Equity Premiums In a Small Open Economy

This paper studies the behaviour of asset prices in relation to consumption and other business cycle variables. While RBC models have been able to successfully explain the dynamics of macroeconomic variables, they fail to replicate similar interesting stylized facts when studying the behavior of asset prices. In an attempt to solve this shortcoming, some progress has been made in models that modify utility in order to account for habit persistence and incorporate capital adjustment costs. We have developed a framework that combines these ingredients by applying the loglinearly reduced form of the general equilibrium model and the asset pricing formula, based on the lognormality of the disturbance distribution for the small open economy case. Our ndings indicate that in a small open economy environment this kind of model fails to account for a substantial equity premium.Equity premium; habit formation; small open economy

EQUITY Premium Puzzle in a Data-Rich Environment

Standard consumption-based asset pricing models focus on the consumption risk, seen as the only source of fluctuations and information about risk for the informed investor. These models, however, can account for high expected excess stock return only when assuming implausible relative risk aversion. This paper adds additional risk factors to the standard C-CAPM model to resolve both the equity premium and the risk-free rate puzzles as well as the risk-free rate volatility puzzle. By adding other relevant risk factors, the resulting pricing model is able to explain these puzzles relying on admissible range of local relative risk aversion. The model generates, also, a time-varying relative risk aversion and intertemporal elasticity of substitution.Common factors, factor analysis, principal components, asset pricing, equity premium puzzle, risk free rate puzzle.

Changing children’s intergroup attitudes towards refugees: Testing different models of extended contact

The present research evaluated an intervention, derived from the "extended contact hypothesis," which aimed to change children's intergroup attitudes toward refugees. The study (n=253) tested 3 models of extended contact among 5- to 11-year-old children: dual identity, common ingroup identity, and decategorization. Children read friendship stories based upon these models featuring in- and outgroup members. Outgroup attitudes were significantly more positive in the extended contact conditions, compared with the control, and this was mediated by "inclusion of other in self." The dual identity intervention was the most effective extended contact model at improving outgroup attitudes. The effect of condition on outgroup intended behavior was moderated by subgroup identity. Implications for theoretically based prejudice-reduction interventions among children are discussed

The macroeconomic effects of monetary policy and financial crisis

In this paper we focus on postwar US data and incorporate new nancial measures and monetary policy shocks in a vector autoregression (VAR) system in order to test whether one or the other has any real effect on the economy. We nd econometric evidence that these shocks and events are exogenous, and therefore the exogenous nature of shocks to monetary policy and stock market crashes investigated in this study may help policymakers, especially regarding debates related to eventual relationships between optimal monetary policy and nancial stability.Financial crisis; monetary policy

Brexit has already hurt EU and non-EU exports by up to 13% – new research

Over the past few months, Terence Huw Edwards (Loughborough University, left), Christian Soegaard (Warwick University) and Mustapha Douch (Aston University) have been investigating how the vote of June 23 2016 has since affected the values and patterns of Britain’s trade with major trading partners inside and outside the European Union. By comparing trade flows with a model of what UK trade flows would have looked like had the UK voted to stay in the EU, we can clearly see that British exports to both EU and non-EU countries have taken a hit

How traditional preparation methods affect the nutritional composition of Lupin and Soy

Awareness of the health benefits associated with reducing the consumption of animal products has led to an increase in the development of meat alternatives. Many of these alternatives rely on soybean because of its adaptability in producing a palatable meat alternative, such as Tempeh and Tofu. However, many are falling out of favour of soy as its consumption is linked to deforestation and loss of biodiversity. Furthermore, most of soy is imported into the UK therefore carbon footprint has to be taken into consideration. Lupin bean is deemed a possible alternative for soy as they can be cultivated in the UK and have many environmental benefits including nitrogen fixing, but its nutritional composition in comparison to soy is unknown particularly following processing by fermentation to produce tempeh and the coagulating to produce tofu. Thus the aim of this project was to compare the nutritional profile, focussing on protein and amino acid content, of soy and lupin beans. We observed that boiling the raw soy and lupin beans significantly increased the water content but decreased in nutritional content (energy, fats and protein). However while fermentation (process for the production of tempeh) increased the protein content in both beans the amino acid content was different. Fermentation increased the levels of branch chain amino acids (BCAA) in lupin while decreasing them in soy, although further frying of the soy increased it to greater levels of that of lupin where no further increase was observed. It was found that a processing method can influence the nutritional content of these products, however it was found that the Soy tempeh BCAA actually adapted best to the frying

The macroeconomic effects of monetary policy and financial crisis

In this paper we focus on postwar US data and incorporate new nancial measures and monetary policy shocks in a vector autoregression (VAR) system in order to test whether one or the other has any real effect on the economy. We nd econometric evidence that these shocks and events are exogenous, and therefore the exogenous nature of shocks to monetary policy and stock market crashes investigated in this study may help policymakers, especially regarding debates related to eventual relationships between optimal monetary policy and nancial stability

Equity Premiums In a Small Open Economy

This paper studies the behaviour of asset prices in relation to consumption and other business cycle variables. While RBC models have been able to successfully explain the dynamics of macroeconomic variables, they fail to replicate similar interesting stylized facts when studying the behavior of asset prices. In an attempt to solve this shortcoming, some progress has been made in models that modify utility in order to account for habit persistence and incorporate capital adjustment costs. We have developed a framework that combines these ingredients by applying the loglinearly reduced form of the general equilibrium model and the asset pricing formula, based on the lognormality of the disturbance distribution for the small open economy case. Our ndings indicate that in a small open economy environment this kind of model fails to account for a substantial equity premium

Déterminants empiriques du taux de change Canada/´Etats-Unis dans une perspective de court et de long terme

This paper emphasizes on the fundamental macroeconomic variables affecting the Canadian exchange rate. Throughout this work, we use the classical monetary theory and try to validate it in the case of the bilateral exchange rate between Canada and USA. Using an extended version of the model of Chinn (2000) and the equilibrium of both the monetary and financial markets we determine the macroeconomic variables to introduce in such a model. Our results show that the estimated monetary model manages to reproduce general dynamics of the exchange rate and even has to exceed the moving average model within the forecast framework