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Simulations Illustrate Flaw In Inflation Models, Peter L. D'Antonio Ph.D.
Simulations Illustrate Flaw In Inflation Models, Peter L. D'Antonio Ph.D.
Faculty Works: Business (1973-2022)
This study questions the basic assumption of standard inflation models that there are only two forces driving price changes - underlying inflation and short-term noise. Specifically, the paper analyzes the distributions of individual price changes to shed light on an apparent contradiction: individual price changes are extremely dispersed, while measured inflation, the aggregate of individual price changes, remains relatively steady. Monte Carlo simulations demonstrate that the standard inflation model is inconsistent with this observation. The author reintroduces a new inflation model that explicitly accounts for the possibility of a third price-change driver - long-term sector-specific forces. Simulations show that the …
Assessing The Effects Of Post-Crisis Regulatory Reforms On Liquidity In The Singapore Government Securities And Mas Bills Market, John M. Sequeira
Assessing The Effects Of Post-Crisis Regulatory Reforms On Liquidity In The Singapore Government Securities And Mas Bills Market, John M. Sequeira
Research Collection Lee Kong Chian School Of Business
The FSB initiated in 2017 an evaluation of the effects of post-crisis regulatory reforms, by developing a framework to assess whether the reforms are achieving their intended outcomes and identify any material unintended consequences. In tandem, MAS established an evaluation framework, which covers four broad impact areas, comprising FIs, financial markets, financial end-users and the broader financial landscape. Internationally, there have been particular concerns over whether post-crisis reforms may have impaired liquidity conditions in specific financial markets. We provide an assessment of the effects of the reforms on liquidity in a key market in Singapore, the SGS and MAS bills …