Showing 1 - 10 of 74
This paper extends the existing estimation methods to allow estimation under simultaneous price and output uncertainty. In contrast with the previous literature, our approach is applicable to the direct and indirect utility functions and does not require specification and estimation of the...
Persistent link: https://www.econbiz.de/10012784086
We show that the increase in price riskiness reduces the optimal output under increasing absolute risk aversion. That is, the marginal impact of the risk on output is independent of the type of absolute risk aversion (decreasing, constant, or increasing)
Persistent link: https://www.econbiz.de/10012779445
Without relying on duality theory and the indirect utility function, an estimation method is devised that accommodates both price and output uncertainty. This method enables easy testing for risk neutrality. Moreover, it enables empirical comparative statics results to be derived that can be...
Persistent link: https://www.econbiz.de/10005435519
This study is an empirical implementation of Alghalith's methodology. In doing so, it provides empirical comparative statics results for the hedging agents under simultaneous price and output uncertainty.
Persistent link: https://www.econbiz.de/10005462736
Using a dynamic (stochastic-factor) portfolio model, we devise a method to estimate the impact of the oil price on the stock market. We apply our approach to the Jamaican financial market. Our result indicates a negative weak relationship between the oil price and the stock index. - Attraverso...
Persistent link: https://www.econbiz.de/10011165624
In this paper, we analyze the impacts of joint energy and output prices uncertainties on the inputs demands in a mean-variance framework. We find that an increase in expected output price will surely cause the risk averse firm to increase the inputs’ demand, while an increase in expected...
Persistent link: https://www.econbiz.de/10011259317
Purpose – The purpose of this paper is to empirically test dominant theories and assumptions in behavioral finance, using data from the Standard & Poor's 500 index. Design/methodology/approach – The empirical analysis has three parts: to test the assumption of risk aversion; to examine the...
Persistent link: https://www.econbiz.de/10010815106
This paper provides a methodology that allows estimation and comparative statics analysis in the presence of two correlated uncertainties: energy price uncertainty and manufacturing price uncertainty. In so doing, we show the impact of the correlation between oil price shocks and manufacturing...
Persistent link: https://www.econbiz.de/10010810026
A major obstacle in the existing models of forward dynamic utilities and investment performance evaluation is to establish the existence and uniqueness of the optimal solutions. Consequently, we present a new model of forward dynamic utilities. In doing so, we establish the existence and...
Persistent link: https://www.econbiz.de/10010871202
In this paper, we introduce an incomplete-market dynamic investment model with a correlated background risk. In so doing, we show the impact of background risk on the investment decisions.
Persistent link: https://www.econbiz.de/10010874124