Empirical Estimates of Effect of Price Limits on Limit-Hitting Days

2000 ◽  
Author(s):  
Jeff Chung ◽  
Li Gan
Keyword(s):  
Price Limits ◽  
Empirical Estimates

Economic effects of monetary policy in Russia: What do large datasets tell us?

2020 ◽  
pp. 31-53 ◽  
Author(s):  
Anna A. Pestova ◽  
Natalia A. Rostova
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Interest Rates ◽  
Economic Activity ◽  
Global Financial Crisis ◽  
Exchange Rate Regime ◽  
Aggregate Demand ◽  
Economic Effects ◽  
Theoretical Concepts ◽  
Empirical Estimates

Is the Bank of Russia able to control inflation and, at the same time, manage aggregate demand using its interest rate instruments? In other words, are empirical estimates of the effects of monetary policy in Russia consistent with the theoretical concepts and experience of advanced economies? This paper is aimed at addressing these issues. Unlike previous research, we employ “big data” — a large dataset of macroeconomic and financial data — to estimate the effects of monetary policy in Russia. We focus exclusively on the period after the 2008—2009 global financial crisis when the Bank of Russia announced the abandoning of its fixed ruble exchange rate regime and started to gradually transit to an interest rate management. Our estimation results do not confirm standard responses of key economic activity and price variables to tightening of monetary policy. Specifically, our estimates do not reveal a statistically significant restraining effect of the Bank of Russia’s policy of high interest rates on inflation in recent years. At the same time, we find a significant deteriorating effect of the monetary tightening on economic activity indicators: according to our conservative estimates, each of the key rate increases occurred in March and December 2014 had led to a decrease in the industrial production index by about 0.2 percentage points within a year.

The Effect of Price Limits on Intraday Volatility and Information Asymmetry

CFA Digest ◽  
2009 ◽  
Vol 39 (3) ◽  
pp. 55-57
Author(s):  
Chenchuramaiah T. Bathala
Keyword(s):  
Information Asymmetry ◽  
Price Limits ◽  
Intraday Volatility

Financial Intermediation and Growth: Theory and Some Cross-Country Evidence

1997 ◽  
Vol 36 (4II) ◽  
pp. 855-862
Author(s):  
Tayyeb Shabir
Keyword(s):  
Economic Growth ◽  
Financial Markets ◽  
Financial Intermediation ◽  
Empirical Estimates ◽  
Financial Liberalisation ◽  
Cross Country ◽  
Level Of Significance ◽  
The Relationship ◽  
Positive Effect ◽  
Theoretical Developments

Well-functioning financial markets can have a positive effect on economic growth by facilitating savings and more efficient allocation of capital. This paper characterises some of the recent theoretical developments that analyse the relationship between financial intermediation and economic growth and presents empirical estimates based on a model of the linkage between financially intermediated investment and growth for two separate groups of countries, developing and advanced. Empirical estimates for both groups suggest that financial intermediation through the efficiency of investment leads to a higher rate of growth per capita. The relevant coefficient estimates show a higher level of significance for the developing countries. This financial liberalisation in the form of deregulation and establishment and development of stock markets can be expected to lead to enhanced economic growth.

Impact of Price Limits on Tail Risk

2018 ◽  
Vol 31 (2) ◽  
pp. 259-301
Author(s):  
Sekyung Oh ◽  
◽  
Hyukdo Kee
Keyword(s):  
Price Limits ◽  
Tail Risk

The Effects of Removing Price Limits and Term Structure upon Order-Submission Behaviors of IPOs

2008 ◽  
Author(s):  
Pei-Han Hsin ◽  
Ming-Chang Wang
Keyword(s):  
Term Structure ◽  
Price Limits

Estimation of Bivariate Survival Function from Random Censored Data with Poisson Sample Size

2020 ◽  
Vol 72 (2) ◽  
pp. 111-121
Author(s):  
Abdurakhim Akhmedovich Abdushukurov ◽  
Rustamjon Sobitkhonovich Muradov
Keyword(s):  
Relative Risk ◽  
Sample Size ◽  
Censored Data ◽  
Survival Function ◽  
Survival Functions ◽  
Power Structures ◽  
Bivariate Survival ◽  
Empirical Estimates ◽  
Bivariate Survival Function ◽  
Product Limit

At the present time there are several approaches to estimation of survival functions of vectors of lifetimes. However, some of these estimators either are inconsistent or not fully defined in range of joint survival functions and therefore not applicable in practice. In this article, we consider three types of estimates of exponential-hazard, product-limit, and relative-risk power structures for the bivariate survival function, when replacing the number of summands in empirical estimates with a sequence of Poisson random variables. It is shown that these estimates are asymptotically equivalent. AMS 2000 subject classification: 62N01

scholarly journals What Do We Learn from Cross-Regional Empirical Estimates in Macroeconomics?

2021 ◽  
Vol 35 ◽  
pp. 175-223
Author(s):  
Adam Guren ◽  
Alisdair McKay ◽  
Emi Nakamura ◽  
Jón Steinsson
Keyword(s):  
Empirical Estimates
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