We study the effect of foreign fund flows on asset prices by investigating the link between foreign institutional investor (FII) flows and stock returns in India. Stocks experiencing high innovations in order flow are associated with a permanent price increase, whereas stocks experiencing low innovations are associated with a partly-transient price decline. The differential abnormal return betw...

This paper examines the time series econometric relationship between the Henry Hub natural gas price and the West Texas Intermediate (WTI) crude oil price. Typically, this relationship has been approached using simple correlations and deterministic trends. When data have unit roots as in this case, such analysis is faulty and subject to spurious results. We find a cointegrating relationship rel...

We consider a portfolio execution problem where a possibly risk-averse agent needs to trade a fixed number of shares in multiple stocks over a short time horizon. Our price dynamics can capture linear but stochastic temporary and permanent price impacts as well as stochastic volatility. In general it is not possible to solve even numerically for the optimal policy in this model, however, and so...

IIn recent years, policymakers have generally relied on regulatory policies to address financial stability concerns. However, our understanding of these policies and their efficacy in curbing housing prices is limited. In this paper, we examine the impact of three regulatory tools i.e. LTV (loan to value) ratio, reserve requirement rate (RR), and capital adequacy ratio (CAR) on housing price in...

► We assess the impact of Spanish labor reforms that restricted the use of temporary workers. ► We study the gap between an input's value of marginal product and its price. ► Our results suggest a positive and significant impact of these reforms on the permanent labor gap. a b s t r a c t a r t i c l e i n f o In the 1990s, Spain approved two labor reforms aimed at reducing the unemployment lev...

In many economies, commodity price volatility is one of the sources of signaling to market players. Different experiences of price shocks have led economists to reconsider price shocks. Considering the effects of monetary policy on the inflation rate, the present study investigates the impact of monetary policy shock on the price of storable food commodities. In this regard, data for 2006: 01 t...