This paper proposes an option-based portfolio insurance method for international foreign exchange risk hedging. Each investor is assumed to maximize the expected utility of his/her portfolio which includes international risky assets and foreign currency index derivatives. The optimal investment...

This paper characterizes the co-movements in commodity prices with a dynamic latent factor model that decomposes commodity returns into global, sectoral, and idiosyncratic components. The results indicate that global and sectoral factors are important sources of co-movements in commodity...

Using the forecast error variance decomposition from a vector auto-regression, this article examines both average and time-varying spillovers of macroeconomic uncertainty across major economies since 1997 and compares the ongoing crisis with earlier episodes. We show that spillover effects of...

The recent slowdown in the Chinese economy is interpreted in two dimensions: a long-run, structural shift toward a moderation in China’s earlier high growth pace, and a short-run, mainly cyclical, adjustment to the earlier economic overheating. Main causes of the long-run shift are export...

We find that U.S. corporations' demand for liquidity is sensitive to two important factors: uncertainty facing the firm and the quality of corporate governance. Following prior research, we find that both factors have important influences on firms' cash holdings. Our results also indicate that...

This paper investigates the relationship between insurance development and economic growth by employing GMM models on a dynamic panel data set of 77 economies for the period 1994–2005. Insurance density is used to measure the development of insurance. Controlled by a simple conditioning...

We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use transaction volume probability to describe price...

This paper analyzes the nature of seasonal fluctuations in quarterly observations for Austrian consumption and income data. We begin with univariate tests of the order of integration and then move on to tests of cointegration. Seasonally adjusted as well as raw data are used in these tests. In...

We find that US corporations’ demand for liquidity is sensitive to two important factors: uncertainty facing the firm and the quality of corporate governance. Following prior research, we find that both factors have important influences on firms’ cash holdings. Our results also indicate that...