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Social and Behavioral Sciences Commons

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Full-Text Articles in Social and Behavioral Sciences

Classroom Guide To The Equilibrium Exchange Rate Model, Sergio Da Silva Aug 2002

Classroom Guide To The Equilibrium Exchange Rate Model, Sergio Da Silva

Sergio Da Silva

The article presents a classroom-suited version of the equilibrium exchange rate model of Stockman (1987) that features Cobb-Douglas functional forms for both production and utility, and considers foreign exchange intervention explicitly.


Scaling Power Laws In The Sao Paulo Stock Exchange, Iram Gleria, Raul Matsushita, Sergio Da Silva Dec 2001

Scaling Power Laws In The Sao Paulo Stock Exchange, Iram Gleria, Raul Matsushita, Sergio Da Silva

Sergio Da Silva

The scaling of the probability distribution of the Sao Paulo Stock Exchange index is shown to be described by a Levy stable stochastic process for the modal region of the distribution. The truncated Levy process is characterized by a scaling index of 1.66. Scaling power laws are also shown to be present in the mean and standard deviation of the series as the time horizon is increased. A power law is also found for the autocorrelation time of the natural logs of the index series. The deviations from the line that best fits the natural logs of the series are …


Criticality, Sergio Da Silva Dec 2001

Criticality, Sergio Da Silva

Sergio Da Silva

This article reviews some current interdisciplinary work on power laws.


A Brief Overview Of The Current State Of Exchange Rate Modeling, Sergio Da Silva Dec 2001

A Brief Overview Of The Current State Of Exchange Rate Modeling, Sergio Da Silva

Sergio Da Silva

The paper provides a brief overview of the current state of exchange rate modeling.