152 research outputs found
Evaluating "correlation breakdowns" during periods of market volatility
No full textFinancial market observers have noted that during periods of high market volatility, correlations between asset prices can differ substantially from those seen in quieter markets. For example, correlations among yield spreads were substantially higher during the fall of 1998 than in earlier or later periods. Such differences in correlations have been attributed either to structural breaks in the underlying distribution of returns or to "contagion" across markets that occurs only during periods of market turbulence. However, we argue that the differences may reflect nothing more than time-varying sampling volatility. As noted by Boyer, Gibson and Loretan (1999), increases in the volatility of returns are generally accompanied by an increase in sampling correlations even when the true correlations are constant. We show that this result is not just of theoretical interest: When we consider quarterly measures of volatility and correlation for three pairs of asset returns, we find that the theoretical relationship can explain much of the movement in correlations over time. We then examine the implications of this link between measures of volatility and correlation for risk management, bank supervision, and monetary policy making.Stock market ; Risk management
Indexes of the foreign exchange value of the dollar
No full textAt the end of 1998, the staff of the Federal Reserve Board introduced a new set of indexes of the foreign exchange value of the U.S. dollar. The staff made the changeover, from indexes that had been used since the late 1970s, for two reasons. First, five of the ten currencies in the staff's previous main index of the dollar's exchange value were about to be replaced by a single new currency, the euro. Second, developments in international trade since the late 1970s called for a broadening of the scope of the staff's dollar indexes and a closer alignment of the currency weights with U.S. trade patterns. ; The author discusses several practical aspects of the design and implementation of the exchange rate indexes--the choice of index formula, the design of currency weights, and the selection of currencies. The author also reviews the performance of the indexes over the past twenty-five years and discusses three minor methodological changes that the staff has applied to the indexes since their introduction.Foreign exchange rates ; Dollar
Francisco Tari : "El mico", los monstruos
No full textEl objetivo de este trabajo es analizar el relato "El mico" del escritor hispano-mexicano Francisco Tario. En principio, haré la presentación general de un autor y de una obra poco conocidos fuera del ámbito mexicano. En segundo lugar, en la perspectiva de análisis se subrayará el problema de que en la literatura fantástica se ponen a prueba los límites del lenguaje como instrumento de representación. Finalmente, se examinarán algunas características de los dos personajes principales del texto desde la perspectiva de lo monstruoso.The aim of this paper is to analyze the story "El mico", by Francisco Tario, a Hispanic-Mexican writer. First, I will make the overall presentation of an author and a work little-known outside of Mexican literature. Second, the analysis will highlight the problem that, in fantasy literature,the limits of language as an instrument of representation are tested. Finally, some characteristics of the text's two main characters will be examined from the perspective of the monstrous
Francisco Tari : "El mico", los monstruos
No full textEl objetivo de este trabajo es analizar el relato "El mico" del escritor hispano-mexicano Francisco Tario. En principio, haré la presentación general de un autor y de una obra poco conocidos fuera del ámbito mexicano. En segundo lugar, en la perspectiva de análisis se subrayará el problema de que en la literatura fantástica se ponen a prueba los límites del lenguaje como instrumento de representación. Finalmente, se examinarán algunas características de los dos personajes principales del texto desde la perspectiva de lo monstruoso.The aim of this paper is to analyze the story "El mico", by Francisco Tario, a Hispanic-Mexican writer. First, I will make the overall presentation of an author and a work little-known outside of Mexican literature. Second, the analysis will highlight the problem that, in fantasy literature,the limits of language as an instrument of representation are tested. Finally, some characteristics of the text's two main characters will be examined from the perspective of the monstrous
The development of money markets in Asia
No full textThe depth and breadth of money markets in Asia have improved significantly over the past decade, yet many are still characterised by segmentation and a low degree of cross-border integration. Admittedly, the underdevelopment of Asia’s money markets worked to the region’s advantage during the recent turmoil by insulating it to some degree from the shocks that disrupted more developed money markets. Nonetheless, the turmoil provides authorities and market participants in Asia with an opportunity to learn from experiences elsewhere in their efforts to realise the full benefits offered by well functioning money markets.
Estimating Long Run Economic Equilibria
No full textOur subject is econometric estimation and inference concerning long-run economic equilibria in models with stochastic trends. Our interest is focused on single equation specifications such as those employed in the Error Correction Model (ECM) methodology of David Hendry (1987, 1989 inter alia) and the semiparametric modified least squares method of Phillips and Hansen (1989). We start by reviewing the prescriptions for empirical time series research that are presently available. We argue that the diversity of choices is confusing to practitioners and obscures the fact that statistical theory is clear about optimal inference procedures. Part of the difficulty arises from the many alternative time series representations of cointegrated systems. We present a detailed analysis of these various representations, the links between them, and the estimator choices to which they lead. An asymptotic theory is provided for a wide menu of econometric estimators and system specifications, accommodating different levels of prior information about the presence of unit roots and the nature of short-run dynamic adjustments. The single equation ECM approach is studied in detail and our results lead to certain recommendations. Weak exogeneity and data coherence are generally insufficient for valid conditioning on the regressors in this approach. Strong exogeneity and data coherency are sufficient to validate conditioning. But the requirement of strong exogeneity rules out most cases of interest because long-run economic equilibrium typically relates interdependent variables for which there is substantial time series feedback. One antidote for this problem in practice is the inclusion of leads as well as lags in the differences of the regressors. The simulations that we report, as well as the asymptotic theory support the use of this procedure in practice. Our results also support the use of dynamic specifications that involve lagged long-run equilibrium relations rather than lagged differences in the dependent variable. Finally, our simulations point to problems of overfitting in single equation ECM's. These appear to have important implications for empirical research in terms of size distortions that are produced in significance tests that utilize nominal critical values delivered by conventional asymptotic theory. In sum, our results indicate that the single equation ECM methodology has good potential for further development and improvement. But in comparison with the semi parametric modified least squares method of Phillips and Hansen (1989) the latter method seems superior for inferential purposes in most cases.Co-integration, long-run equilibrium, error correction, semiparametric estimation, asymptotic theory, exogeneity
Estimating Long Run Economic Equilibria
No full textOur subject is econometric estimation and inference concerning long-run economic equilibria in models with stochastic trends. Our interest is focused on single equation specifications such as those employed in the Error Correction Model (ECM) methodology of David Hendry (1987, 1989 inter alia) and the semiparametric modified least squares method of Phillips and Hansen (1989). We start by reviewing the prescriptions for empirical time series research that are presently available. We argue that the diversity of choices is confusing to practitioners and obscures the fact that statistical theory is clear about optimal inference procedures. Part of the difficulty arises from the many alternative time series representations of cointegrated systems. We present a detailed analysis of these various representations, the links between them, and the estimator choices to which they lead. An asymptotic theory is provided for a wide menu of econometric estimators and system specifications, accommodating different levels of prior information about the presence of unit roots and the nature of short-run dynamic adjustments. The single equation ECM approach is studied in detail and our results lead to certain recommendations. Weak exogeneity and data coherence are generally insufficient for valid conditioning on the regressors in this approach. Strong exogeneity and data coherency are sufficient to validate conditioning. But the requirement of strong exogeneity rules out most cases of interest because long-run economic equilibrium typically relates interdependent variables for which there is substantial time series feedback. One antidote for this problem in practice is the inclusion of leads as well as lags in the differences of the regressors. The simulations that we report, as well as the asymptotic theory support the use of this procedure in practice. Our results also support the use of dynamic specifications that involve lagged long-run equilibrium relations rather than lagged differences in the dependent variable. Finally, our simulations point to problems of overfitting in single equation ECM’s. These appear to have important implications for empirical research in terms of size distortions that are produced in significance tests that utilize nominal critical values delivered by conventional asymptotic theory. In sum, our results indicate that the single equation ECM methodology has good potential for further development and improvement. But in comparison with the semi parametric modified least squares method of Phillips and Hansen (1989) the latter method seems superior for inferential purposes in most cases
The Durbin-Watson Ratio Under Infinite Variance Errors
No full textThis paper studies the properties of the von Neumann ratio for time series with infinite variance. The asymptotic theory is developed using recent results on the weak convergence of partial sums of time series with infinite variance to stable processes and of sample serial correlations to functions of stable variables. Our asymptotics cover the null of iid variates and general moving average (MA) alternatives. Regression residuals are also considered. In the static regression model the Durbin-Watson statistic has the same limit distribution as the von Neumann ratio under general conditions. However, the dynamic models, the results are more complex and more interesting. When the regressors have thicker tail probabilities than the errors we find that the Durbin-Watson and von Neumann ration asymptotics are the same.Durbin-Watson ratio, von Neumann ratio, serial correlation, dynamic models, time series, asymptotic theory
The Durbin-Watson Ratio under Infinite Variance Errors
No full textThis paper studies the properties of the von Neumann ratio for time series with infinite variance. The asymptotic theory is developed using recent results on the weak convergence of partial sums of time series with infinite variance to stable processes and of sample serial correlations to functions of stable variables. Our asymptotics cover the null of iid variates and general moving average (MA) alternatives. Regression residuals are also considered. In the static regression model the Durbin-Watson statistic has the same limit distribution as the von Neumann ratio under general conditions. However, the dynamic models, the results are more complex and more interesting. When the regressors have thicker tail probabilities than the errors we find that the Durbin-Watson and von Neumann ration asymptotics are the same
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