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| Obben, James; Nugroho, Agus Eko. |
| Illiquidity is at the core of the various currency and banking/financial crises of the 1990s. In the wake of the Asian crisis of 1997/98 the term "systemic liquidity" has been coined to refer to adequate arrangements and practices which permit efficient liquidity management and which provide a buffer during financial distress. A constructed balance-sheet-based variable that captures the essence of the risk from systemic liquidity is funding volatility ratio, FVR. Using data covering January 1990 to July 2003 and employing cointegration techniques, this study attempts to quantify the purported link between FVR and the measurable determinants of a balanced liquidity infrastructure for Indonesia, the country that suffered the most from the Asian crisis. A... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Autoregressive distributed lag model; Cointegration; Funding volatility ratio; Systemic liquidity; Financial Economics; C22. |
| Ano: 2003 |
URL: http://purl.umn.edu/23700 |
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| Baek, Jungho; Mulik, Kranti; Koo, Won W.. |
| This study examines the J-curve phenomenon for the U.S. agricultural trade and compares the effect on agricultural trade relative to U.S. non-agricultural trade. For this purpose, the autoregressive distributed lag (ARDL) model is adopted to estimate bilateral trade data between the United States and her three major trading partners Japan, Canada, and Mexico. We find little evidence of the J-curve for U.S. agricultural trade with Japan, Canada, and Mexico. For non-agricultural trade, on the other hand, the behavior of U.S. trade with industrialized economies such as Japan and Canada follows the J-curve, but not with developing economies such as Mexico. |
| Tipo: Working or Discussion Paper |
Palavras-chave: Agricultural trade; Autoregressive distributed lag model; J-curve effect; Non-agricultural trade; International Relations/Trade. |
| Ano: 2006 |
URL: http://purl.umn.edu/23482 |
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