Showing 1 - 10 of 74
We use changes in Brazil’s tax on capital inflows from 2006 to 2011 to test for direct portfolio effects and externalities from capital controls on investor portfolios. The analysis is structured based on information from investor interviews. We find that an increase in Brazil’s tax on...
Persistent link: https://www.econbiz.de/10011605501
We use changes in Brazil's tax on capital inflows from 2006 to 2011 to test for direct portfolio effects and externalities from capital controls on investor portfolios. The analysis is structured based on information from investor interviews. We find that an increase in Brazil's tax on foreign...
Persistent link: https://www.econbiz.de/10013103299
Market participants often invest in order to acquire information that pertains to the market itself (e.g. order flow) rather than to fundamentals. This enables them to infer more information from past trades. I show that agents trading on such information, typically high-frequency traders,...
Persistent link: https://www.econbiz.de/10011605590
Market participants often invest in order to acquire information that pertains to the market itself (e.g. order flow) rather than to fundamentals. This enables them to infer more information from past trades. I show that agents trading on such information, typically high-frequency traders,...
Persistent link: https://www.econbiz.de/10013082533
In 1936, John Maynard Keynes proposed that emotions and instincts are pivotal in decision-making, particularly for investors. Both positive and negative moods can influence judgments and decisions, extending to economic and financial choices. Intuitions, emotional states, and biases...
Persistent link: https://www.econbiz.de/10015199487
A statistical decision rule incorporating judgment does not perform worse than a judgmental decision with a given probability. Under model misspecification, this probability is unknown. The best model is the least misspecified, as it is the one whose probability of underperforming the judgmental...
Persistent link: https://www.econbiz.de/10012142032
A decision maker tests whether the gradient of the loss function evaluated at a judgmental decision is zero. If the test does not reject, the action is the judgmental decision. If the test rejects, the action sets the gradient equal to the boundary of the rejection region. This statistical...
Persistent link: https://www.econbiz.de/10012422174
Endogeneity of the labour market slack in reduced-form Phillips Curves (PCs) is usually addressed either by including proxies for omitted supply shocks, or by using instrumental variables. Using the Kiviet (2020) Kinky Least Squares estimator, we find evidence that supply-shock proxies should...
Persistent link: https://www.econbiz.de/10012819033
This paper shows how large-dimensional dynamic factor models are suitable for structural analysis. We establish sufficient conditions for identification of the structural shocks and the associated impulse response functions. In particular, we argue that, if the data follow an approximate factor...
Persistent link: https://www.econbiz.de/10011604758
This paper shows how to incorporate judgment in a decision problem under uncertainty, within a classical framework. The method relies on the specification of a judgmental decision with associated confidence level and application of hypothesis testing. The null hypothesis tests whether marginal...
Persistent link: https://www.econbiz.de/10011605992