| 1. |
- Hellström, Jörgen, 1970-, et al.
(författare)
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Social trust and central-bank independence
- 2014
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Ingår i: European Journal of Political Economy. - : Elsevier. - 0176-2680 .- 1873-5703. ; 34, s. 425-439
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Tidskriftsartikel (refereegranskat)abstract
- Central banks have become more independent in many countries. A common rationale has been the existence of a credibility (or lack-of-trust) problem for monetary policy. This indicates a possible and until now unexplored link between social trust and central-bank independence. Our empirical findings, based on data from 149 countries, confirm such a link, in the form of a u-shaped relationship. We suggest that two factors help explain this finding: the need for this kind of reform and the ability with which it can be implemented. At low trust, the need for central-bank independence is strong enough to dominate the low ability; at high trust the ability for reform is high and dominates the low need; at intermediate trust levels there is neither need nor ability strong enough to generate very independent central banks.
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| 2. |
- Berggren, Niclas, et al.
(författare)
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Does social trust speed up reforms? : The case of central-bank independence
- 2016
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Ingår i: Journal of Institutional Economics. - : Cambridge University Press. - 1744-1374 .- 1744-1382. ; 12:2, s. 395-415
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Tidskriftsartikel (refereegranskat)abstract
- Many countries have undertaken central-bank independence reforms, but the years of implementation differ. What explains such differences in timing? This is of interest more broadly, as it sheds light on factors that matter for the speed at which economic reforms come about. We study a rich set of potential determinants, both economic and political, but put special focus on a cultural factor, i.e. social trust. We find empirical support for an inverse u-shape: Countries with low and high social trust implemented their reforms earlier than countries with intermediate levels. We make use of two factors to explain this pattern: the need to undertake reform (which is more urgent in countries with low social trust) and the ability to undertake reform (which is greater in countries with high social trust). Overall, our findings imply that culture matters for institutional change.
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| 3. |
- Gyllenram, André, et al.
(författare)
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Förmåga att hantera stress och individers beslut att äga aktier
- 2015
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Ingår i: Ekonomisk Debatt. - 0345-2646. ; 43:1, s. 7-15
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- Nyare finansiell forskning har påvisat att individers kognitiva förmåga (IQ) påverkar finansiella beslut. Att äga aktier korrelerar t ex starkt med IQ. Men även bland ”smarta” individer är det många som inte äger aktier. Detta är förbryllande, då avkastningen på aktiemarknaden historiskt har slagit andra investeringsalternativ, och det indikerar att det kanske inte räcker med att vara ”smart” för att göra smarta val. En möjlig förklaring till detta, som vi finner empiriskt stöd för, är att även andra personliga egenskaper, som exempelvis stresstålighet, kan påverka finansiella beslut.
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| 4. |
- Gyllenram, André, et al.
(författare)
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The influence of non-cognitive and cognitive ability on individuals' stock market participation
- 2013
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- Stock market participation is found to be positively related to cognitive, as well as non-cognitive ability, controlling for wealth, income, age, and other demographic and socioeconomic factors. Interestingly, the effects are of economic significant magnitudes, e.g. participation is on average 11.49% larger among those with high compared with low cognitive and non-cognitive abilities, and holds also when controlling for individuals risk preferences. The later indicates that cognitive and non-cognitive abilities have a role in affecting financial decisions also through non-preference driven effects. Limitations in non-cognitive ability do further explain non-participation among affluent individuals.
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| 5. |
- Hellström, Jörgen, 1970-
(författare)
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Count data modelling and tourism demand
- 2002
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis consists of four papers concerning modelling of count data and tourism demand. For three of the papers the focus is on the integer-valued autoregressive moving average model class (INARMA), and especially on the ENAR(l) model. The fourth paper studies the interaction between households' choice of number of leisure trips and number of overnight stays within a bivariate count data modelling framework.Paper [I] extends the basic INAR(1) model to enable more flexible and realistic empirical economic applications. The model is generalized by relaxing some of the model's basic independence assumptions. Results are given in terms of first and second conditional and unconditional order moments. Extensions to general INAR(p), time-varying, multivariate and threshold models are also considered. Estimation by conditional least squares and generalized method of moments techniques is feasible. Monte Carlo simulations for two of the extended models indicate reasonable estimation and testing properties. An illustration based on the number of Swedish mechanical paper and pulp mills is considered.Paper[II] considers the robustness of a conventional Dickey-Fuller (DF) test for the testing of a unit root in the INAR(1) model. Finite sample distributions for a model with Poisson distributed disturbance terms are obtained by Monte Carlo simulation. These distributions are wider than those of AR(1) models with normal distributed error terms. As the drift and sample size, respectively, increase the distributions appear to tend to T-2) and standard normal distributions. The main results are summarized by an approximating equation that also enables calculation of critical values for any sample and drift size.Paper[III] utilizes the INAR(l) model to model the day-to-day movements in the number of guest nights in hotels. By cross-sectional and temporal aggregation an INARMA(1,1) model for monthly data is obtained. The approach enables easy interpretation and econometric modelling of the parameters, in terms of daily mean check-in and check-out probability. Empirically approaches accounting for seasonality by dummies and using differenced series, as well as forecasting, are studied for a series of Norwegian guest nights in Swedish hotels. In a forecast evaluation the improvements by introducing economic variables is minute.Paper[IV] empirically studies household's joint choice of the number of leisure trips and the total night to stay on these trips. The paper introduces a bivariate count hurdle model to account for the relative high frequencies of zeros. A truncated bivariate mixed Poisson lognormal distribution, allowing for both positive as well as negative correlation between the count variables, is utilized. Inflation techniques are used to account for clustering of leisure time to weekends. Simulated maximum likelihood is used as estimation method. A small policy study indicates that households substitute trips for nights as the travel costs increase.
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| 6. |
- Hellström, Jörgen, 1970-, et al.
(författare)
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Demand and welfare effects in recreational travel models : Accounting for substitution between number of trips and days to stay
- 2012
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Ingår i: Transportation Research Part A. - : Elsevier. - 0965-8564 .- 1879-2375. ; 46:3, s. 446-456
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Tidskriftsartikel (refereegranskat)abstract
- In this paper we present a non-linear demand system for households’ joint choice of number of trips and days to spend at a destination. The approach, which facilitates welfare analysis of exogenous policy and price changes, is used empirically to study the effects of an increased CO2 tax. In particular, we focus on the effect of including substitution between households choice of the number of trips and days to spend at a destination in the welfare analysis. The analysis reveals that the equivalent variation (EV) measure, for the count data demand system, can be seen as an upper bound for the households welfare loss. Approximating the welfare loss by the change in consumer surplus, accounting for the positive effect from longer stays, imposes a lower bound on the households welfare loss. The difference in the estimated loss measures, from the considered CO2 tax reform, is about 20%. This emphasizes the importance of accounting for substitutions toward longer stays in travel demand policy evaluations.
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| 7. |
- Hellström, Jörgen, 1970-, et al.
(författare)
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Does the open limit order book reveal information about short-run stock price movements?
- 2006
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Ingår i: Umeå economic studies. - Umeå : Department of Economics, Umeå University. - 1403-4824. ; :687
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Tidskriftsartikel (refereegranskat)abstract
- This paper empirically tests whether an open limit order book contains informationabout future short-run stock price movements. To account for the discrete natureof price changes, the integer-valued autoregressive model of order one is utilized. Amodel transformation has an advantage over conventional count data approachessince it handles negative integer-valued price changes. The empirical results revealthat measures capturing offered quantities of a share at the best bid- and ask-pricereveal more information about future short-run price movements than measurescapturing the quantities offered at prices below and above. Imbalance and changesin offered quantities at prices below and above the best bid- and ask-price do,however, have a small and significant effect on future price changes. The resultsalso indicate that the value of order book information is short-term.
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| 8. |
- Hellström, Jörgen, 1970-, et al.
(författare)
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Identification of jumps in financial price series
- 2011
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- The paper outlines and tests, by means of Monte-Carlo simulations, a simple strategy of using existing non-parametric tests for jumps at the daily frequency to identify jumps at higher sampling frequencies. The suggested strategy allow for identification of the number of jumps and jump times during a day, as well as, the size and direction (negative or positive) of the jumps. The method is of importance in order to facilitate detailed empirical studies concerning, for example, causes for jumps in financial price series at finer levels than the daily. The Monte Carlo study reveals that the strategy works reasonably well, particular for lower jump intensities. An application of the studied strategy on the Handelsbanken stock is provided.
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| 9. |
- Hellström, Jörgen, 1970-, et al.
(författare)
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Loved ones matter : family effects and stock market participation
- 2013
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- In this paper new and detailed empirical evidence on the impact of family on individuals’ stock market participation decision is provided. Since influence is likely to vary systematically over different types of individuals the heterogeneous effect of social interaction, in a setting including both community as well as within-family effects, is further examined. The main results indicate that individuals’ likelihood for subsequent participation increases (decreases) following positive (negative) parental and partner stock market experiences. The effect of social interaction is further found to be of relatively greater importance for individuals with relatively lower levels of financial literacy and for individuals with an on average higher level of interpersonal trust. In terms of gender, both male and female participation is positively affected by family influence, while community effects mainly pertain to males.
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| 10. |
- Hellström, Jörgen, 1970-, et al.
(författare)
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Stock exchange mergers and return co-movement : A flexible dynamic component correlations model
- 2013
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Ingår i: Economics Letters. - : Elsevier. - 0165-1765 .- 1873-7374. ; 121:3, s. 511-515
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Tidskriftsartikel (refereegranskat)abstract
- The creation of a common cross-border stock trading platform is found, by use of a Flexible Dynamic Component Correlations (FDCC) model, to have increased long-run trends in conditional correlations between foreign and domestic stock market returns.
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