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3 votes
1 answer
218 views

Question about CAPM Betas - Causes of Beta Movement Query

CAPM betas are measures of systematic risks, which include things like the exchange rate, inflation, interest rates, etc. What I'm confused about is described below: E.g. suppose I'm looking at one ...
1 vote
1 answer
777 views

How to compare financial statements of two companies working in two different currencies?

So I am conducting a research on applying Data Envelopment Analysis (DEA) for comparing efficiencies of different companies working in different countries and thereby publishing their financial ...
326 votes
29 answers
243k views

What data sources are available online?

What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
7 votes
1 answer
287 views

Reliable Economic Data on China

Trying to develop a new strategy, but I need to find reliable economic data on China. It's well known that the official figures there don't tell you everything (to put it nicely), so I was wondering ...
0 votes
0 answers
24 views

Defining the terms "old interest" and "new interest" (across a variety of disciplines)

This is a bit of a vocabulary / concept tackle (these two, tackling each other). My question is about this. How would a financial analyst define and extrapolate and make the reader (or, user) envision,...
4 votes
4 answers
658 views

Validity of CAPM

I came across some literature regarding "Framing Theory" or "Prospect Theory", and the validity of CAPM. I was wondering if you could shed some light on a few questions I have in this regard: ...
3 votes
1 answer
784 views

Inflation effect on FX rates

With UK's inflation surging to 3.2% as per the published figures today reported by the FT, it is interesting to ponder the effect of rising inflation on FX rates. The article linked above points out ...
1 vote
0 answers
53 views

Can I extend the private information model of Kyle in in a continuous analogue, e.g. the Ornstein–Uhlenbeck process?

Taking into account an old post of maths.stackexchange, I recall the following: On the one hand, we know that the Ornstein–Uhlenbeck process can also be considered as the continuous-time analogue of ...
3 votes
2 answers
163 views

Cash flows regression on macroeconomic data

I'm looking into a research project and am struggling to find any existing work on this or whether I'm asking the right question. My question is to test the relationship between macroeconomic ...
0 votes
0 answers
41 views

How does truncating data deal with long right tails of data? Why is a long right tail bad?

For reference, my coworker graphed the unemployment rate with an HP Filter on. He told me he truncated the data to 95% to deal with this issue but I'm not 100% sure what this means and why its ...
0 votes
3 answers
242 views

database for economic & finance timeseries

I am looking for a technical solution to store economic and financial timeseries (nothing intraday for now, just daily/weekly/yearly) Most timeseries database I find do not seem to take into account ...
1 vote
0 answers
47 views

Could you suggest a way to estimate an individual's risk-aversion

Did you see real-world examples of a way to estimate an individual's risk-aversion roughly by making mini-surveys to individuals or making them play mini-games? Do portfolio management companies do ...
0 votes
3 answers
283 views

Tech companies valuation

Usually tech companies/stocks are valued using one of the two methods: DCF (discounted cash flows) method that is sensitive to interest rates raise (if rates up value down) EBITDA or revenues ...
6 votes
1 answer
5k views

Financial economics vs finance [closed]

What is the difference between financial economics and finance?
0 votes
0 answers
59 views

Escape Dynamics in financial economics or time series

These slides describe escape dynamics to be a type of, or having some relation to, rare event(s). Black swan events in business cycles was also included under the definition of rare events. My guess ...
4 votes
1 answer
600 views

Equilibrium in the Kyle (1985) model

In his 1985 paper, Kyle presents 3 versions of the same model: a single period model, a multiple period model and the continuous time limit of the multiple period model. When he formalizes the ...
2 votes
2 answers
441 views

Cashflow Risk vs Discount Risk

Studying asset pricing, I often hear the terms cashflow risk and discount risk but I'm not sure what they mean? The Campbell/Shiller (1988) decomposition includes cashflows (future dividends) and ...
3 votes
2 answers
509 views

Can we think of Overnight Index Swaps as short-term IRS?

OIS are a series of fixed-rate cashflows discounted at the overnight rate, swapped for overnight (floating) rate. IRS are similarly discounted fixed-rate cashflows, swapped on an IBOR-floating rate. ...
-1 votes
1 answer
78 views

Looking for a Book which can summaries last 20 years of economics [closed]

What I would like to read is how the economic spectrum have changed over the period ( Central banks policy decisions , QE 1/2/3 , ECB TLTRO, BOJ unlimited stimulus ). How the central bank dealt with ...
0 votes
0 answers
30 views

Effect of lowering benchmark interest rates

On recent days, Yen appreciated 30 bps towards USD "after the Central Bank lowered its interest rates by 50 bps". Can someone explain me the economic rationale of the appreciation after a central bank ...
4 votes
1 answer
254 views

Is there such a thing as resonance in economic underliers?

In physics the occurence of resonance is explained and widely understood in its linear form and subject to research in nonlinear resonance. Example for instance are resonant frequencies of objects. ...
2 votes
0 answers
304 views

How to conduct an event-study for a single index (i.e the DJIA) with multiple events

I am a postgraduate student writing my thesis. I am somewhat a novice in the field I have chosen to study, however this has undoubtedly broadened my horizons. I am attempting to evaluate the impact of ...
0 votes
2 answers
116 views

How does the efficient market hypothesis fit with the rapid changes in prices?

The price of IBM changes from second to second, but there's no way that actual news about IBM is coming out that fast. The information available about IBM changes a lot more slowly than its share ...
1 vote
0 answers
56 views

Measuring corporate size relative to world GDP

I'm working o a model where corporate revenue / world GDP is a dependent variable of some stuff (based on the model proposed in this paper: http://www.scielo.br/scielo.php?pid=S1807-76922009000200002&...
1 vote
0 answers
106 views

Autoregressive Distributed Lag Models (ARDL) results analysis

When using autoregressive distributed lag models (ARDL), I usually get a counter-intuitive result for the selected lag. For example, when examining the relationship between GDP and Foreign Direct ...
1 vote
1 answer
116 views

What preprint repositories are available online?

Besides data sources, what preprint archives are available for academics and practitioners in the fields of Quantitative Finance and Economics? I have subscribed Google Scholar alerts and regularly ...
2 votes
3 answers
314 views

If markets are efficient, why are most returns systematically high?

Suppose markets are perfectly efficient and asset prices reflect all available information. Under this assumption one expects current prices to be non-biased estimators of future prices. It seems to ...
6 votes
1 answer
803 views

What is the relation between Relative Risk Aversion and Market Price of Risk

If we assume that the preferences of investors in a market aggregate to display the following utility function $$u(W)=\dfrac{1}{1-\gamma}W^{1-\gamma},\quad \gamma>0,\quad \gamma\neq1$$ then from$...
2 votes
1 answer
475 views

Does CRRA-utility imply higher risk-aversion for lower wealth?

Consider the utility function $u(W)=\dfrac{1}{1-\gamma}W^{1-\gamma}$, where $\gamma=0.5$ Since this function will exhibit decreasing marginal utility of wealth, is it correct to say that for any ...
1 vote
0 answers
99 views

How to Calculate the Value of a Growing Perpetuity Using a State Price Matrix?

Summary I wish to value perpetual cash flows through state contingent claims on real consumption, where the state of the economy is assumed to follow a finite markov chain (Similar to Banz and Miller ...
1 vote
0 answers
426 views

Comparing two models using Wald Test

I would like to use a Wald test to compare two models. To give a basic example, let: $Y_{t}=\alpha+{\phi_1x}_{t-1}+{\beta}_{1}x_{t-1}+{\beta}_{2}x_{t-1}+{\beta}_{3}x_{t-1}+\epsilon_t (A)$ $Y_{t}=\...
1 vote
0 answers
149 views

Elobaration on: Discrete returns versus log returns of assets

I read Discrete returns versus log returns of assets and it is very helpful. However, if log-returns are easier for time-aggregation, then why do economists work with discrete returns e.g. in GDP ...
2 votes
1 answer
2k views

Can tobin's Q value for a firm be negative?

Can Tobin's Q value for a firm be negative? I am calculating Tobin's Q value using Compustat data for firm i and year t. I am using the formula presented in Chung and Pruitt(1994) - Q = (Market ...
0 votes
1 answer
213 views

What relevance might the Modigliani-Miller theorem have for weight of evidence?

Suppose in computing weight of evidence based on financial ratios of some bank, one finds that their debt ratio and equity ratio have largely (you pick how large I guess) differing weights of evidence....
0 votes
1 answer
85 views

Valuation functional

Consider an economy with $J = 2$ assets and $S = 3$ states. The $J\times S$ payoff matrix for the two assets is $$X = \begin{pmatrix} 0 & 3 & 3\\ 1 & 1 & 0\\ \end{pmatrix}$$ and the ...
2 votes
1 answer
291 views

When a particular bond is delivered, why there is the need to define a conversion factor? What is its utility?

Where, the conversion factor for a bond (by John C. Hull) is set equal to the quoted price the bond would have per dollar of principal on the first day of the delivery month on the assumption that the ...
3 votes
1 answer
260 views

Particular kind of market game

This question concerns game theory and market equilibria which is rarely of focus here at QSE, but at the same time I believe this is a more appropriate place for such question rather than MSE. ...
1 vote
2 answers
149 views

How do I interpret the credit rating history time series?

This is the best historical time series which I could find from tradingeconomics.com/malaysia/rating. It would be great if someone could answer my question. I am currently researching on the topic of ...
2 votes
0 answers
58 views

Simulating Asset Prices by Independently Simulating Supply and Demand

If I have an asset, whose supply is generally mean-reverting and whose demand is generally cyclical, could I somehow simulate / project the supply and demand levels across multiple discrete time ...
0 votes
2 answers
68 views

Central Bank intervention in forex market

Sometimes CB intervenes in fx market buy buying or selling currency to make it stay in some band. My question is how does Central Bank determine the size of interventions? I mean how do they know how ...
1 vote
1 answer
2k views

In what economic scenario do yield curves bull flatten or bear steepen?

Bull steepening and bear flattening have the common belief that in bad news, treasuries catch a bid and short end rallies more because most bad news are short lived. In good news, treasuries sell off ...
5 votes
2 answers
396 views

Brexit implied probability

It is possible to bet on the Brexit e.g. on this page: https://sports.ladbrokes.com/en-gb/betting/politics/british/eu-referendum/uk-european-referendum/220800266/ The quotes are 8/15 for remain, and ...
3 votes
0 answers
168 views

A doubt about Evans and Jovanovic (1989) economic model for entrepreneurs with credit constraints

[I already posted this question on the math forum of stackexchange and I was advised that I should post this question here] In Evans and Jovanovic (1989) you will find a model for entrepreneurs with ...
4 votes
4 answers
734 views

Could we have prevented the World Economic Crisis in 2008?

There is an expression - "Too big to fall." - which means that if a bank or a financial institution manages a sufficient part of the financial assets than the state can't afford that this bank or ...
2 votes
1 answer
384 views

Which studies should be replicated?

In psychology voting on which studies should be replicated is established on a website. For economics, including financial economics, the ReplicationWiki (that I founded) offers a voting option but it ...
0 votes
1 answer
93 views

How were the probabilities of recession over the next four quarters calculated in this table?

http://www.bloomberg.com/news/articles/2016-02-08/goldman-sachs-says-defy-mr-market-as-recession-risk-still-low The probability of a slump in the U.S. is just 18 percent and 23 percent over the ...
8 votes
2 answers
371 views

Testing for stock market herding over short periods

The literature has well established methods for testing stock market herding over a decent time window. Are there any ways that have appeared in the literature to test for stock market herding over ...
0 votes
1 answer
68 views

Fannie Mae and Freddie Mac as substitute benchmark bonds

"The reduction seen in US government debt in the late 1990s has led to a redution in the supply of intermediate and long-term government bonds, and some concern has arisen over this fact. In the ...
2 votes
1 answer
76 views

Why financial instistution for instance banks lowered down their interest rate during QE?

When QE is carried out, the Federal Reserve prints money and buy government bonds in an effort to pour extra money into the economy. This causes financial institutions for instance banks to lowered ...
3 votes
3 answers
222 views

Why Central Bank carry out Qe when they can directly force banks to lower down the interest rate?

To boost the economy, the central bank can do it either by lowering down the interest rate nor carry out QE. But QE objective is to lowered the interest rate also so banks can give out more loan. This ...