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11.
This study examines the transmission and response of inflation uncertainty and output uncertainty on inflation and output growth in the UK using a bi-variate EGARCH model. Results suggest that inflation uncertainty has positive and significant effects on inflation before the inflation-targeting period, but that the effect is significantly negative after the inflation-targeting period. On the other hand, output uncertainty has a negative and significant effect on inflation and a positive effect on growth, while oil price rises significantly increase inflation for the UK. Results also indicate that inflation uncertainty significantly reduces output growth before and after the inflation-targeting period. These findings are robust and the Generalized impulse response functions corroborate the conclusions. These results have important implications for an inflation-targeting monetary policy, and for stabilization policy in general. 相似文献
12.
An appropriate stochastic model was fitted to one year of data on the implied volatility of options on 90 day bank accepted bill futures contracts traded in the Sydney Futures Exchange. The model used was ARIMA augmented with day of the week variables, an option time to maturity variable, and recent values of historic volatility. The high ex-post predictive accuracy of the model was then employed as the central element of a strategy of buy low/sell high volatility.We employed two trading schemes with suitably constructed Delta neutral portfolios comprising bill futures and call and put options on those futures over a period of six months, to test whether speculative trading profit could be earned. The existence of trading profits before transaction costs validated the potential of the buy low/sell high volatility strategies to generate speculative profits. The absence of any such trading profits after transaction costs however, showed that the market pricing of these securities is such that the dependencies within implied volatility cannot be profitably exploited.This result may be interpreted as evidence supporting an hypothesis of a semi-strong form of market efficiency. 相似文献
13.
This paper investigates the robustness of variance-balanced row-column designs for complete diallel cross experiments for
estimating the comparisons among the general combining ability parameters against the loss of observations. A necessary and
sufficient condition of robustness as per connectedness criterion is obtained. The robustness of optimal row-column designs
of Gupta and Choi (1998) has been investigated for the loss of any m(≥1) observations in a column and for the loss of any two observations in the design. The study of robustness has also been
conducted as per A-efficiency criterion. 相似文献
14.
The purpose of this paper is to promote a greater understanding of the implications of oil price changes on the equity investment climate in Russia. A dynamic bivariate exponential general autoregressive conditional heteroscedastic (EGARCH) analysis shows that global oil price returns have significant impact on Russian equity returns and volatility. At the same time, a dynamic correlation analysis highlights Russia's importance in the international geopolitical scene and its positioning as a reliable supplier of oil during times of turmoil in the Middle East. There are a number of challenges, however, that threaten to slow down the performance of the oil industry in Russia and compromise the country's future economic growth and stock market performance. 相似文献
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16.
Ramaprasad Bhar 《期货市场杂志》2001,21(9):833-850
This article provides evidence of linkages between the equity market and the index futures market in Australia, where the futures market has experienced a major structural event due to the futures contract respecification. A bivariate Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model is developed that includes a cointegrating residual as an explanatory variable for both the conditional mean and the conditional variance. The conditional mean returns from both markets are influenced by the long‐run equilibrium relationship, and these markets are informationally linked through the second moments. The crossmarket spillovers exhibit asymmetric behavior in that the volatility responses to past standardized innovations are different for market advances and market retreats. An intervention analysis shows that some of the parameters describing the return‐generating process have shifted after the contract respecification by the futures exchange. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:833–850, 2001 相似文献
17.
Productivity of blast furnaces in India is studied by disaggregating the production process and the utilization process. A dimension‐reducing nonparametric approach—projection pursuit regression—is used. We find that productivity can be increased significantly by improving the quality of coal. There is no evidence that executives have a positive marginal product. The production workers have a negative marginal product for the production process and a positive one for the utilization process. But the training of executives has a positive effect whereas that of the production workers has a negative effect on productivity. Copyright © 2004 John Wiley & Sons, Ltd. 相似文献
18.
R. Bhar 《Asia-Pacific Financial Markets》1994,1(2):101-109
This paper examines evidence of long-term memory in the yen/dollar price change as well as in the daily estimate of volatility
of the exchange rate series. The methodology used is due to Lo (1989) which is robust to the presence of heteroscedasticity
and is applied to a ten year data set. The result shows no evidence of long-term memory in the price change series indicating
efficient pricing by the market participants. The volatility series, however, shows evidence of long-term memory which may
have implications for traders dealing with long lived assets. 相似文献
19.
In this paper, we propose a discrete version of the short-term and long-term component model of the agricultural futures prices.
The maximum likelihood estimate of each parameter is obtained using an adaptive filtering algorithm. The diagnostics statistically
support the specification of the model. The short-term components exhibit no causal relationship with economic fundamentals
such as inflation rate and economic growth rate. These components, therefore, seem to be driven mainly by fads rather than
market fundamentals. On the other hand, the long-term components show conitegrating relationship with only one cointegrating
vector among the three futures contracts examined.
We are grateful to an anonymous referee for many helpful comments and suggestions. Second author’s research is in part supported
by a grant-in-aid of Japan Economic Research Foundation and Japan Society for the Promotion of Science 相似文献
20.
The objectives are to discern how the three financial sectors’ credit default swap (CDS) spreads interrelate to each other and with three other risks in terms of possible contagion, competition, interdependence and independence relations under the full sample and two subperiods: the 2007 Great Recession and the 2009 Recovery, and to assess the impact of QE1 on those risks in the second subperiod. The results indicate that the own and cross‐effects among the CDSs and the other risk measures are significant and mixed, but all in all contagion is dominant. The system has become less stable and less adjusting to the equilibrium in the first subperiod. QE1 in the second period decreases risks but increases inflationary expectations. 相似文献