Maral Kichian - Latest

• Modelling Risk Premiums in Equity and Foreign Exchange Markets

  Staff Working Paper 2000-9 René Garcia, Maral Kichian

  The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): E, E4, E44, F, F3, F31, G, G1, G12, G15

• Testing the Pricing-to-Market Hypothesis: Case of the Transportation Equipment Industry

  Staff Working Paper 2000-8 Lynda Khalaf, Maral Kichian

  Pricing-to-market (PTM) theory suggests that monopolistic firms which export adjust their destination-specific markups in reaction to exchange rate shocks. These adjustments limit changes in the price of their exports.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C1, C12, C15, L, L1, L11, L16

• GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide

  Staff Working Paper 2000-2 Maral Kichian

  State-space models have long been popular in explaining the evolution of various economic variables. This is mainly because they generally have more economic content than do others in their class of parsimonious models (for example, VARs). Yet, in spite of their advantages, use of these models until recently was limited by the assumption that all […]

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C8, C82, C87, C89