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Sovereign ratings and their impact on recent financial crises
Kräussl, Roman - 2000
Persistent link: https://www.econbiz.de/10001467266
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10009535779
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Euro crash risk
Kräussl, Roman; Lehnert, Thorsten; Senulyte, Sigita - 2015
We identify crucial events during the European sovereign debt crisis and investigate their impact on the euro currency … (ECB) actions, and credit rating downgrades affect the value and the crash risk of the euro. We proxy the value changes of … the euro by its abnormal foreign exchange (FX) rate returns with respect to 35 currencies. The crash risk of the euro is …
Persistent link: https://www.econbiz.de/10011374028
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Time and the price impact of a trade : a structural approach
Grammig, Joachim; 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/10008856379
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The European sovereign debt crisis : what have we learned?
Kräussl, Roman; Lehnert, Thorsten; Stefanova, Denitsa - 2017
This paper sets the background for the Special Issue of the Journal of Empirical Finance on the European Sovereign Debt Crisis. It identifies the channel through which risks in the financial industry leaked into the public sector. It discusses the role of the bank rescues in igniting the...
Persistent link: https://www.econbiz.de/10011588156
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Inequality indices as tests of fairness
Kanbur, Ravi; Snell, Andy - 2017
Standard income inequality indices can be interpreted as a measure of welfare loss entailed in departures from equality of outcomes, for egalitarian social welfare functions defined on the distribution of outcomes. But such a welfare interpretation has been criticized for a long time on the...
Persistent link: https://www.econbiz.de/10011641764
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Rationalizing rational expectations? : tests and deviations
D'Haultfœuille, Xavier; Gaillac, Christophe; Maurel, Arnaud - 2018
In this paper, we build a new test of rational expectations based on the marginal distributions of realizations and subjective beliefs. This test is widely applicable, including in the common situation where realizations and beliefs are observed in two different datasets that cannot be matched....
Persistent link: https://www.econbiz.de/10011951089
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Health and wealth of elderly couples : causality tests using dynamic panel data models
Michaud, Pierre-Carl (contributor);  … - 2004 - [Elektronische Ressource]
A positive relationship between socio-economic status (SES) and health, the so-called "health-wealth gradient", is repeatedly found in most industrialized countries with similar levels of health care technology and economic welfare. This study analyzes causality from health to wealth (health...
Persistent link: https://www.econbiz.de/10002422848
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Concave-monotone treatment response and monotone treatment selection : with an application to the returns to schooling
Okumura, Tsunao; Usui, Emiko - 2010
This paper identifies sharp bounds on the mean treatment response and average treatment effect under the assumptions of both concave monotone treatment response (concave-MTR) and monotone treatment selection (MTS). We use our bounds and the US National Longitudinal Survey of Youth to estimate...
Persistent link: https://www.econbiz.de/10003975199
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Estimating the technology of cognitive and noncognitive skill formation
Cunha, Flávio; Heckman, James J.; Schennach, Susanne M. - 2010
This paper formulates and estimates multistage production functions for children's cognitive and noncognitive skills. Skills are determined by parental environments and investments at different stages of childhood. We estimate the elasticity of substitution between investments in one period and...
Persistent link: https://www.econbiz.de/10003934523