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Report
Money demand, transactions proxies, and the effects of fiscal policies in open economies
Weiller, Kenneth J.
(1986)
Research Paper
, Paper 8602
Report
Volatility and liquidity in futures markets
Locke, Peter; Sarkar, Asani
(1996)
We study the provision of liquidity in futures markets as price volatility changes. For both active and inactive contracts, customer trading costs do not increase with volatility. However, for three of the four contracts studied, the nature of liquidity supply changes with volatility. Specifically, for relatively inactive contracts, customers as a group trade more with each other (and less with market makers) on higher volatility days. By contrast, for the most active contract, trading between customers and market makers increases with volatility. We also find that market makers' income per ...
Research Paper
, Paper 9612
Report
Tests for measurement of service sector productivity
Englander, A. Steven
(1989)
Research Paper
, Paper 8906
Report
Corporate leverage and the consequences of macroeconomic instability
Lee, William
(1990)
Research Paper
, Paper 9012
Report
Bank mergers and excess capacity: a study of the relative operating performance of four multi-bank holding companies
Johnson, Ronald
(1993)
Research Paper
, Paper 9305
Report
Is implied correlation worth calculating? Evidence from foreign exchange options and historical data
Lopez, Jose A.; Walter, Christian
(1997)
This paper examines the performance of implied correlations in forecasting subsequently realized correlations between exchange rates. Implied correlations are derived from sets of implied volatilities on the three exchange rates in a currency trio. We compare the forecasting performance of the implied correlations from two currency trios with markedly different characteristics over two forecast horizons (one month and three months) against a set of alternative correlation forecasts based on time-series data. ; For the correlations in the USD/DEM/ JPY currency trio, we find that the ...
Research Paper
, Paper 9730
Report
Measuring economic activity and economic welfare: what are we missing?
Steindel, Charles
(1997)
Major U.S. economic data, most notably GDP and Industrial Production, are undergoing major changes. Proposals have been made for significant alterations in the CPI. The revision process has helped to spur debate on such topics as the proper method of accounting for high technology's role in the economy, the reported sluggishness of productivity growth in many service industries, and the overstatement of price increases for numerous products. This paper attempts to assess the potential impact of some of these problems on our understanding of basic trends in the economy. It is found that with ...
Research Paper
, Paper 9732
Report
Estimating the adverse selection and fixed costs of trading in markets with multiple informed traders
Sarkar, Asani; Wu, Lifan; Chakravarty, Sugato
(1998)
We investigate, both theoretically and empirically, the relation between the adverse selection and fixed costs of trading and the number of informed traders in a financial asset. As a proxy for informed traders, we use dual traders -- i.e., futures floor traders who execute trades both for their own and customers' accounts on the same day. Our theoretical model shows that dual traders optimally mimic the size and direction of their informed customers' trades. Further, the adverse selection (fixed) costs of trading: (1) decrease (increase) with the number of dual traders m, if dual traders are ...
Research Paper
, Paper 9814
Report
Regulatory standards, noncompliance and enforcement
Kambhu, John
(1989)
Research Paper
, Paper 8902
Report
Price limits and volatility in soybean meal futures markets
Cantor, Richard
(1989)
Research Paper
, Paper 8904
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Hardouvelis, Gikas A. 15 items
Remolona, Eli M. 13 items
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Sarkar, Asani 11 items
Steindel, Charles 10 items
Uctum, Merih 9 items
Hung, Juann H. 8 items
Peristiani, Stavros 8 items
Seth, Rama 8 items
Cantor, Richard 7 items
Chakravarty, Sugato 7 items
Lopez, Jose A. 7 items
Ludvigson, Sydney 7 items
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Akhtar, M. A. 6 items
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Wu, Lifan 5 items
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