| 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. |
- 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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| 3. |
- 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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| 4. |
- Hellström, Jörgen, 1970-, et al.
(författare)
-
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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| 5. |
- 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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| 6. |
- 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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| 7. |
- Hellström, Jörgen, 1970-, et al.
(författare)
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The impact of stock market jumps on time-varying return correlations : empirical evidence from the Baltic countries
- 2010
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Ingår i: Umeå Economic Studies. - 0348-1018. ; :816
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Forskningsöversikt (övrigt vetenskapligt/konstnärligt)abstract
- In this paper we study the impact of market jumps on the time varying return correlations between stock market indices in the Baltic countries. An EARJI-EGARCH model facilitating direct modelling of the time varying return correlations is introduced. The empirical results indicate that there is a quite large number of identi…ed jumps in the emerging Baltic stock markets. The main …nding is that isolated market jumps in one of the markets generally have no or small e¤ects on the time-varying correlations. In contrast, simultaneous jumps of equal sign increase the average correlation, in some cases with as much as 100 percent
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| 8. |
- Hellström, Jörgen, 1970-, et al.
(författare)
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Uncertainty in the generic versus brand name prescription decision
- 2010
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Ingår i: Empirical Economics. - : Springer Science and Business Media LLC. - 0377-7332 .- 1435-8921. ; 38:3, s. 503-521
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Tidskriftsartikel (refereegranskat)abstract
- This paper analyzes the impact of uncertainty concerning product qualityof generic drugs on the substitution behavior of prescribing physicians. It is shown thatuncertainty about the generic drug quality gives the physician a value of waiting formore information before switching to the generic version. In addition, it is shown thatreducing the approval requirements for generic drugs, thereby increasing uncertaintyabout quality, may discourage physicians from prescribing such drugs. An empiricalstudy testing the theoretical predictions is presented at the end of the paper.
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| 9. |
- Hellström, Jörgen, 1970-, et al.
(författare)
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Why do electricity prices jump? : Empirical evidence from the Nordic electricity market
- 2012
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Ingår i: Energy Economics. - : Elsevier. - 0140-9883 .- 1873-6181. ; 34:6, s. 1774-1781
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Tidskriftsartikel (refereegranskat)abstract
- The paper empirically explores the possible causes behind electricity price jumps in the Nordic electricity market, Nord Pool. A time-series model (a mixed GARCH–EARJI jump model) capturing the common statistical features of electricity prices is used to identify price jumps. By the model, a categorical variable is defined distinguishing no, positive and negative jumps. The causes for the jumps are then explored through the use of ordered probit models in a second stage. The empirical results indicate that the structure of the market plays an important role in whether shocks in the demand and supply for electricity translate into price jumps.
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