Similar Search Results

How economic, political and institutional factors influence the choice of exchange rate regimes? : new evidence from selected countries of the MENA region

Maraoui, Najia; Hadj Amor, Thouraya; Khefacha, Islem; … - 2022

regimes, using data on eight MENA (Middle East and North Africa) countries over the 1984-2016 period. Specifically, we run … role in determining the exchange rate regime in MENA countries: a democratic political regime and a low level of corruption … implications for policy makers in MENA countries. …

Persistent link: https://www.econbiz.de/10013177144

The micro dynamics of macro announcements

Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - 2013

We examine how regularly scheduled macroeconomic announcements for the U.S., Germany and the euro area affect the German stock market, using high-frequency, minute-by-minute DAX data. Our study extends the literature on high-frequency announcement effects in several ways. First, we account for...

Persistent link: https://www.econbiz.de/10010190208

Cointegration of matched home purchases and rental price indexes : evidence from Sinpagore

Baltagi, Badi H.; Li, Jing - 2015

This paper exploits the homogeneity feature of the Singapore private residential condominium market and constructs matched home purchase price and rental price series using the repeated sales method. These matched series allow us to conduct time series analysis to examine the long-term present...

Persistent link: https://www.econbiz.de/10011350189

How to measure financial market efficiency? : a multifractality-based quantitative approach with an application to the European carbon market

Sattarhoff, Cristina; Gronwald, Marc - 2018

This paper proposes a new measure for the evaluation of financial market efficiency, the so-called intermittency coefficient. This is a multifractality measure that can quantify the deviation from a random walk within the framework of the multifractal random walk model by Bacry et al. (2001b)....

Persistent link: https://www.econbiz.de/10011864306

Rational information choice in financial market equilibrium

Mündler, Marc Andreas (contributor) - 2005

Adding a stage of signal acquisition to the expected utility model shows that Bayesian updating results in a well defined law of demand for financial information when asset return distributions are conjugate priors to signals such as in the gamma-Poisson case. Signals have a positive marginal...

Persistent link: https://www.econbiz.de/10002756259

Dynamic trading and asset prices : Keynes vs. Hayek

Cespa, Giovanni; Vives, Xavier - 2009

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...

Persistent link: https://www.econbiz.de/10003897551

Predictability of asset returns and the efficient market hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10003983206

Price formation on the EuroMTS platform

Caporale, Guglielmo Maria; Girardi, Alessandro - 2010

This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...

Persistent link: https://www.econbiz.de/10003937257

Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity

Manzano Tovar, Carolina; Vives, Xavier - 2010

We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...

Persistent link: https://www.econbiz.de/10003994517

Simultaneous search and network efficiency

Gautier, Pieter; Holzner, Christian - 2011

When workers send applications to vacancies they create a network. Frictions arise if workers do not know where other workers apply to (this affects network creation) and firms do not know which candidates other firms consider (this affects network clearing). We show that those frictions and the...

Persistent link: https://www.econbiz.de/10009239488