Showing 1 - 10 of 19
This article examines the implications of the existence of private information in the spot foreign exchange market. Our framework is a high-frequency version of a structural microstructure trade model that measures the market maker's beliefs directly. We find that the underpinnings for the...
Persistent link: https://www.econbiz.de/10014221726
Conventional time series analysis, focusing exclusively on a time series at a given scale, lacks the ability to explain the nature of the data generating process. A process equation that successfully explains daily price changes, for example, is unable to characterize the nature of hourly price...
Persistent link: https://www.econbiz.de/10012722027
Persistent link: https://www.econbiz.de/10001496188
This paper evaluates the developments in the Turkish economy in light of the Central Bank's policies during a recent period of floating exchange rate system. It is found that the Central Bank was effective in containing volatility and reducing the average inflation rate while there was a strong...
Persistent link: https://www.econbiz.de/10014075611
Following a dramatic collapse of a fixed exchange rate based inflation stabilization program, Turkey moved into a free floating exchange rate system in February 2001. In this paper, an asymmetric stochastic volatility model of the foreign exchange rate in Turkey is estimated for the floating...
Persistent link: https://www.econbiz.de/10014069852
This paper provides evidence for scaling laws in emerging stock markets. Estimated parameters using different definitions of volatility show that the empirical scaling law in every stock market is a power law. This power law holds from 2 to 240 business days (almost 1 year). The scaling...
Persistent link: https://www.econbiz.de/10012754585
This paper provides new empirical evidence for currency substitution in different emerging market economies. Estimation results from a money-in-the-utility-function framework indicate that foreign currencies are strong substitutes for domestic currency in producing liquidity services
Persistent link: https://www.econbiz.de/10014086728
The evidence for international diversification as a means to curtail portfolio risk relies predominantly on short-run data. In this paper, we examine the extent to which the risk reduction benefits of international investment hold in the long-run. Employing a multi-horizon non-parametric filter,...
Persistent link: https://www.econbiz.de/10013005156
Do all investor types contribute equally to volatility formation? Although stock volatility should ideally originate only from fundamental innovations, it is embedded into prices through the trading process. We compare the relative contributions of trading by local institutions, local...
Persistent link: https://www.econbiz.de/10012906927
Counterparty risk is an important determinant of corporate credit spreads. However, there are only a few techniques available to isolate it from other factors. In this paper we describe a model of financial networks that is suitable for the construction of proxies for counterparty risk. Using...
Persistent link: https://www.econbiz.de/10013109115