Macroeconomics eJournal最新文献_第8页

Macroeconomics eJournal Pub Date : 2008-01-01 DOI: 10.2139/ssrn.1083854

S. H. Seog, Jangkoo Kang

{"title":"Indexing Catastrophe Securities","authors":"S. H. Seog, Jangkoo Kang","doi":"10.2139/ssrn.1083854","DOIUrl":"https://doi.org/10.2139/ssrn.1083854","url":null,"abstract":"The recent development of indexed catastrophe (CAT) securities is a concern in the insurance literature. We refer to the two existing prominent explanations as the systematic risk approach and the moral hazard approach. Under the systematic risk approach, the systematic risk portion is hedged by index-triggered securities, and the remaining nonsystematic risk is hedged through indemnity-triggered vehicles including traditional insurance. Under the moral hazard approach, indexing protects firms from losses without incurring moral hazard problems. We argue that indexing is at most supplementary in both approaches. We suggest two alternative rationales for indexing CAT securities. First, if firms are concerned with downside risks rather than variation, then indexing is optimal, since indexing can remove downside risks without incurring costs for upside risks. The amount of proceeds is determined by balancing financing costs and costs of downside risks. Second, the observability of loss is another key factor for indexing, even when firms are concerned with variability. We identify the important sources of high observation costs as (i) the inherent difficulty in identifying CAT losses; (ii) the impossibility of taking over the firm by the bondholders under a CAT event; and (iii) the non-separability of cash flows between from a CAT event and from other operations of the firm.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"299 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113986532","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Macroeconomic Cycles and the Stock Market's Reaction to Monetary Policy 宏观经济周期和股市对货币政策的反应

Macroeconomics eJournal Pub Date : 2008-01-01 DOI: 10.2139/ssrn.1092246

Arabinda Basistha, A. Kurov

引用次数: 261

Stock Returns and Economically Neutral Behavioural Variables: Evidence from the Nepalese Stock Market 股票收益与经济中性行为变量:来自尼泊尔股市的证据

Macroeconomics eJournal Pub Date : 2007-12-30 DOI: 10.3126/nrber.v19i1.52988

Nayan Krishna Joshi, Ram Chandra Bhattarai

引用次数: 6

Elements of Financial Markets' Infrastructure Development in Russia: Empirical Research 俄罗斯金融市场基础设施发展的要素:实证研究

Macroeconomics eJournal Pub Date : 2007-12-27 DOI: 10.2139/ssrn.1078814

A. Yusupova

引用次数: 0

A Comparison of Measures of Core Inflation 核心通货膨胀指标的比较

Macroeconomics eJournal Pub Date : 2007-12-01 DOI: 10.2139/ssrn.1072923

Robert W. Rich, C. Steindel

{"title":"A Comparison of Measures of Core Inflation","authors":"Robert W. Rich, C. Steindel","doi":"10.2139/ssrn.1072923","DOIUrl":"https://doi.org/10.2139/ssrn.1072923","url":null,"abstract":"The ability of central banks to differentiate between permanent and transitory price movements is critical for the conduct of monetary policy. The importance of gauging the persistence of price changes in a timely manner has led to the development of measures of underlying, or “core,” inflation that are designed to remove transitory price changes from aggregate inflation data. Given the usefulness of this information to policymakers, there is a surprising lack of consensus on a preferred measure of U.S. core inflation. This article examines several proposed measures of core inflation—the popular ex food and energy series, an ex energy series, a weighted median series, and an exponentially smoothed series—to identify a “best” measure. The authors evaluate the measures’ performance according to criteria such as ease of design and accuracy in tracking trend inflation, as well as explanatory content for within-sample and out-of-sample movements in aggregate CPI and PCE inflation. The study reveals that the candidate series perform very differently across aggregate inflation measures, criteria, and sample periods. The authors therefore find no compelling evidence to focus on one particular measure of core inflation, including the series that excludes food and energy prices. They attribute their results to the design of the individual measures and the measures’ inability to account for variability in the nature and sources of transitory price movements.","PeriodicalId":170505,"journal":{"name":"Macroeconomics eJournal","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121468477","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 83

Fear of the Unknown: Familiarity and Economic Decisions 对未知的恐惧:熟悉度和经济决策

Macroeconomics eJournal Pub Date : 2007-12-01 DOI: 10.2139/ssrn.985381

H. Cao, Bing Han, Harold H. Zhang, D. Hirshleifer

引用次数: 181

Federal Student Loan Program: Quantitative Implications for College Enrollment and Default Rates 联邦学生贷款计划:对大学入学和违约率的定量影响

Macroeconomics eJournal Pub Date : 2007-12-01 DOI: 10.2139/ssrn.976709

Anamaria Felicia Ionescu

引用次数: 72

Downward Wage Rigidity for Different Workers and Firms: An Evaluation for Belgium Using the IWFP Procedure 不同工人和企业的工资下调刚性:对比利时使用ifwfp程序的评价

Macroeconomics eJournal Pub Date : 2007-12-01 DOI: 10.2139/ssrn.1685847

Philip Du Caju, C. Fuss, L. Wintr