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Shock Size, Asymmetries, and State Dependent Pricing


James Yetman


Bank for International Settlements (BIS)

Wai-Yip Alex Ho


Hong Kong Monetary Authority

Economics Letters, Forthcoming

Abstract:     
State dependent pricing models predict different real responses to shocks than time dependent pricing models. For sufficiently large shocks, the real effects of shocks are independent of their sign.

Number of Pages in PDF File: 10

Keywords: State Dependent Pricing, Asymmetry

JEL Classification: E31

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Date posted: August 19, 2005  

Suggested Citation

Yetman, James and Ho, Wai-Yip Alex, Shock Size, Asymmetries, and State Dependent Pricing. Economics Letters, Forthcoming. Available at SSRN: http://ssrn.com/abstract=779845

Contact Information

James Yetman (Contact Author)
Bank for International Settlements (BIS) ( email )
Centralbahnplatz 2
Basel, 4002
Switzerland
Wai-Yip Alex Ho
Hong Kong Monetary Authority ( email )
Hong Kong Monetary Authority
55/F, 2 International Finance Centre, 8 Finance St
Central
Hong Kong
Feedback to SSRN (Beta)


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