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Time and the price impact of a trade: A structural approach

Grammig, Joachim G.; Theissen, Erik; Wünsche, Oliver - 2011

We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...

Persistent link: https://www.econbiz.de/10010308551

After the Bust: The Outlook for Macroeconomics & Macroeconomic Policy

Palley, Thomas I. - 2008

The current economic crisis offers an historic opportunity for change. The depth of the crisis means there will likely be a policy turn in a Keynesian and even Post Keynesian direction. However, there are profound political, intellectual and sociological obstacles blocking change in underlying...

Persistent link: https://www.econbiz.de/10010460471

The European Financial and Economic Crisis: Alternative Solutions from a (Post-) Keynesian Perspective

Hein, Eckhard; Truger, Achim; van Treeck, Till - 2011

The financial and economic crisis in the Euro area has revealed a number of important flaws in the economic policy … euro, are not sustainable; and this is more serious in a period of crisis in particular. On the other hand, it has become … clear that the Euro area suffers from a serious lack of institutions and policy concepts, which will not allow coping with …

Persistent link: https://www.econbiz.de/10010460503

Did inequality cause the U.S. financial crisis?

van Treeck, Till - 2012

In his widely discussed book "Fault Lines" (2010), Raghuram Rajan argues that many U.S. consumers have reacted to the decline in their relative permanent incomes since the early 1980s by reducing saving and increasing debt. This has temporarily kept private consumption and thus aggregate demand...

Persistent link: https://www.econbiz.de/10010460517

Real-time Markov Switching and Leading Indicators in Times of the Financial Crisis

Theobald, Thomas - 2012

This paper uses several macroeconomic and financial indicators within a Markov Switching (MS) framework to predict the turning points of the business cycle. The presented model is applied to monthly German real-time data covering the recession and the recovery after the financial crisis. We show...

Persistent link: https://www.econbiz.de/10010460521

The American consumer: Reforming, or just resting?

Carroll, Christopher D.; Slacalek, Jirka - 2009

American households have received a triple dose of bad news since the beginning of the current recession: The greatest collapse in asset values since the Great Depression, a sharp tightening in credit availability, and a large increase in unemployment risk. We present measures of the size of...

Persistent link: https://www.econbiz.de/10010303694

Lifecycle impacts of the financial and economic crisis on household optimal consumption, portfolio choice, and labor supply

Chai, Jingjing; Maurer, Raimond H.; Mitchell, Olivia S.; … - 2011

The direct financial impact of the financial crisis has been to deal a heavy blow to investment-based pensions; many workers lost a substantial portion of their retirement saving. The financial sector implosion produced an economic crisis for the rest of the economy via high unemployment and...

Persistent link: https://www.econbiz.de/10010308576

IPOs cycle and investment in high-tech industries

Bouis, Romain - 2003

This paper analyses the effects of the Initial Public Offering (IPO) market on real investment decisions in emerging industries. We first propose a model of IPO timing based on divergence of opinion among investors and short-sale constraints. Using a real option approach, we show that firms are...

Persistent link: https://www.econbiz.de/10010298253

Optimal monetary policy under commitment with a zero bound on nominal interest rates

Adam, Klaus; Billi, Roberto M. - 2004

We determine optimal monetary policy under commitment in a forwardlooking New Keynesian model when nominal interest rates are bounded below by zero. The lower bound represents an occasionally binding constraint that causes the model and optimal policy to be nonlinear. A calibration to the U.S....

Persistent link: https://www.econbiz.de/10010298285

Practical volatility and correlation modeling for financial market risk management

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2005

What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...

Persistent link: https://www.econbiz.de/10010298295