Download or read book Information and Short run Market Dynamics written by David Elliot Serot and published by . This book was released on 1976 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Structural Modeling of Short run Price Dynamics in Commodities Markets written by Ali Nouri Dariani and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation addresses the gap between commodity price models in economics and finance. The literature in finance often abstracts from market forces and calibrates a stochastic process of price dynamics in order to follow them closely and to price commodity derivatives, most importantly futures contracts. On the other hand models in economics literature often focus on supply, demand and inventories in the long-run. I have developed short-run structural models of commodity prices. These models provide a better description of price dynamics by considering the underlying structure of the economy. Since these models incorporate actions of market participants, they have the advantage of being able to process information signals about probabilities of future supply/demand shocks. The other advantage of short-run structural models is their power in prediction of unobservable states of the economy. Hence, these models provide a better description of forward curves in commodities markets. Recent advances in the theory of storage have been able to associate specific behaviors of commodity prices with inventory dynamics. These models assume producers and consumers who only consider current price, and storage units who consider the whole stochastic process of price in the future. This thesis improves upon these models in two aspects. First, I remove the assumption that the producers and consumers take into account only the current price. For depletable commodities specifically, and for many commodities in general, it is more plausible to assume that the producer has the option to sell the commodity now or postpone the extraction until a future time. The expected future dynamics of prices can change the current production decisions and as a result the current and future prices. My model characterizes the equilibrium of such a system and its comparative dynamics. Second, I introduce an advanced calibration algorithm for this model. Traditional models calibrate their parameters by minimizing their prediction error on aggregate measures such as the average volatility of forward prices. My approach considers the instances of forwards curves and tries to matches each of them. One advantage of this model is the ability to estimate the state of the system (e.g. remaining inventories) as well as the transient and permanent shocks in supply/demand. The theoretical framework of this dissertation shows that actions of rational market participants impose certain price dynamics to the market. Most examples in this work consider crude oil as it is the most traded commodity, with liquid future contracts for longer horizons. Calibration results demonstrate the improvements that short-run structural models could create in describing price dynamics.
Download or read book Market Dynamics and Entry written by Paul A. Geroski and published by Wiley-Blackwell. This book was released on 1992-04-08 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a comprehensive discussion of entry, and the dynamics of market structure and performance that are associated with it. Much of the work is empirical, and a wide variety of econometric results and case studies are brought together in order to evaluate existing theories of entry, and map out future directions of empirical and theoretical research.
Download or read book Risk Management in Volatile Financial Markets written by Franco Bruni and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: intense competition on banks and other financial institutions, as a period of oligopoly ends: more rather than less innovation is needed to help share undi versifiable risks, with more attention to correlations between different risks. Charles Goodhart of the London School of Economics (LSE), while ques tioning the idea that volatility has increased, concludes that structural changes have made regulation more problematic and calls for improved information availability on derivatives transactions. In a thirteen country case study of the bond market turbulence of 1994, Bo rio and McCauley of the BIS pin the primary causes of the market decline on the market's own dynamics rather than on variations in market participants' apprehensions about economic fundamentals. Colm Kearney of the Univer sity of Western Sydney, after a six country study of volatility in economic and financial variables, concludes that more international collaboration in man aging financial volatility (other than in foreign exchange markets) is needed in Europe. Finally, Stokman and Vlaar of the Dutch central bank investigate the empirical evidence for the interaction between volatility and international transactions in real and financial assets for the Netherlands, concluding that such influence depends on the chosen volatility measure. The authors sug gest that there are no strong arguments for international restrictions to reduce volatility. INSTITUTIONAL ISSUES AND PRACTICES The six papers in Part C focus on what market participants are doing to manage risk.
Download or read book Long Run Equilibrium Shift and Short Run Dynamics of U S Home Price Tiers During the Housing Bubble written by Damian S. Damianov and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We use vector error correction models to examine the interdependence between the high and the low price tiers during the latest housing market boom and bust. For 118 of the 364 US statistical areas analyzed, the tiered price indexes are bound by a long-run relationship. In general, low tier homes appreciated more than high tier homes in the past two decades. In contrast to previous periods of high volatility, however, low tier homes appreciated more during the boom and lost more value during the bust of the market. We find a shift in the long-run equilibrium during the bubble - the cointegration parameter that ties the tiers together is greater in absolute value during the bubble period compared to the periods of more moderate appreciation and depreciation rates. Moreover, the shift in the long-run equilibrium can be explained by differences in subprime originations across housing markets. We also find that short run price dynamics is driven by momentum in both segments of the market.
Download or read book Black Market and Official Exchange Rates written by Guglielmo Maria Caporale and published by . This book was released on 2006 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents further empirical evidence on the relationship between black market and official exchange rates in six emerging economies (Iran, India, Indonesia, Korea, Pakistan, and Thailand). First, it applies both time series techniques and heterogeneous panel methods to test for the existence of a long-run relationship between these two types of exchange rates. Second, it tests formally the validity of the proportionality restriction implying a constant black-market premium. Third, it also analyses the short-run dynamic responses of both markets to shocks. Finally, it tries to shed some light on the determinants of the market premium. Evidence of slow reversion to the long-run equilibrium is found. Further, it appears that capital controls and expected currency devaluation are the two main factors affecting the size of the premium and determining the breakdown in the proportionality relationship.
Download or read book Labor Market Dynamics A Hidden Markov Approach written by Mr.Ippei Shibata and published by International Monetary Fund. This book was released on 2019-12-20 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a hidden state Markov model (HMM) that incorporates workers’ unobserved labor market attachment into the analysis of labor market dynamics. Unlike previous literature, which typically assumes that a worker’s observed labor force status follows a first-order Markov process, the proposed HMM allows workers with the same labor force status to have different history-dependent transition probabilities. I show that the estimated HMM generates labor market transition probabilities that match those observed in the data, while the first-order Markov model (FOM) and its many-state extensions cannot. Even compared with the extended FOM, the HMM improves the fit of the empirical transition probabilities by a factor of 30. I apply the HMM to (1) calculate the long-run consequences of separation from stable employment, (2) study evolutions of employment stability across different demographic groups over the past several decades, (3) compare the dynamics of labor market flows during the Great Recession to those during the 1981 recession, and (4) highlight the importance of looking beyond distributions of current labor force status.
Download or read book Dynamics of Office Markets written by John M. Clapp and published by The Urban Insitute. This book was released on 1993 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book stock market development and long run growth written by Ross Levine and published by World Bank Publications. This book was released on 1996 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Individuals and Families in Transition written by and published by . This book was released on 1989 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Financial Markets Dynamics and Evolution written by Thorsten Hens and published by Elsevier. This book was released on 2009-06-12 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. Explains the market dynamics of asset prices, offering insights about asset management approaches Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
Download or read book Youth Knowledge Development Report written by and published by . This book was released on 1980 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Global Productivity written by Alistair Dieppe and published by World Bank Publications. This book was released on 2021-06-09 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: The COVID-19 pandemic struck the global economy after a decade that featured a broad-based slowdown in productivity growth. Global Productivity: Trends, Drivers, and Policies presents the first comprehensive analysis of the evolution and drivers of productivity growth, examines the effects of COVID-19 on productivity, and discusses a wide range of policies needed to rekindle productivity growth. The book also provides a far-reaching data set of multiple measures of productivity for up to 164 advanced economies and emerging market and developing economies, and it introduces a new sectoral database of productivity. The World Bank has created an extraordinary book on productivity, covering a large group of countries and using a wide variety of data sources. There is an emphasis on emerging and developing economies, whereas the prior literature has concentrated on developed economies. The book seeks to understand growth patterns and quantify the role of (among other things) the reallocation of factors, technological change, and the impact of natural disasters, including the COVID-19 pandemic. This book is must-reading for specialists in emerging economies but also provides deep insights for anyone interested in economic growth and productivity. Martin Neil Baily Senior Fellow, The Brookings Institution Former Chair, U.S. President’s Council of Economic Advisers This is an important book at a critical time. As the book notes, global productivity growth had already been slowing prior to the COVID-19 pandemic and collapses with the pandemic. If we want an effective recovery, we have to understand what was driving these long-run trends. The book presents a novel global approach to examining the levels, growth rates, and drivers of productivity growth. For anyone wanting to understand or influence productivity growth, this is an essential read. Nicholas Bloom William D. Eberle Professor of Economics, Stanford University The COVID-19 pandemic hit a global economy that was already struggling with an adverse pre-existing condition—slow productivity growth. This extraordinarily valuable and timely book brings considerable new evidence that shows the broad-based, long-standing nature of the slowdown. It is comprehensive, with an exceptional focus on emerging market and developing economies. Importantly, it shows how severe disasters (of which COVID-19 is just the latest) typically harm productivity. There are no silver bullets, but the book suggests sensible strategies to improve growth prospects. John Fernald Schroders Chaired Professor of European Competitiveness and Reform and Professor of Economics, INSEAD
Download or read book The Economics of Commercial Property Markets written by Michael Ball and published by Routledge. This book was released on 2012-10-12 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new text provides a rigorous analysis of real estate markets. Three main sections cover: microeconomics of property markets the macroeconomics of commercial property the financial economics of property Global empirical examples illustrate the theories and issues. This often complex area is made accessible: each chapter contains a boxed summary and questions for self-testing or discussion.
Download or read book Enterprise Applications Markets and Services in the Finance Industry written by Nikolay Mehandjiev and published by Springer. This book was released on 2019-05-17 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes revised selected papers from the 9th International Workshop on Enterprise Applications, Markets and Services in the Finance Industry, FinanceCom 2018, held in Manchester, UK, in June 2018. The 11 papers presented in this volume were carefully reviewed and selected from 18 submissions. They were organized in topical sections named: financial innovation; market data analytics; and semantic modelling.
Download or read book Full View Integrated Technical Analysis written by Xin Xie and published by John Wiley & Sons. This book was released on 2011-01-25 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: A fresh approach to technical analysis utilizing a full view (multi-time frame) integrated analytical system. Has the bear market ended? Is the rebound lasting? Everybody wants an answer but nobody can provide one with a good degree of confidence. While fundamental analysis is notoriously weak when it comes to market timing decisions and price target forecasts, technical analysis is equally timid in providing any concrete answers to the above fundamentally important questions for market participants. No existing system has produced a firm answer with a respectable degree of conviction. This book will present a system to answer those questions with a high degree of confidence. Xin Xie is the Director for Institute of International Trade and Investment at the Upper Yangtze River Economic Research Center, Chongqing University of Business and Technology and PRC Ministry of Education. He has a PhD in Economics from Columbia University in New York and a Master of Arts Degree in Statistics at Zhongnan University of Finance in China. He has extensive experiences in banking and investment industries as Senior Economists and Strategists in Bank of America and UBS AG.
