about universal health insurance may be missing a point if better health care coverage resulted in lower
hospital costs.
相似文献
Anthony E. BoppEmail: |
15.
A note on parental and child risk valuation 总被引:1,自引:1,他引:0
The paper develops a model that allows the estimation of parent’s valuation of own and child health, in an endogenous risk
framework, where parents can employ multiple activities to protect themselves and their children from a health risk. These
risk-reducing activities may differ in their effectiveness and their intensity of use. We suggest how to estimate the parent’s
ex ante marginal willingness-to-pay for a reduction in the ambient level of health risk, unencumbered by expected utility
terms.
相似文献
Thomas D. CrockerEmail: |
16.
We present a two-sector endogenous growth model with human and physical capital accumulation to analyze the long-run relationship
between population growth and real per capita income growth. Formal education and investment in physical capital are assumed
to be two separate components of human capital production. Along the balanced growth path equilibrium, population change may
have a positive, negative, or else neutral effect on economic growth depending on whether physical and human capital are complementary/substitutes
for each other in the formation of new human capital and on their degree of complementarity.
相似文献
Davide La TorreEmail: |
17.
Cost-Benefit Analysis (CBA) is typically portrayed as a technique for promoting efficiency in government. We don’t deny that
CBA can be used in this manner, but instead focus on a different property of CBA, namely, its evolution from scholarly musings
into a framing institution within which budgetary processes operate. The evolution of CBA into institutional status, moreover,
shows the value of bringing a polyarchical perspective to bear on fiscal organization, wherein budgetary outcomes emerge through
structured interaction among participants. CBA is a product of interaction within a political ecology, as distinct from being
the product of some person’s optimizing choice.
相似文献
Richard E. WagnerEmail: |
18.
Stuart J. Wilson 《Empirical Economics》2006,31(1):261-275
The links between economic growth, investment and migration are explored to determine if one of the mobile factors of production,
capital or labor, led the other to accumulate in Canada during several boom episodes over 1870 to 1927. The results of an
econometric analysis, using time series techniques, suggest that rising per capita incomes led to increased domestic investment
and net immigration, and that foreigners joined the investment booms after domestic residents invested in Canadian development
first.
相似文献
Stuart J. WilsonEmail: |
19.
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: |
20.
This paper investigates the response of major macroeconomic variables to four different types of tax policy innovations in
Canada within a VAR framework. The positive tax multipliers documented in the previous literature are found only for corporate
tax innovations. Our results indicate that different taxes affect output differently, and imply that the composition of total
taxes may be a major factor behind cross-country variation in the sign and magnitude of total tax multipliers.
相似文献
Faik KorayEmail: |