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Estimating Gravity Equations with Endogeneous Trade Costs

Rudolph, Stephan - 2010

A basic assumption of the gravity equation of international trade is that increasing trade costs lower exports. But intuition and theory imply that a high export volume lowers bilateral trade costs as well, because a fixed cost intensive trade sector probably bears lower average costs with more...

Persistent link: https://www.econbiz.de/10014198178

Gravity Approach for Modeling Trade Flows between Estonia and the Main Trading Partners

Paas, Tiiu - 2003

The advantages of using gravity approach for modeling transition processes in foreign trade are the ability of gravity models to explain international trade pattern under the conditions of comparatively little amount of data and validity of theoretical background of the model to the economies in...

Persistent link: https://www.econbiz.de/10014078867

Estimating gravity equations with endogeneous trade costs

Rudolph, Stephan - 2010

A basic assumption of the gravity equation of international trade is that increasing trade costs lower exports. Butintuition and theory imply that a high export volume lowers bilateral trade costs as well, because a fixed cost intensivetrade sector probably bears lower average costs with more...

Persistent link: https://www.econbiz.de/10003941170

Assessing the Accuracy of Exponentially Weighted Moving Average Models for Value-at-Risk and Expected Shortfall of Crypto Portfolios

Alexander, Carol; Dakos, Michael - 2022

provide extensive backtests of hourly and daily Value-at-Risk (VaR) and Expected Shortfall (ES) forecasts that are regarded as … model's variance and covariance forecasts using average scores generated from proper univariate and multivariate scoring … rules, there is no evidence of superior performance of variance and covariance forecasts generated by GARCH models, using …

Persistent link: https://www.econbiz.de/10013292091

Forecasting inflation expectations from the CESifo World Economic Survey : an empirical application in inflation targeting countries

Zárate-Solano, Héctor M.; Zapata-Sanabria, Daniel R. - 2018

the World Economic Survey for sixteen inflation targeting countries. Second, we compare inflation expectation forecasts … their expectations. Our main findings from the in-sample comparison of the WES surveys suggest that expert forecasts of …

Persistent link: https://www.econbiz.de/10011913189

Exchange rate uncertainty and trade growth : a comparison of linear and nonlinear (forecasting) models

Herwartz, Helmut (contributor); Weber, Henning (contributor) - 2007

A huge body of empirical and theoretical literature has emerged on the relationship between foreign exchange (FX) uncertainty and international trade. Empirical findings about the impact of FX uncertainty on trade figures are at best weak and often ambiguous with respect to its direction. Almost...

Persistent link: https://www.econbiz.de/10003634011

The determinants of trade costs : a random coefficients approach

Egger, Peter; Průša, Jan - 2014

This paper assesses whether the sensitivity of bilateral trade volumes to various trade cost factors is constant or varies across countries. It utilizes a random coeffcients model and analyses a cross-sectional sample of bilateral trade data for 96 countries in 2005. We expect the elasticity of...

Persistent link: https://www.econbiz.de/10010371278

The Falling Elasticity of Global Trade to Economic Activity : Testing the Demand Channel

Auboin, Marc - 2018

Since the recovery from the great financial crisis in 2010, global real trade flows grew much slower than pre-crisis, in both absolute terms (growth rates) and relative terms (relative to GDP, from 2:1 in the great 1990’s to 1:1 since 2012) A debate has arisen as to whether this global trade...

Persistent link: https://www.econbiz.de/10012908674

Gravity without apology : the science of elasticities, distance, and trade

Carrère, Céline; Mrázová, Monika; Neary, J. Peter - 2020

Gravity as both fact and theory is one of the great success stories of recent research on international trade, and has featured prominently in the policy debate over Brexit. We first review the facts, noting the overwhelming evidence that trade tends to fall with distance. We then introduce some...

Persistent link: https://www.econbiz.de/10012177012

Realized Volatility Risk

Allen, David E. - 2010

In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

Persistent link: https://www.econbiz.de/10013149893