منابع مشابه
Short and Long Run Uncertainty Short and Long Run Uncertainty
Uncertainty appears to have both a short-run and a long-run component, which we measure using rm and macro implied volatility data from options of 30 days to 10 years duration. We ask what may be driving uncertainty over these di erent time horizons, nding that oil price volatility is particularly important for short-run uncertainty, policy uncertainty is particularly important for long-run unc...
متن کاملShort- and Long-Run Uncertainty
Uncertainty appears to have both a short-run and a long-run component, which we measure using firm and macro implied volatility data from 30 days to 10 years duration. Examining a panel of over 4,000 firms from 1996 to 2013 we find that investment is significantly more sensitive to long-run uncertainty, while employment responds equally to shortand long-run uncertainty. We build a model to inve...
متن کاملThe Short and Long Run Causality between Agglomeration and Productivity
This study is to investigate the short- and long-run causal relationship between agglomeration (localization and urbanization) economies and labor productivity in the manufacturing sector of 28 Iranian provinces over an 11-year period, 2001–2011. Fully Modified Ordinary Least Squares (FMOLS) method was used to estimate our long-run panel data model. The empirical findings suggested that localiz...
متن کاملLong-Run and Short-Run Causality between Stock Price and Gold Price: Evidence of VECM Analysis from India
The prime objective of the study is to identify the long-run and short-run relationship between Indian stock price viz., BSE SENSEX (hereafter named as BSE) and gold price (GOLD) in India. The daily closing price data were collected for the period of ten years ranging from 1st April 2004 to 31st March 2014 with 2490 observations. The study employed two models: Model one us...
متن کاملthe study of short run and long run effects of trade liberalization on iran’s wheat import
abstract the present research accomplished to determination of the trade liberalization effects on import function of iran’s wheat crop using time series data from 1357 to 1387 that earn from sources such as agricultural and aerology statistics annual letter, customhouse and iran central bank website.in this investigation, at first, wheat liberalization index was measured by using level of inte...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2018
ISSN: 1556-5068
DOI: 10.2139/ssrn.2807456