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on South East Asia |
| By: | Monzur Hossain (American International University Bangladesh) |
| Abstract: | This paper investigates the currency regime choices of six East Asian emerging countries, namely, Indonesia, Korea, Malaysia, Philippines, Singapore and Thailand, for the period 1973-99 from the optimum currency area (OCA), macroeconomic stabilization and currency crisis perspectives. It finds that regime transition dynamics in these countries are statistically insignificant for the period under consideration, but static regime choice is largely consistent with the predictions of international macroeconomics. The empirical results suggest that a more fixed or flexible regime is suitable for these East Asian countries. |
| Date: | 2008–01 |
| URL: | http://d.repec.org/n?u=RePEc:aiu:abewps:31&r=sea |
| By: | Jeroen Adam (Ghent University) |
| Date: | 2008–01 |
| URL: | http://d.repec.org/n?u=RePEc:hic:wpaper:37&r=sea |
| By: | Johannes Gräb (University of Göttingen, Department of Economics); Michael Grimm (Institute of Social Studies, The Hague, DIW and DIAL) |
| Abstract: | We propose a new methodology for comparing poverty over multiple periods across time and space that does not arbitrarily aggregate income over various years or rely on arbitrarily specified poverty lines or poverty indices. Following Duclos et al. (2006a), we use the multivariate stochastic dominance methodology to create dominance surfaces for different time spans. We elaborate the method first for the bidimensional case, using as dimensions income observed over two periods: one at the beginning and one at the end of a time span. Subsequently, we extend it to the case where incomes are observed over n-periods. We illustrate our approach by performing poverty comparisons using data for Indonesia and Peru. _________________________________ We propose a new methodology for comparing poverty over multiple periods across time and space that does not arbitrarily aggregate income over various years or rely on arbitrarily specified poverty lines or poverty indices. Following Duclos et al. (2006a), we use the multivariate stochastic dominance methodology to create dominance surfaces for different time spans. We elaborate the method first for the bidimensional case, using as dimensions income observed over two periods: one at the beginning and one at the end of a time span. Subsequently, we extend it to the case where incomes are observed over n-periods. We illustrate our approach by performing poverty comparisons using data for Indonesia and Peru. |
| Keywords: | Multiperiod Poverty, Poverty Dominance, Poverty Dynamics, Chronic Poverty |
| JEL: | I32 |
| Date: | 2007–12 |
| URL: | http://d.repec.org/n?u=RePEc:dia:wpaper:dt200712&r=sea |
| By: | Peter Carr; Christian-Oliver Ewald; Yajun Xiao |
| Abstract: | We show that under the Black Scholes assumption the price of an arithmetic average Asian call option with fixed strike increases with the level of volatility . This statement is not trivial to prove and for other models in general wrong. In fact we demonstrate that in a simple binomial model no such relationship holds. Under the Black-Scholes assumption however, we give a proof based on the maximum principle for parabolic partial differential equations. Furthermore we show that an increase in the length of duration over which the average is sampled also increases the price of an arithmetic average Asian call option, if the discounting effect is taken out. To show this, we use the result on volatility and the fact that a reparametrization in time corresponds to a change in volatility in the Black-Scholes model. Both results are extremely important for the risk management and risk assessment of portfolios that include Asian options. |
| Keywords: | Asian Options, Volatility, Vega, Duration, Qualitative Riskmanagement. |
| JEL: | G11 G31 G39 |
| Date: | 2008–02 |
| URL: | http://d.repec.org/n?u=RePEc:san:crieff:0803&r=sea |
| By: | Boon L. Lee (School of Economics and Finance, Queensland University of Technology, Brisbane, Queensland, Australi); Andrew C. Worthington (Department of Accounting, Finance and Economics, Griffith University, Nathan, Queensland, Australia); Wai Ho Leong (Economics Division, Ministry of Trade and Industry, Singapore) |
| Abstract: | By the end of the 1990s, the Singaporean government had recognised the need to open up its banking sector so as to remain competitive in the global economy. The Monetary Authority of Singapore thus began deregulation of the banking sector in 1999 to strengthening the competitiveness of local banks relative to their foreign competition through mergers. This paper employs a nonparametric Malmquist productivity index to provide measure of productivity, technological change and efficiency gains over the period 1995-2005. The findings reveal some total factor productivity growth associated with deregulation and scale efficiency improvement largely from mergers amongst the local banks. |
| Keywords: | Efficiency, productivity; deregulation; Malmquist indices; banking |
| JEL: | G21 D24 |
| URL: | http://d.repec.org/n?u=RePEc:qut:dpaper:228&r=sea |