排序方式: 共有13条查询结果,搜索用时 492 毫秒
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Finbarr Livesey 《Journal of Industry, Competition and Trade》2012,12(3):349-363
This paper proposes a framework for thinking about industrial policy based on the maturity of a given industry in a country contrasted to the maturity of the industry in a global sense. Existing models for industrial policy tend to be based on the issues faced by emerging economies. By providing a coherent framework for rationales for industrial policy that spans both developed and developing economies, we can assess various industries and discuss the merits of providing support on a comparable basis. The paper provides examples of using the framework to discuss how it can be used and how it could be developed as a strategic tool for policy makers in leading economies. 相似文献
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This paper investigates the price and volatility relationship in European short-term interest rate markets. Cointegration analysis is used to analyse the long and short run relationship and a GARCH BEKK model is estimated to analyse the volatility transmission between the markets. The stability of the long run relationship is also examined using Bai and Perron (Econometrica 66(1),47–78, 1998, J Appl Econ 18(1):1–22, 2003) structural break methodology. The results show that the relationship between the EURIBOR spot deposit rate and the EURIBOR future contract has changed significantly since 2001 and several structural breaks are present in the 13 year sample period. During periods where there is a long run relationship present the spot deposit rate generally leads the future rate in price discovery. In the short run there is bi-directional causality present between the markets. There is also significant evidence of volatility transmission from the spot market to the futures market throughout the sample period. 相似文献
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Darren Shannon Tim Jannusch Florian David‐Spickermann Martin Mullins Martin Cunneen Finbarr Murphy 《Risk Management & Insurance Review》2021,24(1):5-35
The introduction of connected and autonomous vehicles (CAVs) to the road transport ecosystem will change the manner of collisions. CAVs are expected to optimize the safety of road users and the wider environment, while alleviating traffic congestion and maximizing occupant comfort. The net result is a reduction in the frequency of motor vehicle collisions, and a reduction in the number of injuries currently seen as “preventable.” A changing risk ecosystem will introduce new challenges and opportunities for primary insurers. Prior studies have highlighted the economic benefit provided by reductions in the frequency of hazardous events. This economic benefit, however, will be offset by the economic detriment incurred by emerging risks and the increased scrutiny placed on existing risks. We posit four plausible scenarios detailing how an introduction of these technologies could result in a larger relative rate of injury claims currently characterized as tail‐risk events. In such a scenario, the culmination of these losses will present as a second “hump” in actuarial loss models. We discuss how CAV risk factors and traffic dynamics may combine to make a second “hump” a plausible reality, and discuss a number of opportunities that may arise for primary insurers from a changing road environment. 相似文献
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We use a vector autoregressive approach to investigate the determinants of US Dollar LIBOR and Euribor swap spread variation
during the 2007–2009 crisis in global credit and money markets. Using market-quoted yield and spread data from the highly
liquid credit default swap (CDS) and overnight index swap (OIS) markets, we provide compelling empirical evidence that liquidity
risk factor shocks have been the dominant drivers of the variation in swap spreads over this period. Our findings provide
an explanation for the temporal differences that liquidity shocks have on swap spreads and provide a contemporary perspective
on the dynamical interplay between credit-default and liquidity risk-factors in these markets. As all our risk-factor proxies
are traded in liquid derivatives markets, our findings have implications for proprietary hedge fund traders hedging an exposure
to swap-spread risk, for bank treasurers managing their liquidity requirements and for central bankers seeking to better understand
the response of markets to their macroeconomic policy implementation and liquidity management actions. Indeed our markets-based
analysis suggests that the European Central Bank (ECB) has underperformed relative to the Federal Reserve in terms of the
differing levels of market confidence placed in its macroeconomic policy actions and remedial liquidity interventions during
the period. 相似文献
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Eamonn M. McAlea Martin Mullins Finbarr Murphy Syed A.M. Tofail Anthony G. Carroll 《Journal of Risk Research》2016,19(4):444-460
Concerns surrounding the health risk of engineered nanomaterials, effective regulation and the lack of specifically tailored insurance products for the nanotechnology sector are putting the industry’s long-term economic viability at risk. From the perspective of the underwriter, this article speculates on the relationship between risk perception, regulation and insurability. In the nanotechnology sector, regulators are currently failing to keep pace with innovation, and insurers generally lack guiding principles for underwriting occupational risk from nanomaterial exposure. Such vulnerabilities when combined with misguided risk perceptions can lead to the overpricing of risk transfer and ill-conceived regulatory initiatives, thus potentially exhausting resources and stifling innovation in the sector. In the absence of well-developed regulatory protocols, the insurance industry has, and will continue, to occupy a key role as an effective lobby in terms of improved risk management practice. We suggest that the insurance industry will increasingly rely on control banding frameworks and ‘risk mitigation at source’ methods developed in conjunction with their clients to manage severe acute diversifiable risks. Long tail risk will continue to represent a serious challenge to insurers and regulators. In the meantime, insurers will have to bridge their current needs with improvised solutions. As an example of one possible solution, we outline a framework that utilizes financial instruments to hedge an insurer’s exposure to uncertain estimates of these long-term risks. 相似文献
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D.A Livesey 《Journal of Economic Theory》1973,6(2):144-161
The optimal allocation of urban land between the generation of traffic and the carrying of traffic which minimizes congestion costs is derived for a circular city. Unlike previous work which dealt only with the suburbs, this paper deals with both the suburbs and the central business district. This wider view of the problem leads to different conclusions, the most important of which is the fact that at no point in the city is all the land used for transportation. Existence of a maximum size for a city of a given working population, which is independent of relative land and congestion costs, is also discussed with special reference to the case where there is no land rent. 相似文献
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We utilise novel functional time series (FTS) techniques to characterise and forecast implied volatility in foreign exchange markets. In particular, we examine the daily implied volatility curves of FX options, namely; Euro/United States Dollar, Euro/British Pound, and Euro/Japanese Yen. The FTS model is shown to produce both realistic and plausible implied volatility shapes that closely match empirical data during the volatile 2006–2013 period. Furthermore, the FTS model significantly outperforms implied volatility forecasts produced by traditionally employed parametric models. The evaluation is performed under both in-sample and out-of-sample testing frameworks with our findings shown to be robust across various currencies, moneyness segments, contract maturities, forecasting horizons, and out-of-sample window lengths. The economic significance of the results is highlighted through the implementation of a simple trading strategy. 相似文献
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