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Volatilidade e informação nos mercados futuros agropecuários brasileiros; Volatility and information on Brazilian agricultural futures markets

Christofoletti, Maria Alice Moz
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 04/02/2013 PT
Relevância na Pesquisa
37.1%
O objetivo deste trabalho é investigar as relações entre a atividade de negócios, representada pelas variáveis de contratos em aberto e volume negociado, o conteúdo informacional dos diferentes grupos de participantes, categorizados pela bolsa brasileira, e a volatilidade diária e intradiária dos preços futuros para boi gordo, café arábica e milho, contratos agropecuários de maior liquidez na BMF&BOVESPA. O ferramental metodológico foi baseado nos trabalhos de Bessembiender e Seguin (1992), Daigler e Wiley (1999) e Wang (2002), amparados, majoritariamente, pela teoria de microestrutura de mercado e noise trading. Os resultados encontrados sugerem que existe relação entre contratos em aberto, volume negociado e volatilidade dos preços futuros. No caso de contratos em aberto, foi encontrada uma relação negativa (positiva) entre a série esperada (não esperada) e volatilidade, sendo que o impacto da série não esperada é superior, em magnitude, ao da série esperada. Para o volume negociado, em geral, há evidência de um efeito positivo do volume negociado (tanto esperado como não esperado) sobre a volatilidade, sendo que a série esperada apresentou maior impacto do que a série não esperada. Quanto ao conteúdo informacional dos participantes...

Market neutral volatility: a different approach to the S&P 500 options market efficiency

Ruas, João Pedro Bento
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Dissertação de Mestrado
Publicado em 23/03/2011 ENG
Relevância na Pesquisa
37.1%
Mestrado em Finanças; Under the efficient market hypothesis, an options price’s implied volatility should be the best possible forecast of the future realized volatility of the underlying asset. In spite of this theoretical proposition, a vast number of studies in the financial literature found that implied volatility is a biased estimator of the future realized volatility. These findings suggest that we are either in the presence of an inefficient market or that econometric models fail on that purpose. In this thesis, by introducing the concept of Market Neutral Volatility and the derivation of a theoretical model, we show what in fact the implied volatility forecasts and we prove that the S&P 500 options market is efficient. This property of the S&P 500 options market assures that the implied volatility cannot be a biased forecast of its future realized volatility. Thus, we conclude that the bias of the implied volatility estimator is due to the inadequacy of the commonly used econometric approaches.; Sob a hipótese de eficiência dos mercados, a volatilidade implícita de uma opção deve ser a melhor previsão possível da futura volatilidade realizada do activo subjacente. Apesar deste argumento teórico, um vasto número de estudos realizados na literatura financeira...

Realized volatility: assessing the predictive performance of parametric volatility models

Serrasqueiro, Pedro
Fonte: Instituto Universitário de Lisboa Publicador: Instituto Universitário de Lisboa
Tipo: Dissertação de Mestrado
Publicado em //2011 ENG
Relevância na Pesquisa
37.08%
Mestrado em Finanças; A presente dissertação pretende efectuar uma avaliação da capacidade predictiva de vários modelos GARCH, nomeadamente os modelos GARCH, EGARCH e GJR-GARCH, comparando as suas previsões com duas medidas para a volatilidade. Os resultados são obtidos após um enquadramento teórico da volatilidade realizada e das propriedades das suas distribuições, tanto condicionais como incondicionais, efectuando a mesma análise para os retornos. Em linha com os resultados já existentes na literatura, as distribuições incondicionais são leptoc úrticas e positivamente enviesadas, sendo que a volatilidade realizada se afasta mais da normalidade e exibe efeito assimétrico. Por outro lado, os retornos standardizados pelo desvio-padrão realizado aparentam ser aproximadamente normais.; The present dissertation intends to perform an evaluation of the predictive ability of several models of the GARCH family, namely the GARCH, EGARCH and GJR-GARCH models, by comparing their forecasts with two di erent proxies for volatility. This result is achieved after providing a brief theoretical framework for realized volatility and after assessing its unconditional and conditional distributional properties. Consistently with the results found in previous literature...

Idiosyncratic volatility, aggregate volatility risk, and the cross-section of returns

Barinov, Alexander (1981 - ); Schwert, G. William (1950 - )
Fonte: University of Rochester Publicador: University of Rochester
Tipo: Tese de Doutorado Formato: Number of Pages:ix, 145 leaves
ENG
Relevância na Pesquisa
37.16%
Thesis (Ph. D.)--University of Rochester. William E. Simon Graduate School of Business Administration, 2008.; The first chapter presents a simple real options model that explains why in cross-section high idiosyncratic volatility implies low future returns and why the value effect is stronger for high volatility firms. In the model, high idiosyncratic volatility makes growth options a hedge against aggregate volatility risk. Growth options become less sensitive to the underlying asset value as idiosyncratic volatility goes up. It cuts their betas and saves them from losses in volatile times that are usually recessions. Growth options value also positively depends on volatility. It makes them a natural hedge against volatility increases. In empirical tests, the aggregate volatility risk factor explains the idiosyncratic volatility discount and why it is stronger for growth firms. The aggregate volatility risk factor also partly explains the stronger value effect for high volatility firms. I also find that high volatility and growth firms have much lower betas in recessions than in booms. In the second chapter I show that the aggregate volatility risk factor (the BVIX factor) explains the well-known underperformance of small growth firms. The BVIX factor also reduces the underperformance of IPOs and SEOs by 45% and makes it statistically insignificant. The BVIX factor is unrelated to the investment factor proposed by Lyandres...

Trade Openness Reduces Volatility When Countries Are Well Diversied

Haddad, Mona E.; Lim, Jamus Jerome; Saborowski, Christian
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
37.11%
This paper addresses the mechanisms by which trade openness affects growth volatility. Using a diverse set of export diversification indicators, it presents strong evidence pointing to an important role for export diversification in reducing the effect of trade openness on growth volatility. The authors also identify positive thresholds for product diversification at which the effect of openness on volatility changes sign. The effect is shown to be positive only for a minority of countries with highly concentrated export baskets. This result is shown to be robust to both explicit accounting for endogeneity as well as the inclusion of a host of additional controls.

Zooming In : From Aggregate Volatility to Income Distribution

Calderón, César; Yeyati, Eduardo Levy
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
37.14%
In contrast with a growing literature on the drivers of aggregate volatility in developing countries, its consequences in terms of individual incomes have received less attention. This paper looks at the impact of cyclical output fluctuations and extreme output events (crises) on unemployment, poverty, and inequality. The authors find robust evidence that aggregate volatility has a regressive, asymmetric, and non linear impact, as reflected in the strong influence of extreme output drops. The findings show that, in addition to the mitigating role of personal wealth, public expenditure and labor protection exert a similar benign effect. These findings are in line with the income substitutions view of social safety nets, and cast a new light on the value of social programs and labor market regulation in crisis prone developing countries.

Public Expenditure and Consumption Volatility

Herrera, Santiago; Vincent, Bruno
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Relevância na Pesquisa
37.16%
Recent estimates of the welfare cost of consumption volatility find that it is significant in developing nations, where it may reach an equivalent of reducing consumption by 10 percent per year. Hence, examining the determinants of consumption volatility is of utmost relevance. Based on cross-country data for the period 1960-2005, the paper explains consumption volatility using three sets of variables: one refers to the volatility of income and the persistence of income shocks; the second set of variables refers to policy volatility, considering the volatility of public spending and the size of government; while the third set captures the ability of agents to smooth shocks, and includes the depth of the domestic financial markets as well as the degree of integration to international capital markets. To allow for potential endogenous regressors, in particular the volatility of fiscal policy and the size of government, the system is estimated using the instrumental variables method. The results indicate that...

Financial Intermediary Development and Growth Volatility : Do Intermediaries Dampen or Magnify Shocks?

Beck, Thorsten; Lundberg, Mattias; Majnoni, Giovanni
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
37.1%
The authors extend the recent literature on the link between financial development and economic volatility by focusing on the channels through which the development of financial intermediaries affects economic volatility. Their theoretical model predicts that well-developed financial intermediaries dampen the effect of real sector shocks on the volatility of growth while magnifying the effect of monetary shocks-suggesting that, overall, financial intermediaries have no unambiguous effect on growth volatility. The authors test these predictions in a panel data set covering 63 countries over the period 1960-97, using the volatility of terms of trade to proxy for real volatility, and the volatility of inflation to proxy for monetary volatility. They find no robust relationship between the development of financial intermediaries and growth volatility, weak evidence that financial intermediaries dampen the effect of terms of trade volatility, and evidence that financial intermediaries magnify the impact of inflation volatility in low- and middle-income countries.

What Drives the Volatility of Firm Level Productivity in China?

Luo, Xubei; Zhu, Nong
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
37.12%
The enterprise reforms of the 1990s profoundly changed the structure of the economy in China. With the deepening of market economy, the share of the state-owned and collective enterprises declined. Expansion and contraction, as well as establishment and closure, of firms became a common phenomenon. The level and volatility of firm productivity have become increasingly important aspects of the micro performance of the economy. This paper uses a firm-level data set collected annually by the National Bureau of Statistics of China in 1998-2007 to examine the role of different firm characteristics in productivity volatility. The paper measures productivity volatility at the firm level as the standard deviation of the annual growth rate of productivity. The main objectives are twofold: first, it examines the variation of productivity volatility across firms of different characteristics and their evolution over time; second, it investigates the sources of productivity volatility at the firm level in China. The results suggest that in general...

Growth Volatility in Paraguay : Sources, Effects, and Options

World Bank
Fonte: Washington, DC Publicador: Washington, DC
EN_US
Relevância na Pesquisa
37.12%
The purpose of the current study is to contribute to a deeper understanding of growth volatility in Paraguay and to provide an input into the discussion on how to better manage it. In particular, the study will ask three questions: i) what are the sources of volatility in Paraguay? ii) How does growth volatility, in particular that arising from the strong dependence on the agricultural sector, impact the rest of the economy? iii) What are optimal policies for managing the types of volatility observed in Paraguay?

Growth Volatility in Paraguay : Sources, Effects, and Options, Volume 2. Supplementary Volume with Selected Background Papers

World Bank
Fonte: Washington, DC Publicador: Washington, DC
EN_US
Relevância na Pesquisa
37.11%
This supplementary volume of the study on Growth Volatility in Paraguay—Sources, Effects, and Options provides a number of background papers and material that was prepared as part of this study. The topics are closely linked with the overarching story telling presented in the first volume of the report. 1) Business Cycles Accounting for Paraguay, by Viktoria Hnatkovska and Friederike (Fritzi) Koehler-Geib. 2) Agricultural Performance and Macroeconomic Outcomes in Paraguay, by Hakan Berument. 3) Paraguayan Agricultural and Macroeconomic Performance: A Wavelet Approach, by Hakan Berument. 4) A study of the Volatility of the Agricultural GDP in Paraguay and its impact in the Rest of the Economy, by Dionisio Borda, Franchesco Anichini, and Julio Ramirez.

Essays on labor market and volatility changes.

Lin, Jiang
Fonte: Universidade de Adelaide Publicador: Universidade de Adelaide
Tipo: Tese de Doutorado
Publicado em //2015
Relevância na Pesquisa
37.15%
This thesis investigates both the time-varing volatility in the labour market after World War II in the United States and the effect of volatility changes of labour productivity on the movements in labour market in a framework of frictional labour search model. The first chapter documents the volatility changes in the U.S. labour market from 1951Q1 to 2007Q1. The time-varying volatility of unemployment, vacancy, job finding rate, job separation rate, and other key variables are presented in a series of stochastic volatility models estimated following a Bayesian approach. It is shown that the volatility of the U.S. labour market experienced a notable moderation after the mid-1980s. The estimated stochastic volatility of labour productivity is used as the driving process when studying an extended version of the model in Chapter 2. Following the findings in Chapter 1, the effect of volatility shocks in labour productivity in the U.S. labour market is investigated in two benchmark models in the second chapter. We first consider a standard labour search model following the calibration approach introduced in Hagedorn and Manovskii (2008). After that, a risk-sharing labour search model with full-commitment contracts following Rudanko (2009) is also introduced for the analysis. It is found that...

Measuring causality between volatility and returns with high-frequency data

Dufour, Jean-Marie; García, René; Taamouti, Abderrahim
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/workingPaper; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em /09/2008 ENG
Relevância na Pesquisa
37.16%
We use high-frequency data to study the dynamic relationship between volatility and equity returns. We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. The leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On observing that a central difference between these alternative explanations lies in the direction of causality, we consider vector autoregressive models of returns and realized volatility and we measure these effects along with the time lags involved through short-run and long-run causality measures proposed in Dufour and Taamouti (2008), as opposed to simple correlations. We analyze 5-minute observations on S&P 500 Index futures contracts, the associated realized volatilities (before and after filtering jumps through the bispectrum) and implied volatilities. Using only returns and realized volatility, we find a weak dynamic leverage effect for the first four hours at the hourly frequency and a strong dynamic leverage effect for the first three days at the daily frequency. The volatility feedback effect appears to be negligible at all horizons. By contrast...

Forecasting volatility: does continuous time do better than discrete time?

Bretó, Carles; Veiga, Helena
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em /07/2011 ENG
Relevância na Pesquisa
37.11%
In this paper we compare the forecast performance of continuous and discrete-time volatility models. In discrete time, we consider more than ten GARCH-type models and an asymmetric autoregressive stochastic volatility model. In continuous-time, a stochastic volatility model with mean reversion, volatility feedback and leverage. We estimate each model by maximum likelihood and evaluate their ability to forecast the two scales realized volatility, a nonparametric estimate of volatility based on highfrequency data that minimizes the biases present in realized volatility caused by microstructure errors. We find that volatility forecasts based on continuous-time models may outperform those of GARCH-type discrete-time models so that, besides other merits of continuous-time models, they may be used as a tool for generating reasonable volatility forecasts. However, within the stochastic volatility family, we do not find such evidence. We show that volatility feedback may have serious drawbacks in terms of forecasting and that an asymmetric disturbance distribution (possibly with heavy tails) might improve forecasting.

Managing East Asia's Macroeconomic Volatility

Olaberria, Eduardo; Rigolini, Jamele
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
ENGLISH
Relevância na Pesquisa
37.17%
East Asia has experienced a dramatic decrease in output growth volatility over the past 20 years. This is good news, as output growth volatility affects poor households because of coping strategies that have long-term, harmful consequences, and the overall economy through its negative impact on economic growth. This paper investigates the factors behind this long decline in volatility, and derives lessons about ways to mitigate renewed upward pressure in face of the financial crisis. The authors show that if, on the one hand, high trade openness has sustained economic growth in the past several decades, on the other hand, it has made countries more vulnerable to external fluctuations. Although less frequent terms of trade shocks and more stable growth rates of trading partners have helped to reduce volatility in the past, the same external factors are now putting renewed pressure on volatility. The way forward seems therefore to be to counterbalance the external upward pressure on volatility by improving domestic factors. Elements under domestic control that can help countries deal with high volatility include more accountable institutions...

What Are the Links between Aid Volatility and Growth?

Markandya, Anil; Ponczek, Vladimir; Yi, Soonhwa
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
37.17%
This paper adds to aid volatility literature in three ways: First it tests the validity of the aid volatility and growth relationship from various aspects: across different time horizons, by sources of aid, and by aid volatility interactions with country characteristics. Second, it investigates the relationship by the level of aid absorption and spending. Third, when examining the relationship between International Development Association aid volatility and growth, it isolates International Development Association aid volatility due to the recipient country's performance from that due to other sources. The findings suggest that, in the long run, on average, aid volatility is negatively correlated with real economic growth. But the relationship is not even. It is stronger for Sub-Saharan African countries than for other regions and it is not present in middle-income countries or countries with strong institutions. For economies where aid is fully absorbed, aid volatility matters for long-run growth; economies with full aid spending also bear a negative impact of aid volatility on long-run growth. Where aid is not fully absorbed...

Exchange Rate Volatility, Financial Constraints, and Trade : Empirical Evidence from Chinese Firms

Heericourt, Jerome; Poncet, Sandra
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
37.11%
This paper studies how firm-level export performance is affected by Real Exchange Rate (RER) volatility and investigates whether this effect depends on existing financial constraints. The empirical analysis relies on export data for more than 100,000 Chinese exporters over the 2000-6 period. The results confirm a trade-deterring effect of RER volatility. Firms' decision to begin exporting and the exported value decrease for destinations with higher exchange rate volatility; besides, this effect is magnified for financially vulnerable firms. As expected, financial development seems to dampen this negative impact, especially on the intensive margin of export. These results provide micro-founded evidence suggesting that the existence of well-developed financial markets allows firms to hedge exchange rate risk. The results also support a key role of financial constraints in determining the macro impact of RER volatility on real outcomes.

NEW TOOLS FOR VOLATILITY MODELS

SANTILLI, MANOLA
Fonte: La Sapienza Universidade de Roma Publicador: La Sapienza Universidade de Roma
Tipo: Tese de Doutorado
EN
Relevância na Pesquisa
37.13%
In the first part of this work, we propose a new estimation method of the spot volatility, based on a semi-nonparametric model, which employs the information content of a complete panel of European options, daily quoted in the market, under no arbitrage assumptions. The technique we propose is based on the idea of model-free implied volatility and exploits the observed VIX term structure to make inference on the unobserved spot volatility. We show that this new estimation method can be applied to a very general class of stochastic volatility models, such as one-factor or two-factor models. Moreover, the presence of jumps both in return and volatility processes does not affect our spot volatility estimates. In the second part of the study, we propose a simple and flexible extension of the Heston (1993) model and its multifactor affine versions: the addition of a deterministic volatility factor meant to automatically fit the term structure of model-free implied volatilities. When calibrated on daily panels of FX EURUSD options for 5 strikes (ATM, 25Δ and 10Δ) and 10 maturities (from one week to two years) in the period 2005-2012, we can obtain a pricing error (in terms of RMSE on implied volatility) of 0,167%, and never above 1,72%. The proposed class of models is then a suitable stochastic volatility candidate for fast and arbitrage-free interpolation of the volatility surface.

Estimation of State Space Models and Stochastic Volatility

Miller Lira, Shirley
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Thèse ou Mémoire numérique / Electronic Thesis or Dissertation
EN
Relevância na Pesquisa
37.16%
Ma thèse est composée de trois chapitres reliés à l'estimation des modèles espace-état et volatilité stochastique. Dans le première article, nous développons une procédure de lissage de l'état, avec efficacité computationnelle, dans un modèle espace-état linéaire et gaussien. Nous montrons comment exploiter la structure particulière des modèles espace-état pour tirer les états latents efficacement. Nous analysons l'efficacité computationnelle des méthodes basées sur le filtre de Kalman, l'algorithme facteur de Cholesky et notre nouvelle méthode utilisant le compte d'opérations et d'expériences de calcul. Nous montrons que pour de nombreux cas importants, notre méthode est plus efficace. Les gains sont particulièrement grands pour les cas où la dimension des variables observées est grande ou dans les cas où il faut faire des tirages répétés des états pour les mêmes valeurs de paramètres. Comme application, on considère un modèle multivarié de Poisson avec le temps des intensités variables, lequel est utilisé pour analyser le compte de données des transactions sur les marchés financières. Dans le deuxième chapitre, nous proposons une nouvelle technique pour analyser des modèles multivariés à volatilité stochastique. La méthode proposée est basée sur le tirage efficace de la volatilité de son densité conditionnelle sachant les paramètres et les données. Notre méthodologie s'applique aux modèles avec plusieurs types de dépendance dans la coupe transversale. Nous pouvons modeler des matrices de corrélation conditionnelles variant dans le temps en incorporant des facteurs dans l'équation de rendements...

The Effects of Volatility, Fiscal Policy Cyclicality and Financial Development on Growth; Evidence for the Eastern Caribbean

Brüeckner, Markus; Carneiro, Francisco
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Working Paper; Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
37.17%
This paper presents estimates of the effects that terms of trade volatility has on growth of real gross domestic product per capita. Based on five-year non-overlapping panel data comprising 175 countries during 1980–2010, the paper finds that: (i) in model specifications that do not include country fixed effects, terms of trade volatility has a significant negative average effect on economic growth; (ii) once country fixed effects are included in the model, the average effect of terms of trade volatility on economic growth is not significantly different from zero; (iii) robust to the inclusion of country fixed effects, terms of trade volatility has significantly adverse effects on economic growth in countries with pro-cyclical fiscal policy; and (iv) in model specifications that do not include country fixed effects, financial development is a significant mediating factor with regard to the effect that terms of trade volatility has on economic growth, however, the significance of this effect vanishes once country fixed effects are included in the model. The paper also explores these relationships for the Organization of Eastern Caribbean States region. A key conclusion from the research is that countercyclical fiscal policy and deeper financial markets will have particularly high payoffs in reducing the adverse growth effects of terms of trade volatility in the Organization of Eastern Caribbean States region.