Search results for " volatili."

Is Government Expenditure Volatility Harmful for Growth? A Cross-Country Study

2007

The aim of the paper is to analyse the relationship between government expenditure volatility and long-run growth. Using cross-country panel data from 1970 to 2000, the paper finds that countries with higher government expenditure business-cycle volatility have lower growth, even after controlling for other country-specific growth correlates such as investment, government expenditure, human capital, population growth and output volatility. This relation is robust to different measures of business cycles. Moreover, considering different subsamples, the paper finds that while government volatility significantly affects long-run growth for developing countries, it has a small effect for OECD c…

Fiscal Rules and Macroeconomic Stability

2005

In this paper we analyze the impact of fiscal rules on the effectiveness of fiscal policy as a macroeconomic stabilizing instrument. First, we review the available evidence on the effects of fiscal policy to affect output in the short run and real interest rates and investment and growth in the long run, and we show how the use of fiscal rules has proved useful in restraining debt and deficits. Secondly, we discuss if debt consolidation rules trade off higher output instability in exchange for lower deficits, using three alternative representations of the intertemporal substitution mechanism in a SDGE framework. Our main conclusion is that both the impact of discretionary fiscal policy and …

Hedging effectiveness of European wheat futures markets

2014

The instability of commodity prices and the hypothesis that speculative behaviour was one of its causes has brought renewed interest in futures markets. In this paper, the hedging effectiveness of European and US wheat futures markets were studied to test whether they were affected by the high price instability after 2007. Implicitly, this is a test of whether the increasing presence of speculation in futures markets have made them divorced from the physical markets. A multivariate GARCH model was applied to compute optimal hedging ratios. No important evidence was found of a change in the effectiveness of hedging after 2007.

The Nexus between Sovereign CDS and Stock Market Volatility: New Evidence

2021

This paper extends the studies published to date by performing an analysis of the causal relationships between sovereign CDS spreads and the estimated conditional volatility of stock indices. This estimation is performed using a vector autoregressive model (VAR) and dynamically applying the Granger causality test. The conditional volatility of the stock market has been obtained through various univariate GARCH models. This methodology allows us to study the information transmissions, both unidirectional and bidirectional, that occur between CDS spreads and stock volatility between 2004 and 2020. We conclude that CDS spread returns cause (in the Granger sense) conditional stock volatility, m…

HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY

2018

This paper studies the price processes of a claim on terminal endowment and of a claim on firm book value when the underlying variables follow a bivariate geometric Brownian motion. If the state-price process is multiplicatively separable into time and endowment functions, our main result shows that firm (endowment) price volatility is stochastic (state-dependent) if, and only if, the endowment function is not a power function. In a pure exchange economy populated by two agents with constant relative risk aversion (CRRA) preferences we confirm the separability, and we show furthermore that firm (endowment) price volatility is stochastic (state-dependent) if, and only if, both agents are he…

Stochastic dynamical modelling of spot freight rates

2014

Based on empirical analysis of the Capesize and Panamax indices, we propose different continuous-time stochastic processes to model their dynamics. The models go beyond the standard geometric Brownian motion, and incorporate observed effects like heavy-tailed returns, stochastic volatility and memory. In particular, we suggest stochastic dynamics based on exponential Levy processes with normal inverse Gaussian distributed logarithmic returns. The Barndorff-Nielsen and Shephard stochastic volatility model is shown to capture time-varying volatility in the data. Finally, continuous-time autoregressive processes provide a class of models sufficiently rich to incorporate short-term persistence …

Implisiittinen volatiliteetti kurssimuutosten ennustajana

2001

Estimating the Effect of Common Currencies on Trade: Blooming or Withering Roses?

2013

Abstract Using a gravity model and data on 182 countries worldwide, this paper estimates the effects of exchange rate volatility and currency unions on international trade for ten years spanning 1980 through 2010. We provide added confirmation and further strengthen the empirical findings in Rose (2000) prior to 1999, but we find a gradually diminishing Rose effect for the 2000-2010 period, when the Euro Zone is added to the currency union dummy. The rest of the coefficients generally comply in magnitude and sign with what is standard in the “gravity” literature. Our findings support a much stronger effect of a currency union on trade than the hypothetical effect of reducing exchange rate v…

Volatiliteetti ja tuotot pohjoismaisilla osakemarkkinoilla

2014

Tämän työn tarkoituksena on selvittää, onko Pohjoismaissa havaittavissa alhaisen volatiliteetin anomaliaa ja tutkia volatiliteetin ja osaketuottojen suhdetta. Volatiliteettia mitataan osaketuottojen yhtiökohtaisella (idiosynkraattisella) volatiliteetilla, sekä yksinkertaisella volatiliteetilla. Tutkimuskysymystä tarkastellaan muodostamalla portfolioita osaketuotoista volatiliteetin mukaan. Käytettävä aineisto on Pohjoismaisilta osakemarkkinoilta vuosilta 1990–2013. Käytetyt hinnoittelumallit ovat CAPM, Fama & French -malli, sekä neljän faktorin malli. Tutkimuksessa ei havaita koko aineistossa tilastollisesti merkitsevää alphakerrointa käytetyillä hinnoittelumalleilla strategialle, joka otta…

Liquidity Synchronization, Its Determinants and Outcomes under Economic Growth Volatility: Evidence from Emerging Asian Economies

2021

This study investigates the country-level determinants of liquidity synchronization and degrees of liquidity synchronization during economic growth volatility. As a non-diversifiable risk factor, liquidity co-movement shock spreads market-wide and thus disrupts the overall functioning of the financial market. Firms in Asian markets operate in legal and regulatory environments distinct from those of firms analyzed in the previous literature. Comprehensive analyses of liquidity synchronicity in emerging markets are limited. A major knowledge gap pertaining to Asian emerging markets serves as the primary motivation for this study. Seven Asian emerging economies are selected from the MSCI emerg…