Open Access. Powered by Scholars. Published by Universities.®

Business Commons

Open Access. Powered by Scholars. Published by Universities.®

Articles 1 - 6 of 6

Full-Text Articles in Business

How You Estimate The Yield Curve Matters!, Luiz Paulo Fichtner, Pedro Santa-Clara Dec 2012

How You Estimate The Yield Curve Matters!, Luiz Paulo Fichtner, Pedro Santa-Clara

Luiz Paulo Fichtner

We evaluate a two-factor Cox et al. (1985a,b) model using Euribor zero-coupon yields. We estimate this model using a state-space framework, where we sum a log-likelihood function of the state vector dynamics to a log-likelihood function of cross-section pricing errors. We introduce a likelihood-scaling weight in the joint log-likelihood function and show that there is a tradeoff in how one estimates a yield curve. Giving more weight to the cross-section of pricing errors improves the fitting and forecasting of Euribor yields, while giving more weight to the log-likelihood function of the state vector dynamics improves interest rate derivative pricing at …


Out-Of-Sample Predictability Of Bond Returns, Luiz Paulo Fichtner, Pedro Santa-Clara Dec 2012

Out-Of-Sample Predictability Of Bond Returns, Luiz Paulo Fichtner, Pedro Santa-Clara

Luiz Paulo Fichtner

We test the out-of-sample predictive power for one-year bond excess returns for a vari- ety of models that have been proposed in the literature. We find that these models perform well in sample, but have worse out-of-sample performance than the historical sample mean. We write the one-year excess return on a n-maturity bond at time t + 1 as the difference between n times the n-maturity bond yield at time t, and the sum of n − 1 times the (n − 1)-maturity bond yield at time t + 1 and the one-year bond yield at time t. Instead of …


Reserve Currency And A Lender Of Next-To-Last Resort: A Literature Review, Alida S. Skold Oct 2012

Reserve Currency And A Lender Of Next-To-Last Resort: A Literature Review, Alida S. Skold

Alida S. Skold

The role of the US dollar as the global dominant reserve currency is eroding. Debate is ongoing regarding next steps. Moving the international monetary system to a single global currency is part of the debate. Literature reviews the eroding role of the US dollar and implications the erosion carries for the US. The Special Drawing Rights developed by the IMF could fill the role of Keynes’ recommended global currency known as the “bancor.” Regardless of the nature of the global reserve currency, access to liquidity is required to have an effective international monetary system. Literature defines a missing layer of …


A Comparison Of Anti-Manipulation Rules In U.S. And Eu Electricity And Natural Gas Markets: A Proposal For A Common Standard, Shaun D. Ledgerwood, Dan Harris Apr 2012

A Comparison Of Anti-Manipulation Rules In U.S. And Eu Electricity And Natural Gas Markets: A Proposal For A Common Standard, Shaun D. Ledgerwood, Dan Harris

Shaun D. Ledgerwood

In this paper, we describe the development and current status of anti-manipulation rules as they apply to wholesale electricity and natural gas markets in the United States and the European Union, including the institutions that are responsible for overseeing these rules. We then compare and contrast these jurisdictions to discuss similarities, differences, and potential gaps in coverage within and across their internal markets. We note that while the behavior prohibited by the U.S. and EU statutes is remarkably similar, there is in fact no common standard for defining market manipulation. The absence of a common EU/U.S. framework for examining manipulative …


Why Do U.S. Securities Laws Matter To Non-U.S. Firms? Evidence From Private Class-Action Lawsuits, Amar Gande, Darius P. Miller Apr 2012

Why Do U.S. Securities Laws Matter To Non-U.S. Firms? Evidence From Private Class-Action Lawsuits, Amar Gande, Darius P. Miller

Amar Gande

A continuing controversy is whether U.S. securities laws are enforced against foreign firms, since public enforcement actions by the SEC are infrequent and often result in insignificant penalties. We examine private enforcement actions of U.S. securities laws and find that 269 securities class-action lawsuits were filed against foreign firms from 1996 to 2008. We document the severity of the penalties imposed on foreign firms and show that while firms paid a total of $9 billion to settle lawsuits brought against them, the monetary penalties levied by the market are even larger. During the three-day period surrounding the lawsuit filing date, …


Smart Stimulus Amid Deepening Debt: Future-Flow Tax Credit Programs, William Werkmeister Jan 2012

Smart Stimulus Amid Deepening Debt: Future-Flow Tax Credit Programs, William Werkmeister

William Werkmeister

No abstract provided.