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Geldpolitik in den USA - die Fed in der Zinsfalle?

Illing, Gerhard - In: Ifo Schnelldienst 57 (2004) 06, pp. 31-37

Seit dem Einbruch der Aktienmärkte Anfang 2000 hat die Fed durch massive Liquiditätszufuhr versucht, die amerikanische Wirtschaft zu stabilisieren. Ein wesentliches Motiv war die Befürchtung, die amerikanische Wirtschaft könne in eine Liquiditätsfalle geraten. Motiviert von der...

Persistent link: https://www.econbiz.de/10005047003

LIMITS TO GROWTH AND STOCHASTICS

Bouleau, Nicolas - HAL - 2012

The aim of this article is to use probabilistic ideas to study predictive reasoning based on hypotheses and models, but without using Ito calculus, without writing any stochastic differential equations, in fact without writing any formulas at all. The aim is to extract from the study of...

Persistent link: https://www.econbiz.de/10010899270

Financial Frictions, Investment, and Institutions

Yafeh, Yishay; Ueda, Kenichi; Claessens, Stijn - International Monetary Fund (IMF) - 2010

Financial frictions have been identified as key factors affecting economic fluctuations and growth. But, can institutional reforms reduce financial frictions? Based on a canonical investment model, we consider two potential channels: (i) financial transaction costs at the firm level; and (ii)...

Persistent link: https://www.econbiz.de/10008680276

The Efficiency of the Japanese Equity Market

Nagayasu, Jun - International Monetary Fund (IMF) - 2003

statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which …

Persistent link: https://www.econbiz.de/10005825859

A Sotchastic Mesh Method for Pricing High-Dimensional American Options.

Broadie, M.; Glasserman, P. - Graduate School of Business, Columbia University - 1997

High-dimensional pricing problems frequently arise with financial options (examples include basket options, outperformance options, interest-rate and foreign currency options) and real options. American versions of these options, i.e., where the owner has the right to exercise early, are...

Persistent link: https://www.econbiz.de/10005663863

Preisvolatilität auf landwirtschaftlichen Märkten

von Ledebur, Ernst-Oliver; Schmitz, Jochen - Bundesforschungsinstitut für Lädliche Räume, Wald … - 2011

In this paper, the development of price volatility on German agricultural markets is analyzed. The goal is to quantify … the degree of price volatility for selected German agricultural markets and determine how it evolutes over time. Where …, questions are: Was there an increase in price volatility? Did it came from the world markets? What is the impact of price …

Persistent link: https://www.econbiz.de/10009003989

Interest Rate Transmission and Volatility Transmission along the Yield Curve.

Avouyi-Dovi, S.; Jondeau, E. - Banque de France - 1999

In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which takes into account most of the usual feaures of financial data (non-stationarity,...

Persistent link: https://www.econbiz.de/10005487060

ASSESSING PRE-CRISIS FUNDAMENTALS IN SELECTED ASIAN STOCK MARKETS

LAU, EE LENG; TAN, G. K. RANDOLPH; RAHMAN, SHAHIDUR - In: The Singapore Economic Review (SER) 50 (2005) 02, pp. 175-196

In the folklore of emerging markets, there is a popular belief that bubbles are inevitable. In this paper, our objective is to estimate a state-space model for rational bubbles in selected Asian economies with the aid of the Kalman Filter. For each economy, we derive a possible picture of the...

Persistent link: https://www.econbiz.de/10004977564

The new approaches in econometric research of financial markets. Distributed volatility

Tinyakova, V. I. - In: Review of Applied Socio-Economic Research 4 (2012) 2, pp. 247-255

Volatility is one of the most important characteristics of any financial instrument return. The idea which states that … volatility of financial assets and it corresponds well with the efficient market hypothesis. Therefore, all volatility models use … implements the assumption that the volatility of an asset depends on the market volatility. But the relationship is not …

Persistent link: https://www.econbiz.de/10010599754

Volatility-constrained correlation identifies the directionality of the influence between Japan’s Nikkei 225 and other financial markets

Ochiai, Tomoshiro; Nacher, Jose C. - In: Physica A: Statistical Mechanics and its Applications 393 (2014) C, pp. 364-375

average index (Nikkei 225) and other financial markets by introducing a volatility-constrained correlation metric. The …

Persistent link: https://www.econbiz.de/10010709968