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  • Other Sources  (107)
  • 1995-1999  (76)
  • 1985-1989  (31)
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  • 1
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    Atlanta, GA: Federal Reserve Bank of Atlanta
    Publication Date: 2018-11-07
    Description: In this paper we formulate and test a number of hypotheses regarding insurer participation and volume decisions in derivatives markets. Several specific hypotheses are supported by our analysis. We find evidence consistent with the idea that insurers are motivated to use financial derivatives to hedge the costs of financial distress, interest rate, liquidity, and exchange rate risks. We also find some evidence that insurers use these instruments to hedge embedded options and manage their tax bills. We also find evidence of significant economies of scale in the use of derivatives. Interestingly, we often find that the predetermined variables we employ display opposite signs in the participation and volume regressions. We argue that this result is broadly consistent with the hypothesis that there is also a per unit premium associated with hedging and that, conditional on having risk exposures large enough to warrant participation, firms with a larger appetite for risk will be less willing than average to pay this marginal cost.
    Keywords: ddc:330 ; Corporations - Finance ; Derivative securities ; Financial services industry ; Business enterprises
    Language: English
    Type: doc-type:workingPaper
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  • 2
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    Atlanta, GA: Federal Reserve Bank of Atlanta
    Publication Date: 2018-11-07
    Description: In this paper we investigate the extent to which insurance companies utilize financial derivatives contracts in the management of risks. The data set we employ allows us to observe the universe of individual insurer transactions for a class of contracts, namely, those normally through of as off-balance-sheet (OBS). We provide information on the number of insurers using various types of derivatives contracts and the volume of transactions in terms of notional amounts and the number of counterparties. Life insurers are most active in interest rate and foreign exchange derivatives, while property-casualty insurers tend to be active in trading equity option and foreign exchange contracts. Using a multivariate probit analysis, we explore the factors that potentially influence the existence of OBS activities. We also investigate questions relating to whether certain subsets of OBS transactions (e.g., exchange traded) are related to such things as interest rate risk measures, organizational form, and other characteristics that may discriminate between desired risk/return profiles across a cross-section of insurers. We find evidence consistent with the use of derivatives by insurers to hedge risks posed by guaranteed investment contracts (GICs), collateralized mortgage obligations (CMOs), and other sources of financial risk.
    Keywords: ddc:330 ; Corporations - Finance ; Derivative securities ; Insurance industry
    Language: English
    Type: doc-type:workingPaper
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  • 3
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    Konstanz: Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft
    Publication Date: 2020-01-22
    Description: This paper develops a model of the trade liberalization process, featuring both international negotiation and special-interest-driven domestic politics. We show that a country may wish to adopt a policy of unilaterally reducing its tariff whenever political opposition in other countries stalls negotiations toward free trade, because such a policy weakens the political opposition in those countries and expedites the liberalization process. Thus a pattern emerges in which unilateral liberalization by one large country (the leader) is followed by a greater likelihood of trade reform in other countries, with deeper tariff cuts therein. Moreover, we show that this pattern may be more pronounced the larger is the leader country. These results help to explain the cases of mid-nineteenth-century Britain and mid-twentieth-century United States and to support a theory of international leadership in trade policy-making.
    Keywords: ddc:330 ; Handelsliberalisierung ; Zollpolitik ; Verhandlungen ; Neue politische Ökonomie ; Theorie
    Language: English
    Type: doc-type:workingPaper
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  • 4
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    Konstanz: Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft
    Publication Date: 2020-01-22
    Description: This paper uses a political principal-agent model to analyze the process by which international environmental treaties are negotiated and ratified. To the extent that political principals hire negotiators on the basis of their negotiation skills rather than their policy preferences, negotiators will generally favor more stringent environmental regulations than their principals. Consequently, there will tend to be a greater consensus among negotiators for stringent environmental treaties than among principals. And, treaties will be greener than politically optimal. Historical and statistical evidence from the treaties negotiated at the World Summit in Rio de Janeiro is consistent with the analysis developed.
    Keywords: ddc:330 ; Umweltabkommen ; Prinzipal-Agent-Theorie ; Neue politische Ökonomie ; Theorie
    Language: English
    Type: doc-type:workingPaper
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  • 5
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    Köln: Max-Planck-Institut für Gesellschaftsforschung
    Publication Date: 2013-05-22
    Description: Over the past decade, most OECD countries have begun to reform fundamentally their agricultural policies. Some dispute has emerged over the extent to which policy-making at the international level has triggered these reforms. These disputes raise important theoretical questions about how we theorize and test for the degree of interdependence between international, regional (EU), and domestic policy change. This paper offers the concept of autonomous, linked games as a possible theoretical route to follow, a route that also permits more systematic theoretical consideration of the role of international organizations in policy-making. We focus, in particular, on the European Commission and the GATT Secretariat. Drawing on these concepts, we argue that policy reform by EU member states was significantly shaped by proposals and outcomes in the international negotiations on agriculture during the GATT Uruguay Round.
    Description: Im Laufe des letzten Jahrzehnts haben die reichsten OECD-Länder grundlegende Reformen ihrer Agrarpolitik in Angriff genommen. Die Frage, inwieweit politische Maßnahmen auf internationaler Ebene den Anstoß für diese Reformen gegeben haben, wird derzeit kontrovers diskutiert. Diese Diskussion wirft wichtige theoretische Fragen darüber auf, wie das Ausmaß der Interdependenz zwischen internationalen, regionalen (EU) und nationalen Politikänderungen theoretisch erfasst und empirisch bestimmt werden kann. Wir bieten das Konzept autonomer, miteinander verbundener Spiele als theoretischen Ansatz an, der zur Lösung dieser Fragen beitragen könnte. Dieser Ansatz könnte auch eine stringentere theoretische Analyse der Rolle internationaler Organisationen bei der Politikgestaltung ermöglichen. Der Schwerpunkt liegt insbesondere auf der Europäischen Kommission und dem GATT-Sekretariat. Auf der Grundlage unseres Ansatzes argumentieren wir, daß Politikreformen in den EU-Mitgliedstaaten in beträchtlichem Maße geprägt wurden von den Vorschlägen und Ergebnissen der internationalen Agrarverhandlungen während der Uruguay-Runde des GATT.
    Keywords: ddc:330 ; Weltwirtschaftspolitik ; Internationale Handelspolitik ; Spieltheorie ; Agraraußenhandel ; Außenhandelspolitik ; EU-Agrarpolitik ; Welt ; EU-Staaten
    Language: English
    Type: doc-type:workingPaper
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  • 6
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    Atlanta, GA: Federal Reserve Bank of Atlanta
    Publication Date: 2018-11-07
    Description: Until recently, the trend in world capital markets has been toward increasing globalization. Recent events in Latin America and Asia have caused many in policy-making circles to question whether this trend should be wholly, or at least partially, reversed. It is commonly argued that—at a minimum—countries should be given the discretion to erect such barriers, at least in certain circumstances. Recent events, then, have forced a rethinking of the desirability of unrestricted world capital flows. The general presumption appears to be that the "victims" of highly volatile capital flows should be allowed to limit or restrict inflows and outflows of funds. But outflows of funds from smaller and less developed economies often represent inflows of funds to larger and more developed economies. This raises the issue of whether there would be benefits associated with larger and wealthier economies taking actions to limit capital mobility. This paper presents a formal analysis of erecting barriers to international capital flows. We find that, in contrast to conventional thinking, when there are substantial differences in per capita GDP across countries, long-run output in all countries can be increased by having wealthier economies erect some partial barriers to capital mobility. Interestingly, wealthier economies need not persuade poorer economies to cooperate: by implementing an appropriately selected tax on capital flows it will often be the case that the wealthy economy can unilaterally obtain a higher steady state welfare level for all agents in all economies. We also show that these same barriers need not eliminate endogenously arising volatility in income, capital flows, and asset returns. Under some circumstances, then, if it is desirable to reduce such volatility, this must be accomplished by other means. However, and this bears emphasis, the case for imposing barriers on capital flows does not depend critically on the ability of these barriers to eliminate excess volatility.
    Keywords: ddc:330 ; Capital market ; Capital movements ; International economic relations
    Language: English
    Type: doc-type:workingPaper
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  • 7
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    Atlanta, GA: Federal Reserve Bank of Atlanta
    Publication Date: 2018-11-07
    Description: The sign of the relationship between expected stock market returns and volatility appears to vary over time, a result that seems at odds with basic notions of risk and return. In this paper we construct an economy where production involves the use of both labor and capital as inputs. We show that when capital investment is "sticky," the sign of the relation between stock market risk and return varies in accordance with the supply of labor but requires no time variation in preferences. In particular, we show that for asset market equilibria where firms face an elastic supply of labor, the traditional positive risk-return relation obtains. Conversely, a negative relation obtains for asset market equilibria where there is positive probability that labor supply will be highly inelastic. A nice feature of our model is that, unlike earlier work, the sign of the stock market risk-return relation can be associated with observable features of the business cycle. Post–World War II macroeconomic and stock return data are used to test the predictions from the model. Using standard measures of stock market volatility, our results provide support for a stock market risk-return relation that is negative at the peaks of business cycles and positive at the troughs.
    Keywords: ddc:330 ; Stock market ; Risk ; Production (Economic theory) ; Business cycles
    Language: English
    Type: doc-type:workingPaper
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  • 8
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    Atlanta, GA: Federal Reserve Bank of Atlanta
    Publication Date: 2018-11-07
    Description: In this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia. Following Brock, Lakonishok, and LeBaron (1992), we apply popular technical trading rules to the daily S&P 500 index over a long period of time. Trading profits are examined using bootstrap simulation to address distributional anomalies. We estimate a variety of asset pricing models, including the random walk, autoregressive models, a combined jump diffusion model, and a combined model of jump-diffusion and autoregressive conditional heteroskedasticity. Technical trading profits are shown to be statistically significant for the pure diffusion models and autoregressive models, yet become less significant when jump risk is incorporated into the model and virtually disappear for an asset pricing model that incorporates both jump risk and time-varying risk premia. The empirical evidence suggests that technical trading profits could be fair compensation for the risk of price discontinuity as well as time-varying risk premia of asset returns. Alternatively, technical trading profits provide a test of specification of asset pricing models; in this vein the evidence provides support for the incorporation of jump risk into asset pricing models.
    Keywords: ddc:330 ; Financial markets ; Prices
    Language: English
    Type: doc-type:workingPaper
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  • 9
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    Atlanta, GA: Federal Reserve Bank of Atlanta
    Publication Date: 2018-11-07
    Description: We use a multivariate generalized autoregressive heteroskedasticity model (M-GARCH) to examine three stock indexes and their associated futures prices: the New York Stock Exchange Composite, Standard and Poor's 500, and Toronto 35. The North American context is significant because markets in Canada and the United States share similar structures and regulatory environments. Our model allows examination of dependence in volatility as it captures time variation in volatility and cross-market influences. Estimated time-variation in volatility is significant, and the volatilities are highly positively correlated. Yet, we find that the correlation in North American index and futures markets has declined over time.
    Keywords: ddc:330 ; Financial markets ; Futures ; Stock market
    Language: English
    Type: doc-type:workingPaper
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  • 10
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    Milano: Fondazione Eni Enrico Mattei (FEEM)
    Publication Date: 2018-11-15
    Description: In this paper, the problem of negotiating an abatement agreement is approached from the perspective of the theory of public goods in a general equilibrium context. Such an approach has the appeal of simultaneously dealing with both equity and efficiency issues. Three major difficulties in negotiating an agreement under such an approach are discussed. First, there is the problem of obtaining some measure of agreement about the welfare impacts of abatement on different economies. Second, there is the problem of obtaining agreement about the likely need to allocate side payments to address differential welfare impacts. Finally, in a partial abatement agreement, there is the problem of dealing with impacts on non-abating countries and the possible response of such countries. In a general equilibrium context, it is unlikely that there is a simple rule that could be used to approximate the appropriate public goods solution concept. Nevertheless, negotiations based on the use of indicator variables may provide a rough approximation.
    Keywords: D58 ; H41 ; Q28 ; ddc:330 ; Greenhouse ; Abatement ; Public goods ; Cost sharing ; Klimawandel ; Umweltabkommen ; Öffentliche Güter ; Allgemeines Gleichgewicht ; Theorie
    Language: English
    Type: doc-type:workingPaper
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