| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1730 |
| DP1730 The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period | |
| Mark Taylor; LUCIO SARNO | |
| 发表日期 | 1997-11-30 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | EGARCH-M models based on a daily, weekly, and monthly S&P?500 returns over the period October 1934?September 1994 reveal that higher margins have a much stronger negative relation to subsequent volatility in bull markets than in bear markets. Higher margins are also negatively related to subsequent conditional stock returns, apparently because they reduce systemic risk. These empirical regularities are consistent with the pyramiding-depyramiding framework of stock prices that US Congress had in mind when it instituted margin regulation in 1934, and suggest that a prudential rule for setting margins over time would be to raise them during periods of unwarranted price increases and to lower them immediately after large declines in stock prices. |
| 主题 | Financial Economics |
| 关键词 | Asymmetry Credit Egarch model Federal Reserve Margin requirements Stock prices Volatility |
| URL | https://cepr.org/publications/dp1730 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530876 |
| 推荐引用方式 GB/T 7714 | Mark Taylor,LUCIO SARNO. DP1730 The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period. 1997. |
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