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1.
This article assesses the interaction between inflation and inflation uncertainty in a dynamic framework for Turkey by using
monthly data for the time period 1984–2009. The bulk of previous studies investigating the link between inflation and inflation
uncertainty employ Autoregressive Conditional Heteroskedasticity (ARCH)-type models, which consider inflation uncertainty
as a predetermined function of innovations to inflation specification. The stochastic volatility in mean (SVM) models that
we use allow for gathering innovations to inflation uncertainty and assess the effect of inflation volatility shocks on inflation
over time. When we assess the interaction between inflation and its volatility, the empirical findings indicate that response
of inflation to inflation volatility is positive and statistically significant. However, the response of inflation volatility
to inflation is negative but not statistically significant. 相似文献
2.
The effect of inflation uncertainty on inflation: Stochastic volatility in mean model within a dynamic framework 总被引:1,自引:0,他引:1
This paper investigates the effect of inflation uncertainty innovations on inflation over time by considering the monthly United States data for the time period 1976–2006. In order to investigate the effect of inflation uncertainty innovation on inflation, a Stochastic Volatility in Mean model (SVM) has been employed. SVM models are generally used to capture the innovation to inflation uncertainty, which cannot be achieved in the framework of popular deterministic ARCH type of models. Empirical evidence provided here suggests that innovations in inflation volatility increases inflation persistently. This evidence is robust across various definitions of inflation and different sub-periods. 相似文献
3.
Erkan Gören 《Oxford bulletin of economics and statistics》2018,80(3):625-658
This paper advances a new country‐level measure of ethno‐linguistic diversity, making use of Greenberg's definition of diversity by synthesizing information on the share of different ethno‐linguistic groups in a country's population and, more importantly, information on intergroup linguistic distances derived from a recently developed lexicostatistical approach. I show that this measure captures ethno‐linguistic diversity at lower levels of linguistic aggregation. However, unlike the commonly used phylogenetic language tree approach, I found that these distance‐weighted diversity measures continue to have a strong negative statistical association with economic growth that is not sensitive to the underlying resemblance function between ethno‐linguistic groups. 相似文献
4.
We propose a new approach to optimal portfolio selection in a downside risk framework that allocates assets by maximizing expected return subject to a shortfall probability constraint, reflecting the typical desire of a risk-averse investor to limit the maximum likely loss. Our empirical results indicate that the loss-averse portfolio outperforms the widely used mean-variance approach based on the cumulative cash values, geometric mean returns, and average risk-adjusted returns. We also evaluate the relative performance of the loss-averse portfolio with normal, symmetric thin-tailed, symmetric fat-tailed, and skewed fat-tailed return distributions in terms of average return, risk, and average risk-adjusted return. 相似文献
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6.
We develop a game-theoretical model in which the politicians can be influenced by means of campaign contributions of special interest groups. If there is no legally binding contract, politicians have a proclivity to divert some contributions for private use. In doing so, they maximize their own utility which depends on expected election-winning premium and amount of funds misappropriated. We study the utility maximizing fraction of expropriation emerging from the equilibrium policy platform and the associated contribution level. We then compare results under alternative scenarios, namely, one single lobby group versus multiple lobby groups and one-sided lobbying versus two-sided lobbying. 相似文献
7.
The managerial optimism literature concentrates on CEOs neglecting other executive team members. We evaluate the interplay of the optimism levels of the CEOs and CFOs of real estate investment trusts, and study their commercial real estate transactions. We find that firms led by optimistic CEO/CFO teams pay 3% more than their peers for their asset acquisitions if cash ratio increases by one percentage point. Our findings also exhibit inferior stock performance by optimistic teams following a transaction. Conversely, diversity in terms of CEO/CFO optimism prevents firms from overpaying, serving as a soft governance mechanism with salience to firm performance. 相似文献
8.
Endogenous Firm Objectives 总被引:1,自引:0,他引:1
We analyze the behavior of a monopolistic firm in general equilibrium when the firm's decisions are taken through shareholder voting. We show that, depending on the underlying distribution, rational voting may imply overproduction as well as underproduction, relative to the efficient level. Any initial distribution of shares is an equilibrium, if individuals do not recognize their influence on voting when trading shares. However, when they do, and there are no short–selling constraints, the only equilibrium is the efficient one. With short–selling constraints typically underproduction occurs. It is not market power itself causing underproduction, but the inability to perfectly trade the rights to market power. 相似文献
9.
This paper investigates the effects of the energy efficiency and sustainability of commercial properties on the operating and stock performance of a sample of US REITs, providing insight into the net benefits of green buildings. We match data on LEED- and Energy Star-certified buildings with detailed information on REIT portfolios and calculate the share of green properties for each REIT over the 2000–2011 period. We estimate a two-stage regression model and document that the greenness of REITs is positively related to three measures of operating performance – return on assets, return on equity and the ratio of funds from operations to total revenue. We also document that there is no significant relationship between the greenness of property portfolios and abnormal stock returns, suggesting that stock prices already reflect the higher cash flows deriving from investments in more efficient properties. However, REITs with a higher fraction of green properties display significantly lower market betas. 相似文献
10.
Erkan Gürpınar 《Journal of Evolutionary Economics》2016,26(3):501-518
This paper provides a framework with which to analyze organizational forms in the knowledge economy. We focus on an important trade-off facing modern firms: firms can acquire the property of all the innovations developed by their employees and can greatly increase their profits, yet this type of private intellectual property rights regime can discourage the innovative effort of the very same workers. Allowing workers to carry their knowledge outside the firm eliminates this disincentive. Hence, strategic complementarities may exist between innovative partners and a disclosure driven intellectual property rights regime, and passive employees and a private intellectual property rights regime. An evolutionary game theoretic model demonstrates these strategic complementarities and shows when economies tend towards disclosure driven or private intellectual property rights regimes. 相似文献