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Articles 31 - 36 of 36
Full-Text Articles in Econometrics
The Impact Of Monetary Policy Announcements On Stock Market: Evidence From China, Yu Zeng
The Impact Of Monetary Policy Announcements On Stock Market: Evidence From China, Yu Zeng
Dissertations and Theses Collection (Open Access)
In this paper we examine how stock returns in China respond to monetary policy announcements made by PBC in a short term around announcement day. We employ a nonparametric event-study method to investigate such reactions. We arrive at the following conclusions. Firstly, there is information leakage of monetary policy changes, which is verified by significant changes in stock returns before monetary policy announcement and quitness of stock market after announcement. Secondly, financially constrained and financially unconstrained firms respond quite similarly to monetary policy shocks, which disobeys credit channel of monetary policy transmission in the short run. Thirdly, reserve ratio changes …
Bayesian Analysis Of Country Risk Premia In Developing Small Open Economies, Seigmund Vincent Roque Conti
Bayesian Analysis Of Country Risk Premia In Developing Small Open Economies, Seigmund Vincent Roque Conti
Dissertations and Theses Collection (Open Access)
This thesis studies a model presented by Neumeyer & Perri (2005), which aims to explain the strong countercyclicality of interest rates and net exports in emerging market economies. The model accomplishes this by decomposing interest rates into an international rate and a country risk component, and by making labor demand sensitive to movements in these rates via a working capital constraint imposed on the representative firm. Moreover, it proposes two approaches to determining the stochastic processes for these interest rates: the independent country risk case and the induced country risk case. The induced country risk model calibrated to Argentine data …
Markov Switching Var Model Of Speculative Pressure: An Application To The Asian Financial Crisis, Gregorio Iii Alfredo Vargas
Markov Switching Var Model Of Speculative Pressure: An Application To The Asian Financial Crisis, Gregorio Iii Alfredo Vargas
Dissertations and Theses Collection (Open Access)
Markov switching models with time-varying transition probabilities address the limitations of the earlier methods in the early warning system literature on currency crises. Most of the Markov switching models in the literature are largely based on univariate models of exchange rate fluctuations. In this thesis, the components of the index of speculative pressure are modeled using the Markov Switching VAR with time-varying transition probabilities of Martinez Peria (2002). Two approaches, both of which are derived from this model, are taken to determine the probability of a currency crisis: the probability of a turbulent regime and the expected value of the …
Multivariate Garch Models For The Greater China Stock Markets, Xiaojun Song
Multivariate Garch Models For The Greater China Stock Markets, Xiaojun Song
Dissertations and Theses Collection (Open Access)
This paper reviews the commonly used multivariate GARCH models and uses the daily data of the four Greater China region stock markets, namely Hongkong, Shanghai,Shenzhen, and Singapore, and data of Japan as one ex-ogenous variable to investigate the volatility and shocks spillover behavior and to establish the market linkage among the four markets. We find that the volatility spillover between Shanghai and Shenzhen is obvious and correlation contagion is detected. Conditional variance and conditional correlations are time varying and dynamic which conforms to the arguments in most of the literature. Shanghai and Shenzhen present a very high correlation level during …
Moving Window Unit Root Test: Locating Real Estate Price Bubbles In Seoul Apartment Market, Shuping Shi
Moving Window Unit Root Test: Locating Real Estate Price Bubbles In Seoul Apartment Market, Shuping Shi
Dissertations and Theses Collection (Open Access)
Bubbles are characterized by rapid expansion followed by a contraction. Evans (1991) shows that stationarity tests suggested by Hamilton and Whiteman (1985) and Diba and Grossman (1988) are incapable of detecting periodically collapsing bubbles. Phillips, Wu, and Yu (2006) advanced the forward recursive unit root test which improves the power significantly in the presence of periodically collapsing bubbles. In this paper, we consider rolling window unit root test with a pre-selected optimum window. A combining use of conventional unit root test and forward recursive unit root test is suggested from the results of power comparison. Furthermore, we apply those three …
Regional Trade Agreements Revisited, Hui Chin Tan
Regional Trade Agreements Revisited, Hui Chin Tan
Dissertations and Theses Collection (Open Access)
The gravity model is a workhorse for econometric studies of the impact of regional trade agreements (RTAs). Despite its initial lack of theoretical basis, the model has been successfully derived from various trade theories. The latest theoretical derivation by Anderson and van Wincoop (2003) reveals that prior gravity studies have made the critical error of omitting the multilateral resistance variable, which results in biased estimates. Other recent studies have highlighted empirical issues with the commonly used procedure of log-linearizing the gravity model and estimating the parameters using Ordinary Least Squares (OLS) regression. Silva and Tenreyro (2006) point out that this …