Price volatility and uncertainty
Commodity price volatility and the economic uncertainty of pandemics
... commodity volatility measures and the world pandemic uncertainty index, b) we estimate the orthogonalized IRFs using the Cholesky decomposition based on our VAR ordering, instead of the generalized IRFs, ...
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Oil price uncertainty as a predictor of stock market volatility
... oil price uncertainty factor to forecast stock market ...oil price uncertainty factor has extra predictive power when compared to traditional oil-related, macroeconomic and equity-specific ...
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Oil Price Volatility and Stock Price Volatility: Evidence from Nigeria
... Keywords: GARCH, Nigeria, Oil price, Stock price, Volatility. 1. Introduction Oil is the livewire of any country because of its diverse use. The importance of oil on economic activities can be felt ...
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Financial Innovation and Price Volatility
... reduce volatility through ¯nancial innovation when traders cannot rebalance their holdings of the new ...of uncertainty, it may be convenient to introduce hedging instruments over the counter as opposed to ...
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The Behaviour of Salmon Price Volatility
... on volatility and thus results in poorer fits than standard GARCH ...our price series indicate non-normality, which is not surprising considering many large residuals (Doornik and Hansen ...the price ...
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Investment and oil price volatility
... 5 uncertainty and investment depends on the interaction between the extent of competition in the industry and the irreversibility of the ...because uncertainty increases the value of the firm’s investment ...
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FORECASTING OIL PRICE VOLATILITY
... the uncertainty created by the Iraqi invasion of Kuwait, but retreated in the face of an US-led military resolution of the conflict and increased supply from other ...the price recovery continued well into ...
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Another Look at the Interaction Between Oil Price Uncertainty and Exchange Rate Volatility: The Case of Small Open Economies
... This indicator serves to emphasize the role of oil price volatility in determining the volatility of real exchange rate. They found a negative and significant relationship between fluctuations in oil ...
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The impact of uncertainty shocks on the volatility of commodity prices
... the volatility of commodity ...economic uncertainty measures have a rather transitory and less statistically significant impact on the volatility of commodity ...macroeconomic uncertainty ...
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House Price Volatility and the Housing Ladder
... house price rises is more important than avoiding the risk of a house price ...house price uncertainty the higher the incentive to become an ...
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Financial markets with volatility uncertainty
... with price process modeled by a geometric G–Brownian ...stock price dynamics which exclude arbitrage ...ity uncertainty the market is not complete any ...
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Model Uncertainty and Endogenous Volatility
... This paper specifies a simple monetary model in which aggregate supply and ag- gregate demand depend on a vector of autoregressive exogenous disturbances and supply additionally depends on unanticipated price ...
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The Market Price of Fiscal Uncertainty
... consistent with the data. On the other hand, the implied volatility of taxes is moderate, in the order of 2.6%. Our results, therefore, are not driven by an excessively volatile tax rate. These results can be ...
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The impact of uncertainty shocks on the volatility of commodity prices
... Policy Uncertainty index of Baker et ...the uncertainty about macroeconomic news, monetary policy, fiscal policy and financial regulation ...financial uncertainty series which refer to the ...
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Stock market volatility and jumps in times of uncertainty
... lagged volatility series of equity prices explains a large part of the aggregate time varying stock market ...market volatility is related to business cycle fluctuations (Barro 2006; Engle et ...yearly ...
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House price volatility metamodel for managing house price volatility knowledge
... house price volatility (HPV) and attracts the interest of law creators and investors in the significance of ...House Price domain by examining HPV and its attributes to find the determinant which has ...
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Stock Price Volatility
... For example, if a firm's capital structure is top- heavy, like railroads, the retention of earnings available for the common stock will serve more to increase the assets protecting the bondholders than to improve the ...
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Takeovers and stock price volatility
... If a higher aggregate rate of takeovers implies a higherprobability that a randomly selected firm will face a challenge for control, then the random walk behavior [r] ...
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Price volatility and food security
... food price inflation and volatility that determine the poverty and food security impacts of international food ...food price rise was transmitted to domestic prices, although not evenly and in some ...
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Price volatility and food security
... Various factors contributed to the policy silence over the last decades on international cooperation for food stocks. Economists such as Brian Wright (1984, 2011) have demonstrated the optimality of private storage. ...
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