A Note on Demand and Supply Factors in Manufacturing Output Asymmetries

Korenok, Oleg; Mizrach, Bruce; Radchenko, S. I.

doi:10.1017/s136510050807048x

Cited by 7 publications

(5 citation statements)

References 30 publications

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“…This result is in accordance with the simulation results from Section 3 which indicated that the symmetry test S was likely to be more powerful relative to Bai and Ng (2005)'s twosided skewness test at least. Generally, the results confirm findings of previous studies (see Rothman 1991, Sichel 1993, and Korenok et al 2009 and indicate business cycle asymmetry is more likely to be concentrated in goods producing sectors than service producing sectors.…”

Section: Testing For Asymmetry In Us Sectoral Nonfarm Payroll Datasupporting

confidence: 90%

“…and international data include: DeLong and Summers (1984), Falk (1986), Rothman (1991), Sichel (1993), Ramsey and Rothman (1996), Verbrugge (1997) Bidarkota (1998), Razzak (2001, and Korenok et al (2009). Generally, these papers have tended to use data related to activity such as growth rates of GDP/GNP or industrial production or the unemployment rate as a measure of the business cycle.…”

Section: Sectoral Evidence Of Business Cycle Asymmetrymentioning

confidence: 99%

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Testing for Symmetry in Weakly Dependent Time Series

Hartigan

2016

SSRN Journal

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I propose a test of symmetry for a stationary time series based on the difference between the dispersion above the central tendency of the series with that below it. The test has many attractive features: it is applicable to dependent processes, it has a familiar form, it can be implemented using regression, and it has a standard Gaussian limiting distribution under the null hypothesis of symmetry. The finite sample properties of the test are examined via Monte Carlo simulation and suggest that it is more powerful than competing tests in the literature for the DGPs considered. I apply the test to investigate business cycle asymmetry in sectoral data and confirm previous findings that asymmetry is more often detected in goods producing sectors than service producing sectors.

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Section: Testing For Asymmetry In Us Sectoral Nonfarm Payroll Datasupporting

confidence: 90%

Section: Sectoral Evidence Of Business Cycle Asymmetrymentioning

confidence: 99%

Testing for Symmetry in Weakly Dependent Time Series

Hartigan

2016

SSRN Journal

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“…NOTES 1. For example, please refer to Korenok et al (2009), Branch et al (2013), Nason and Tallman (2015), and Morier and Teles (2016).…”

Section: Resultsmentioning

confidence: 99%

Growth Option and Debt Maturity With Equity Default Swaps in a Regime-Switching Framework

Luo

Yang

2018

Macroecon. Dynam.

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We consider a firm with assets-in-place and a growth option. There is a funding gap for the expansion investment, which is covered by entering into an equity-for-guarantee swap or fee-for-guarantee swap. We explicitly derive all contingent claim prices with the pricing and timing of the growth option taking business cycle and debt maturity into account. For short-term loan, we produce an explanation why Chinese government suggests that guarantee fee rate should be approximately the fraction 50% of the interest rate of bank loans with the same maturity, but for long-term debt, we show this fraction is too small.

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“…Moreover, we assume that the same liquidity suppliers are active in both markets, and take a portfolio approach to their inventory management. The model extension relates to an extensive literature about price discovery across markets (De Jong & Schotman, ; Hasbrouck, ; Korenok, Mizrach, & Radchenko, ). The model is valid both for the case of one security trading at many markets (such as equities trading at an incumbent exchange and an MTF), and for related securities trading at the same or different venues.…”

Section: Introductionmentioning

confidence: 99%

“…For example, Grammig, Thiessen, and Wünsche () extend it to study how the sharply decreasing trade durations matter for the price impact of trading. Moreover, Korenok et al () use the model to study price discovery between different exchanges. In fact, the accuracy of the model may have improved over time.…”

Section: Introductionmentioning

confidence: 99%

Components of the Bid–Ask Spread and Variance: A Unified Approach

Hagströmer

Henricsson

Nordén

2016

Journal of Futures Markets

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We develop a structural model for the price formation and liquidity supply of an asset. Our model facilitates decompositions of both the bid–ask spread and the return variance into components related to adverse selection, inventory, and order processing costs. Furthermore, the model shows how the fragmentation of trading volume across trading venues influences inventory pressure and price discovery. We use the model to analyze intraday price formation for gold futures traded at the Shanghai Futures Exchange. We find that order processing costs explain about 50% of the futures bid–ask spread, whereas the remaining 50% is equally due to asymmetric information and to inventory costs. About a third of the variance in futures returns is attributable to microstructure noise. Trading at the spot market has a significant influence on futures price discovery, but only a limited impact on the futures bid–ask spread. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 36:545–563, 2016

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A Note on Demand and Supply Factors in Manufacturing Output Asymmetries

Cited by 7 publications

References 30 publications

Testing for Symmetry in Weakly Dependent Time Series

Testing for Symmetry in Weakly Dependent Time Series

Growth Option and Debt Maturity With Equity Default Swaps in a Regime-Switching Framework

Components of the Bid–Ask Spread and Variance: A Unified Approach

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