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Extreme Correlation of International Equity Markets

Longin, François; Solnik, Bruno H - C.E.P.R. Discussion Papers - 2000

Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise … and misleading results have often been reported in the past because of a spurious relationship between correlation and … volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or …

Persistent link: https://www.econbiz.de/10005504611

The Supermodular Stochastic Ordering

Meyer, Margaret A; Strulovici, Bruno - C.E.P.R. Discussion Papers - 2013

In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the `supermodular stochastic...

Persistent link: https://www.econbiz.de/10011083601

Governance and Comovement Under Common Ownership

Edmans, Alex; Levit, Doron; Reilly, Devin - C.E.P.R. Discussion Papers - 2014

derive empirical predictions for the direction of correlation and for whether governance is stronger or weaker with multiple …

Persistent link: https://www.econbiz.de/10011084086

Increased Correlation in Bear markets: A Downside Risk Perspective

Campbell, Rachel; Koedijk, Kees; Kofman, Paul - C.E.P.R. Discussion Papers - 2002

A number of studies have provided evidence of increased correlation in global financial market returns during bear … implied correlation based on portfolio downside risk measures that does not suffer from this bias. These unbiased quantile … correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple …

Persistent link: https://www.econbiz.de/10005124110

Neoclassical Growth and Commodity Trade

Cuñat, Alejandro; Maffezzoli, Marco - C.E.P.R. Discussion Papers - 2002

We construct and numerically solve a dynamic Heckscher-Ohlin model in which the initial distribution of production factors in the world makes worldwide factor price equalization impossible, and leads countries to group in two diversification cones. We study the dynamics of income per capita and...

Persistent link: https://www.econbiz.de/10005504435

An Econometric Investigation of North-South Interdependence

Beenstock, Michael - C.E.P.R. Discussion Papers - 1988

In Centre for Economic Policy Research Discussion Paper Nos. 164 and 165 I presented econometric models of the industrialized countries (North) and the oil-importing developing countries (South). This paper links the two models so that the economic interdependence between North and South can be...

Persistent link: https://www.econbiz.de/10005504466

`1992': Trade and Welfare; A General Equilibrium Model

Gasiorek, Michael; Smith, Alasdair; Venables, Anthony J - C.E.P.R. Discussion Papers - 1992

This paper investigates the consequences of the completion of the internal market in the EC using a computable general equilibrium model of trade under imperfect competition. The focus of the paper is the welfare consequences of reducing trade barriers and the changes in production and trade...

Persistent link: https://www.econbiz.de/10005504484

The Next Birth and the Labour Market: A Dynamic Model of Births in England and Wales

De Cooman, Eric; Ermisch, John F; Joshi, Heather - C.E.P.R. Discussion Papers - 1985

The object of this paper is to see how far developments in the labour market can help to explain the fluctuations in births which have been experienced over the period 1952-1980 in England and Wales. We examine separately the period rate of childless women proceeding to the first birth, mothers...

Persistent link: https://www.econbiz.de/10005656378

Globalisation and Migratory Pressures from Developing Countries: A Simulation Analysis

de Melo, Jaime; Ettinger, Charles; Faini, Riccardo - C.E.P.R. Discussion Papers - 1997

We use a Ricardo-Viner model to study the determinants of the supply of outmigration in developing countries in a model with heterogenous households. We assume that heterogeneity and migration costs prevent households from total migration. Data are calibrated to two archetypal developing...

Persistent link: https://www.econbiz.de/10005666737

The Choice of Exchange Rate Regime in Developing Countries: A Multinational Panel Analysis

von Hagen, Jürgen; Zhou, Jizhong - C.E.P.R. Discussion Papers - 2004

-effects multinomial panel models are estimated using simulation-based techniques. Explanatory variables include OCA fundamentals …

Persistent link: https://www.econbiz.de/10005789054