Home About us Contact
|
Home About us Contact | ||
|
|
||
Positive Shocks (positive + shock)
Selected AbstractsAustralian Economic Growth: Nonlinearities and International InfluencesTHE ECONOMIC RECORD, Issue 235 2000ÓLAN T. HENRY This paper considers the extent to which fluctuations in Australian economic growth are affected by domestic and overseas economic performance. We investigate the performance of a range of nonlinear models versus linear models, comparing the models using Bayes factors and posterior odds ratios. The posterior odds ratios favour nonlinear specifications in which fluctuations in economic activity in the US affect Australia's economic performance. Our results suggest that an exogenous negative shock will be more persistent, lead to greater output volatility, and have a greater impact on growth, than a positive shock of equal magnitude. [source] HUMAN CAPITAL ACCUMULATION, HOME PRODUCTION AND EQUILIBRIUM DYNAMICS*THE JAPANESE ECONOMIC REVIEW, Issue 3 2008YUNFANG HU In this paper, we construct a three-sector endogenous growth model in which long-run growth is propelled by human capital accumulation. We show that although the addition of a home sector to the standard two-sector endogenous growth model preserves the well-behaved balanced growth equilibrium properties, it generates new transitional dynamics around the balanced growth path. It is shown that, when there is a positive shock to physical capital, our model is more likely to exhibit paradoxical growth than are standard multisector endogenous growth models that exclude home production. Our analysis adds new results to those from the related literature on leisure. [source] On the Quantile Regression Based Tests for Asymmetry in Stock Return VolatilityASIAN ECONOMIC JOURNAL, Issue 2 2002Beum-Jo Park This paper attempts to examine whether the asymmetry of stock return volatility varies with the level of volatility. Thus, quantile regression based tests (,-tests) are presupposed. These tests differ from the diagnostic tests introduced by Engle and Ng (1993) insofar as they can provide a complete picture of asymmetries in volatility across quantiles of variance distribution and, in case of non-normal errors, they have improved power due to their robustness against non-normality. A small Monte Carlo evidence suggests that the Wald and likelihood ratio (LR) tests out of ,-tests are reasonable, showing that they outperform the Lagrange multiplier (LM) test based on least squares residuals when the innovations exhibit heavy tail. Using the normalized residuals obtained from AR(1)-GARCH(1, 1) estimation, the test results demonstrated that only the TOPIX out of six stock-return series had asymmetry in volatility at moderate level, while all stock return series except the FAZ and FA100 had more significant asymmetry in volatility at higher levels. Interestingly, it is clear from the empirical findings that, like hypothesis of leverage effects, volatility of the TOPIX, CAC40, and, MIB tends to respond significantly to extremely negative shock at high level, but is not correlated with any positive shock. These might be valuable findings that have not been seriously considered in past research, which has focussed only on mean level of volatility. [source] The equity premium and the business cycle: the role of demand and supply shocksINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 2 2010Peter N. Smith Abstract This paper explores the effects of the US business cycle on US stock market returns through an analysis of the equity risk premium. We propose a new methodology based on the SDF approach to asset pricing that allows us to uncover the different effects of aggregate demand and supply shocks. We find that negative shocks are more important that positive shocks, and that supply shocks have a much greater impact than demand shocks. Copyright © 2009 John Wiley & Sons, Ltd. [source] Small producers, supermarkets, and the role of intermediaries in Turkey's fresh fruit and vegetable marketAGRICULTURAL ECONOMICS, Issue 2009Céline Bignebat Supermarkets; Small farmers; Fresh fruit and vegetables; Turkey Abstract A wide range of empirical studies show the extent to which the rise of supermarkets in developing countries transforms domestic marketing channels. In many countries, the exclusion of small producers from so-called dynamic marketing channels (that is, remunerative ones) has become a concern. Based on data collected in Turkey in 2007 at the producer and the wholesale market levels, we show that intermediaries are important to understanding the impact of downstream restructuring (supermarkets) on upstream decisions (producers). Results show first that producers are not aware of the final buyer of their produce, because intermediaries hinder the visibility of the marketing channel, thereby restricting a producer's choice to that of the first intermediary. Econometric results show that producers who are indirectly linked to the supermarkets are more sensitive to their requirements in terms of quality and packaging than to the price premia compensating the effort made to meet standards. Therefore, the results lead us to question the role of the wholesale market agents who act as a buffer in the chain and protect small producers from negative shocks, but who stop positive shocks as well, and thereby reduce incentives. [source] The Determinants of Contract Length in Temporary Help EmploymentLABOUR, Issue 3 2006Tommaso Nannicini A simple theoretical model is developed, in order to depict the choice of contract length made by a firm that recruits temporary agency workers to deal with activity peaks. Assuming that the hiring of a new worker is associated with selection and training costs, longer contracts have an option value in face of a greater persistence of positive shocks. The model has two testable implications. First, the degree of serial correlation in market demand positively affects contract length. Second, the shortage of alternative employment opportunities negatively affects contract length. Using data on Italian temporary agency workers, both implications are confirmed by the econometric analysis. [source] Labour-market Institutions and Macroeconomic ShocksLABOUR, Issue 2 2003Yu-Fu Chen The effect of shocks depends on the nature of these institutions and the effect of institutional change depends on the macroeconomic environment. It follows that a given set of institutions may be appropriate in one epoch and not in another. We derive a dynamic model of labour demand in which the effect of firing costs on labour demand depends on the macroeconomic environment: when the level of macroeconomic activity is expected to drop and/or the trend rate of productivity growth is small, a rise in firing costs affects mainly (and adversely) the hiring decision and not the layoff decision. This makes firing costs harmful to employment when it may appear most appropriate. In contrast, firing costs can raise employment during periods of high growth and positive shocks. Our hypothesis is supported by empirical results using OECD data. [source] SYMMETRIC VERSUS ASYMMETRIC CONDITIONAL COVARIANCE FORECASTS: DOES IT PAY TO SWITCH?THE JOURNAL OF FINANCIAL RESEARCH, Issue 3 2007Susan Thorp Abstract Volatilities and correlations for equity markets rise more after negative returns shocks than after positive shocks. Allowing for these asymmetries in covariance forecasts decreases mean-variance portfolio risk and improves investor welfare. We compute optimal weights for international equity portfolios using predictions from asymmetric covariance forecasting models and a spectrum of expected returns. Investors who are moderately risk averse, have longer rebalancing horizons, and hold U.S. equities benefit most and may be willing to pay around 100 basis points annually to switch from symmetric to asymmetric forecasts. Accounting for asymmetry in both variances and correlations significantly lowers realized portfolio risk. [source] | ||||||||||||||||||||||