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On crisis models: An alternative crisis definition

Eliasson, Ann-Charlotte; Kreuter, Christof J. - 2001

In this paper we question the consensus of using a binary crisisdefinition for empirical crisis models. We believe that the most severeshortcomings of the crisis models today are in the crisis definition rather than the explanatory variables ...

Persistent link: https://www.econbiz.de/10005843732

Financial Integration And Domestic Sovereignty In European Stock Markets

Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

European equity markets since the introduction of the euro. We use a multivariate GARCH(1,1)-M return generating model allowing … euro and that sovereign risk represents a non-negligible component -on average 15%- of the excess ex- pected return … required for investing in the euro-zone as well as in a group of European stock markets enlarged to Switzerland and the UK. …

Persistent link: https://www.econbiz.de/10005859116

The real estate risk premium:A developed/emerging country panel data analysis

D’Argensio, John-John; Laurin, Frédéric - Center for Operations Research and Econometrics … - 2008

The objective of this paper is to identify the determinants of office capitalization rates for a panel of 52countries (developed and emerging countries) between 2000 and 2006. Our assumption, based on a CapitalAsset Pricing Model, is that the capitalization rate should be at least proportional...

Persistent link: https://www.econbiz.de/10005868743

What explains global exchange rate movements during the financial crisis?

Fratzscher, Marcel - European Central Bank - 2009

A striking and unexpected feature of the financial crisis has been the sharpappreciation of the US dollar against virtually all currencies globally. The paper findsthat negative US-specific macroeconomic shocks during the crisis have triggered asignificant strengthening of the US dollar, rather...

Persistent link: https://www.econbiz.de/10005866568

Detecting Speculative Bubbles in Stock Prices : a New Approach and Some Evidence for the US

Siklos, Pierre L.; Bohl, Martin T. - 2001

A large part of the current debate on US stock price behaviorconcentrates on the question of whether stock prices are driven byfundamentals or by non-fundamental factors(...)

Persistent link: https://www.econbiz.de/10005843733

Sources of Earnings Instability : Estimates from an On-the-Job Search Model of the U.S. Labor Market

Flabbi, Luca; Leonardi, Marco - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2008

Many contributions suggest that earnings instability has increased during the 1980s and1990s. This paper develops and estimates an on-the-job search model of the labor market tostudy the contribution of wage inequality and job mobility in explaining earnings instability. Tostudy the evolution...

Persistent link: https://www.econbiz.de/10005860471