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Displaying results 26 to 50 of 119.

  1. Safe haven currency and market uncertainty
    yen, renminbi, dollar, and alternatives
    Author: Masujima, Yuki
    Published: 2017
    Publisher:  RIETI, [Tokyo, Japan]

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    Language: English
    Media type: Book
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    Series: RIETI discussion paper series ; 17-E, 048
    Subjects: Safe haven; Yen; Renminbi; Bitcoin; Volatility; Carry trade; Capital flows
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  2. The long memory of equity volatility and the macroeconomy
    international evidence
    Author: Dräger, Lena; Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, Philipp
    Published: [2020]
    Publisher:  Wirtschaftswissenschaftliche Fakultät der Leibniz Universität Hannover, [Hannover]

    This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic... more

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    This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic variables such as short- and long-run interest rates and unemployment. Moreover, we find that developed economies possess longer memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic conditions, which is prevalent across a large range of countries.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/216967
    Series: Hannover economic papers (HEP) ; Nummer: 667 (Feb 2020)
    Subjects: International; Long Memory; Volatility
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  3. Uncertainty over exchange rates and exports
    evidence from dispersion of expectations as a measure of uncertainty
    Author: Morikawa, Masayuki
    Published: 2016
    Publisher:  RIETI, [Tokyo, Japan]

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    Language: English
    Media type: Book
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    Series: RIETI discussion paper series ; 16-E, 010
    Subjects: Exchange rate; Uncertainty; Disagreement; Volatility; Export
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  4. Foreign exchange market structure and exchange rate volatility in Bangladesh
    Author: Yousuf, Md.; Hossain, Md. Sakawat; Salahuddin Naser, Mahmud; Islam, Md. Ezazul
    Published: August 2020
    Publisher:  Bangladesh Bank, [Dhaka]

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    Language: English
    Media type: Book
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    Series: BB working paper series / Bangladesh Bank ; WP no. 20, 04
    Subjects: Exchange rate; Volatility; ARCH; GARCH
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  5. Prediction accuracy of bivariate score-driven risk premium and volatility filters
    an illustration for the Dow Jones
    Author: Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian
    Published: [2020]
    Publisher:  UC3M, Universidad Carlos III de Madrid, [Getafe (Spain)]

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    Media type: Book
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    Series: Array ; 2020, 10
    Subjects: Volatility; Risk Premium; Dynamic Conditional Score; Generalized Autoregressive Score
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  6. Commodity price volatility and the economic uncertainty of pandemics
    Author: Bakas, Dimitrios; Triantafyllou, Athanasios
    Published: Apr/2020
    Publisher:  Rimini Centre for Economic Analysis, Waterloo, Ontario

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    Series: Working paper / the Rimini Centre for Economic Analysis ; 20, 12
    Subjects: Pandemics; Commodity Markets; Economic Uncertainty; Volatility
    Scope: 1 Online-Ressource (circa 16 Seiten), Illustrationen
  7. Cross-border investments and uncertainty firm-level evidence
    Author: Cezar, Rafaël; Gigout, Timothée; Tripier, Fabien
    Published: [2020]
    Publisher:  CEPII, Paris

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    Series: Working paper / CEPII ; no 2020, 03 (March)
    Subjects: Uncertainty; Asymmetric Uncertainty; FDI Flows; FDI Returns; Volatility; Multinational Firms
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  8. Inflation volatility in small and large advanced open economies
    Author: Mozzanica, Mirco Balatti
    Published: [2020]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    Inflation volatility is clearly important for structural analysis, forecasting and policy purposes, yet it is often overlooked in the literature. This paper compares in ation volatility among advanced open economies with in ation targeting monetary... more

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    Inflation volatility is clearly important for structural analysis, forecasting and policy purposes, yet it is often overlooked in the literature. This paper compares in ation volatility among advanced open economies with in ation targeting monetary policy frameworks. The results of the empirical exercise using a panel dataset suggest that, over the last two decades, the volatility of in ation was similar among countries, even when controlling for monetary policy activity and other factors. In particular, there is only a weak and statistically not significant correlation between in ation volatility and country size. Also, point-targeting central banks (in contrast with range-targeters) and commodity exporters are only weakly associated with higher in ation swings. Equivalent conclusions are reached when decomposing in ation volatility in a transitory and a permanent component. I thus argue that small and large advanced open economies are exposed to global uctuations to a comparable extent. A range of robustness tests confirm that the results are not sensitive to methodological choices and the relationship was not altered by the Great Recession or the low interest rate environment.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289940917
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    hdl: 10419/229062
    Series: Working paper series / European Central Bank ; no 2448 (July 2020)
    Subjects: Prices; Volatility; Globalisation; Inflation targeting
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  9. Trading strategies and dynamic interactions under long-term volatility
    Author: Kusen, Alex
    Published: 2021
    Publisher:  WHU - Otto Beisheim School of Management, Vallendar

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    Source: Union catalogues
    Contributor: Rudolf, Markus (AkademischeR BetreuerIn); Wang, Mei (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
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    Subjects: Handelsstrategie; Volatilität; Trading strategy; Volatility
    Scope: 1 Online-Ressource (circa 144 Seiten), Illustrationen
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    Dissertation, Vallendar, WHU - Otto Beisheim School of Management, 2019
  10. Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models
    Author: Fernández Prada Saucedo, Jean Pierre; Rodriguez, Gabriel
    Published: febrero, 2020
    Publisher:  Departamento de Economía, Pontificia Universidad Católica del Perú, Lima, Perú

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    Series: Documento de trabajo / Departamento de Economía, PUCP ; no 484
    Subjects: Returns; Volatility; GARCH; Stochastic Volatility; Commodities; Bayesian Estimation; Fat Tails; Jumps; Leverage
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  11. COVID-19 containment measures and expected stock volatility
    high-frequency evidence from selected advanced economies
    Author: Acharya, Viral V.; Liu, Yang; Zhao, Yunhui
    Published: June 2021
    Publisher:  International Monetary Fund, [Washington, D.C.]

    We study the effect of COVID-19 containment measures on expected stock price volatility in some advanced economies, using event studies with hand-collected minute-level data and panel regressions with daily data. We find that six-month-ahead... more

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    We study the effect of COVID-19 containment measures on expected stock price volatility in some advanced economies, using event studies with hand-collected minute-level data and panel regressions with daily data. We find that six-month-ahead volatility indices dropped following announcements of initial or re-imposed lockdowns, and that they did not drop significantly following the easing of lockdowns. Such patterns are not as strong for three-month-ahead expected volatility and generally absent for one-month-ahead expected volatility. These results provide suggestive evidence for the existence of an intertemporal trade-off: although stringent containment measures cause short-term economic disruptions, they may reduce medium-term uncertainty (reflected in expected stock volatility) by boosting markets' confidence that the outbreak would be under control more quickly

     
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  12. Corporate acquisitions and firm-level uncertainty
    domestic versus cross-border deals
    Author: Bai, Ye; Girma, Sourafel; Riano, Alejandro
    Published: [2020]
    Publisher:  University of Nottingham, GEP, [Nottingham]

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Array ; research paper 2020, 1
    Subjects: Mergers and Acquisitions; Uncertainty; Volatility; Globalization; Stock Returns; UK
    Scope: 1 Online-Ressource (circa 36 Seiten)
  13. Essays on European agricultural and trade policies, and their effects on agricultural mrkets
    Author: Berger, Jurij
    Published: 2021

    The Common Agricultural Policy of the European Union (CAP) has a long tradition. After World War II, agricultural and food production in Europe was substantially weakened and unable to provide sufficient food for the domestic population. The CAP... more

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    The Common Agricultural Policy of the European Union (CAP) has a long tradition. After World War II, agricultural and food production in Europe was substantially weakened and unable to provide sufficient food for the domestic population. The CAP emerged from this situation, with the objectives of increasing agricultural productivity and thereby ensuring the standard of living of the population engaged in agriculture, as well as stabilizing markets and ensuring a supply of food for the population at reasonable prices. With substantial market interventions, effective external protection as we...

     
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    Source: Union catalogues
    Contributor: Brümmer, Bernhard (AkademischeR BetreuerIn); Cramon-Taubadel, Stephan von (AkademischeR BetreuerIn); Kopp, Thomas (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    hdl: 21.11130/00-1735-0000-0008-58E4-4
    Subjects: Common Agricultural Policy; CAP; European Union; Trade Policy; Volatility; GARCH; Price Transmission; Sugar Market; Food Prices
    Scope: 1 Online-Ressource (circa 77 Seiten), Illustrationen, Diagramme
    Notes:

    Dissertation, Georg-August-Universität Göttingen, 2021
  14. Price setting and volatility
    evidence from oil price volatility shocks
    Author: Klepacz, Matthew
    Published: 2020
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Language: English
    Media type: Book
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    Edition: This version: November 2020
    Series: International finance discussion papers ; number 1316 (April 2021)
    Subjects: Volatility; Ss model; Menu cost; Monetary policy; Oil
    Scope: 1 Online-Ressource (circa 70 Seiten), Illustrationen
  15. A structural model of market friction with time-varying volatility
    Author: Buccheri, Giuseppe; Grassi, Stefano; Vocalelli, Giorgio
    Published: [2021]
    Publisher:  CEIS Tor Vergata, [Rom]

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    Language: English
    Media type: Book
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    Series: CEIS Tor Vergata research paper series ; vol. 19, issue 2 = no. 506 (January 2021)
    Subjects: Illiquidity; Market Microstructure; Volatility; Risk assessment
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  16. Decomposing the VIX index into greed and fear
    Author: Serur, Juan Andrés; Dapena, José P.; Siri, Julián R.
    Published: [2021]
    Publisher:  Universidad del CEMA, Buenos Aires, Argentina

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/238405
    Series: Array ; nro. 780 (Marzo 2021)
    Subjects: VIX; Volatility; Greed-Fear index; Variance Swap
    Scope: 1 Online-Ressource (circa 14 Seiten)
  17. The incremental information in the yield curve about future interest rate risk
    Author: Christensen, Bent Jesper; Kjær, Mads Markvart; Veliyev, Bezirgen
    Published: [2021]
    Publisher:  Department of Economics and Business Economics, Aarhus University, Aarhus, Denmark

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Edition: This version: June 28, 2021
    Series: CREATES research paper ; 2021, 11
    Subjects: Term structure models; Volatility; Forecasting; Kalman filtering; Yield curve
    Scope: 1 Online-Ressource (circa 77 Seiten), Illustrationen
  18. Energy dependency and long-run growth
    Author: Novelli, Giacomo
    Published: December 2022
    Publisher:  Fondazione Eni Enrico Mattei, Milano, Italia

    We investigate whether the degree of energy dependency of countries influences their macroeconomic performance in terms of long-run growth. Specifically, we study whether the impact of energy price changes on economic growth differs depending on a... more

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    We investigate whether the degree of energy dependency of countries influences their macroeconomic performance in terms of long-run growth. Specifically, we study whether the impact of energy price changes on economic growth differs depending on a country's degree of energy dependency. There are two novel aspects in this paper. First, all energy commodities are considered, not only oil, and second, our work goes beyond the standard distinction between energy importing and exporting countries. We claim that energy importing and exporting countries are too heterogeneous in terms of net energy imports, energy consumption, and level of development to be clustered and analysed together. Relying on a sample clusterization in groups of countries with a similar degree of energy dependency and using a cross-sectionally augmented panel autoregressive distributed lag (CS-ARDL) approach, we show that countries with a high degree of energy dependency are associated with a negative and significant long-run energy price elasticity of GDP, while countries with a low degree experience the opposite effect, and more balanced countries are less or not significantly affected. Moreover, we contribute to the resource curse paradox showing that the energy price volatility negatively affects the long-run economic growth of countries with a low degree of energy dependency, but it does not hamper the long-run growth of other countries. We argue that the impact of energy price changes differs across countries with a different degree of energy dependency and that a balanced degree of energy dependency is preferable. Therefore, we suggest major energy importers should reduce their degree of energy dependency, while major energy exporters may differentiate their energy production, avoiding to rely only on fossil sources. Renewable sources may be a key driver to improve the management of the degree of energy dependency.

     
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    hdl: 10419/267507
    Series: Working paper / Fondazione Eni Enrico Mattei ; 2022, 42
    Subjects: Energy Price; Volatility; Energy Security; Economic Growth; Heterogeneous Panel; Institutions; Resource Curse
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  19. Spectral backtests unbounded and folded
    Author: Gordy, Michael B.; McNeil, Alexander J.
    Published: 15 July 2024
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    Series: Finance and economics discussion series ; 2024, 060
    Subjects: Backtesting; Volatility; Risk management
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  20. Forecasting stock returns volatility of the G7 over centuries
    the role of climate risks
    Author: Bouri, Elie; Gupta, Rangan; Liphadzi, Asingamaanda; Pierdzioch, Christian
    Published: [2024]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2024, 24 (June 2024)
    Subjects: Stock market; Volatility; Forecasting; Moments; Climate risks; G7 countries
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  21. Safe havens, machine learning, and the sources of geopolitical risk
    a forecasting analysis using over a century of data
    Author: Gupta, Rangan; Karmakar, Sayar; Pierdzioch, Christian
    Published: [2022]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2022, 01 (January 2022)
    Subjects: Gold; Geopolitical Risk; Forecasting; Returns; Volatility; Random Forests
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  22. Capital controls and the global financial cycle
    Author: Lovchikova, Marina; Matschke, Johannes
    Published: 2021
    Publisher:  Federal Research Bank of Kansas City, Kansas City, Mo.

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    Series: KcFED research working papers ; RWP 21, 08 (September 2021)
    Subjects: Capital Controls; Risk Aversion; Volatility; Risk Premium
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  23. Assessing the impact of oil prices on the Malaysian economy
    Author: Majuca, Ruperto Pagaura
    Published: April 2020
    Publisher:  ASEAN+3 Macroeconomic Research Office, [Singapore]

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    Series: Working paper / ASEAN+3 Macroeconomic Research Office ; WP/20, 02
    Subjects: Oil Price Shock; Vector Error Correction Model; Multivariate GARCH; Volatility
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  24. The price effects of innovative security design
    Author: Célérier, Claire; Liao, Gordon; Vallée, Boris
    Published: [2021]
    Publisher:  [University of Toronto - Rotman School of Management], [Toronto]

    This paper investigates the effects of the issuance of retail products with non-linear payoffs on option prices. For a given underlying asset, when the outstanding volume of products embedding a short-put position increases, implied volatility at the... more

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    This paper investigates the effects of the issuance of retail products with non-linear payoffs on option prices. For a given underlying asset, when the outstanding volume of products embedding a short-put position increases, implied volatility at the corresponding strike decreases. A similar pattern exists for the dividend term structure: larger outstanding volumes of retail structured products are associated with a flattened dividend term structured. A simple trading strategy exploiting this pattern leads to a Sharpe ratio above 2. These results are consistent with the existence of segmented markets and speak to the equilibrium effects of the retail demand for innovative securities

     
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    Series: [Rotman School of Management working paper ; no. 3881268]
    Subjects: Security Design; Volatility; Dividend; Options; Structured Products; Market Segmentation
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  25. An alternative approach to estimation of the probability of default for commercial entities: the modified KMV Merton model
    Author: Njeru, Andrew Kioi
    Published: [2019]
    Publisher:  Kenya Bankers Association, Nairobi

    We carry out an empirical test of KMV model for using private companies that are not listed on a stock exchange and in doing so, substitute book values for market values and fluctuations of bank account balances for volatility of stock prices. This... more

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    We carry out an empirical test of KMV model for using private companies that are not listed on a stock exchange and in doing so, substitute book values for market values and fluctuations of bank account balances for volatility of stock prices. This study reveals a surprising effectiveness of the KMV model and its applicability for estimating probability of default for companies that are not listed on a stock exchange but only with a modification to adopt the actual observed asset growth of the company reported in the books of accounts instead of using the risk-free rate. The adoption of the bank balances as a proxy for the asset volatility has also performed well. One other finding is that the only three companies that had material exposure and defaulted did not have the up-to-date audited books of accounts. We could therefore not test the effectiveness of the KMV model because the three had no up to date books of accounts. This makes one to conclude that absence of audited book of accounts for a significant borrower is a major negative signal that a company is likely to default. This is more significant for larger companies who have a legal requirement to prepare the audited financial statements and the absence may be inferred to as a signal of inability to conclude the closure books of accounts with external auditors due to doubts about going concern.

     
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    Series: KBA Centre for Research on Financial Markets and Policy working paper series ; WPS, 19, 02 = 32
    Subjects: Spillover; Commercial banks; BVAR; Shocks; Volatility
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen