784 research outputs found

    Reform Redux: Measurement, Determinants and Reversals

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    We construct objective measures of privatization, internal and external liberalization reform efforts, across countries over time, and investigate their determinants, reversals and macroeconomic impacts. We find that GDP growth determines external liberalization and privatization, concentration of political power drives internal liberalization, and democracy underpins all three. We find that FDI inflows reduce the probability of privatization reversals, labour strikes increase that of internal liberalization reversals, and terms of trade shocks increase that of external liberalization reversals. We replicate previous studies and find that the macroeconomic effects of reform (when measured objectively) tend to be larger and more precisely estimated.reform; liberalization; privatization; political economy; transition

    Reform Redux: Measurement, Determinants and Reversals

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    What do we know about the effects of structural reforms? One main reason the answer may be “little†is inadequate measurement. In this paper we put forward improved measures of economic liberalization across countries over time. We show that structural reforms, carefully measured, follow richer dynamics (than those from existing indexes) which are very closely linked to the theoretical work. For example, we find FDI inflows reduce the likelihood of privatization reversals and labour strikes increase that of price liberalization reversals. We also find that our new measures, in standard specifications, have larger and more precisely estimated impacts on growth.Structural reforms, reform reversals, price liberalization, trade liberalization, privatization, political economy.

    Estimating quadratic variation when quoted prices jump by a constant increment

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    Financial assets' quoted prices normally change through frequent revisions, or jumps. For markets where quotes are almost always revised by the minimum price tick, this paper proposes a new estimator of Quadratic Variation which is robust to microstructure effects. It compares the number of alternations, where quotes are revised back to their previous price, to the number of other jumps. Many markets exhibit a lack of autocorrelation in their quotes' alternation pattern. Under quite general 'no leverage' assumptions, whenever this is so the proposed statistic is consistent as the intensity of jumps increases without bound. After an empirical implementation, some useful corollaries of this are given.

    A generic model of dyadic social relationships

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    We introduce a model of dyadic social interactions and establish its correspondence with relational models theory (RMT), a theory of human social relationships. RMT posits four elementary models of relationships governing human interactions, singly or in combination: Communal Sharing, Authority Ranking, Equality Matching, and Market Pricing. To these are added the limiting cases of asocial and null interactions, whereby people do not coordinate with reference to any shared principle. Our model is rooted in the observation that each individual in a dyadic interaction can do either the same thing as the other individual, a different thing or nothing at all. To represent these three possibilities, we consider two individuals that can each act in one out of three ways toward the other: perform a social action X or Y, or alternatively do nothing. We demonstrate that the relationships generated by this model aggregate into six exhaustive and disjoint categories. We propose that four of these categories match the four relational models, while the remaining two correspond to the asocial and null interactions defined in RMT. We generalize our results to the presence of N social actions. We infer that the four relational models form an exhaustive set of all possible dyadic relationships based on social coordination. Hence, we contribute to RMT by offering an answer to the question of why there could exist just four relational models. In addition, we discuss how to use our representation to analyze data sets of dyadic social interactions, and how social actions may be valued and matched by the agents

    Magic numbers in the Dow

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    There is a widespread belief in financial markets that trends in prices are arrested at support and resistance levels that are to some degree predictable from the past behaviour of the price series. Here we examine whether ratios of the length and duration of successive price trends in the Dow Jones Industrial Average cluster around round fractions or Fibonacci ratios. We identify turning points by heuristics similar to those used in business cycle analysis, and test for clustering using a block bootstrap procedure. A few significant ratios appear, but no more than would be expected by chance given the large number of tests we conduct

    Variation, jumps, market frictions and high frequency data in financial econometrics

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    We will review the econometrics of non-parametric estimation of the components of the variation of asset prices. This very active literature has been stimulated by the recent advent of complete records of transaction prices, quote data and order books. In our view the interaction of the new data sources with new econometric methodology is leading to a paradigm shift in one of the most important areas in econometrics: volatility measurement, modelling and forecasting. We will describe this new paradigm which draws together econometrics with arbitrage free financial economics theory. Perhaps the two most influential papers in this area have been Andersen, Bollerslev, Diebold and Labys(2001) and Barndorff-Nielsen and Shephard(2002), but many other papers have made important contributions. This work is likely to have deep impacts on the econometrics of asset allocation and risk management. One of our observations will be that inferences based on these methods, computed from observed market prices and so under the physical measure, are also valid as inferences under all equivalent measures. This puts this subject also at the heart of the econometrics of derivative pricing. One of the most challenging problems in this context is dealing with various forms of market frictions, which obscure the efficient price from the econometrician. Here we will characterise four types of statistical models of frictions and discuss how econometricians have been attempting to overcome them.

    Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility

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    This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which new developments related to the impact on measured volatility of market microstructure noise and random jumps are explicitly taken into account. The option-based component of the analysis also accommodates the concept of model-free implied volatility, such that the forecasting performance of the options market is separated from the issue of misspecification of the option pricing model. The forecasting assessment is conducted using an extensive set of observations on equity and option trades for News Corporation for the 1992 to 2001 period, yielding certain clear results. According to several different criteria, the model-free implied volatility is the best performing forecast, overall, of future volatility, with this result being robust to the way in which alternative measures of future volatility accommodate microstructure noise and jumps. Of the volatility measures considered, the one which is, in turn, best forecast by the option-implied volatility is that measure which adjusts for microstructure noise, but which retains some information about random jumps.Volatility Forecasts; Quadratic Variation; Intraday Volatility Measures; Model-free Implied Volatility.

    Misjöfn Verks: Gendered Division of Labour and Social/Instrumental Power in the Viking Age

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    HIST 4990, History of TechnologyLA&PS 2018 Writing Prize Finalists, 4th Year Honourable Mentio
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