Zobrazeno 1 - 9
of 9
pro vyhledávání: '"Rhys ap Gwilym"'
Autor:
Rhys ap Gwilym, Abderrahim Taamouti, Hamid Rahman, Muhammed Shahid Ebrahim, Abdelkader O. El Alaoui
Publikováno v:
Economic modelling, 2020, Vol.87, pp.358-371 [Peer Reviewed Journal]
In perfect capital markets, the futures price of an asset should be an unbiased forecast of its realized spot price when the contract matures. In reality, futures prices are often higher for some assets and lower for others. However, there is no stab
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6bed93084ee7b6cb5ab5cbb1a2320573
https://doi.org/10.1016/j.econmod.2019.08.009
https://doi.org/10.1016/j.econmod.2019.08.009
Publikováno v:
Journal of International Financial Markets, Institutions and Money. 26:239-257
This paper examines whether Prompt Corrective Action (PCA) was effective in reducing default and credit risk in U.S. banking. We employ parametric, non-parametric, nonlinear and switching cointegration tests and a general-to-specific testing procedur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::42e786421e5bdb84cacb61c3e51d371d
https://doi.org/10.1016/j.intfin.2013.06.002
https://doi.org/10.1016/j.intfin.2013.06.002
Autor:
M. Shahid Ebrahim, Rhys ap Gwilym
Publikováno v:
Journal of Banking & Finance. 37:824-836
This paper studies the imposition of position limits on commodity futures from the perspective of curbing excessive speculation and thus manipulation. We present a simple general equilibrium model in a static rational expectations framework and agent
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e91e8d3c241ecbc602ecff6a585a8183
https://doi.org/10.1016/j.jbankfin.2012.10.025
https://doi.org/10.1016/j.jbankfin.2012.10.025
Publikováno v:
Journal of banking & finance, 2014, Vol.49, pp.553-569 [Peer Reviewed Journal]
This paper studies pension fund design in the context of investment in the debt and equity of a firm. We employ a general equilibrium framework to demonstrate that: (i) the asset location ‘puzzle’ is purely a partial equilibrium phenomenon, conce
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a540676227bcb38cb2325bf552532d31
http://dro.dur.ac.uk/15150/
http://dro.dur.ac.uk/15150/
Autor:
Rhys ap Gwilym
Economic agents with hyperbolic discount functions display time inconsistent preferences. In this paper, I show that for such agents fixed nominal wage contracts may represent a welfare enhancing commitment mechanism.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::6d4b424961fd79f33ce4618fdd4c7189
http://www.bangor.ac.uk/business/docs/BBSWP10014.pdf
http://www.bangor.ac.uk/business/docs/BBSWP10014.pdf
Autor:
Rhys ap Gwilym
I introduce behavioural asset pricing rules into a wider dynamic stochastic general equilibrium framework. Asset price bubbles emerge endogenously within the model. I find that in this model the only monetary policy that would be likely to enhance we
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::3620659a75a0ee739ff8cdd6175d8669
http://www.bangor.ac.uk/business/docs/BBSWP100011.pdf
http://www.bangor.ac.uk/business/docs/BBSWP100011.pdf
Autor:
Rhys ap Gwilym
I construct a behavioral model of asset pricing in which agents choose whether to base their expectations on chartist or fundamental forecasts. I simulate the model in order to test its efficacy in explaining the moments and time series properties of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cbd28345dae0c4da912dcf36092ddd89
http://carbsecon.com/wp/E2009_17.pdf
http://carbsecon.com/wp/E2009_17.pdf
Autor:
Rhys ap Gwilym
I introduce behavioral asset pricing rules into a wider dynamic stochastic general equilibrium framework. Asset price bubbles emerge endogenously within the model. I find that in this model the only monetary policy that would be likely to enhance wel
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0e0602cde4e5482e09fb4680edfcd74a
http://carbsecon.com/wp/E2009_18.pdf
http://carbsecon.com/wp/E2009_18.pdf
Autor:
Rhys ap Gwilym
Publikováno v:
SSRN Electronic Journal.
We construct a behavioural model of asset pricing in which agents choose whether to base their expectations on chartist or fundamentalist forecasts. We then simulate the model in order to test its efficacy in explaining the moments and time series pr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::12822d0571703a65b2ab119ec21ae0a0
https://doi.org/10.2139/ssrn.1288208
https://doi.org/10.2139/ssrn.1288208