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Financial-Friction Macroeconomics with Highly Leveraged Financial Institutions
Luk, Sheung Kan; Vines, David - C.E.P.R. Discussion Papers - 2011
This paper adds a highly-leveraged financial sector to the Ramsey model of economic growth and shows that this causes the economy to behave in a highly volatile manner: doing this strongly augments the macroeconomic effects of aggregate productivity shocks. Our model is built on the financial...
Persistent link: https://www.econbiz.de/10009322500
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Ten Things We Should Know About Time Series
McAleer, Michael; Oxley, Les - Faculteit der Economische Wetenschappen, Erasmus … - 2010
realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of … multivariate volatility models, and thinking carefully about forecasting models and expertise …
Persistent link: https://www.econbiz.de/10010837984
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Leverage as a Predictor for Real Activity and Volatility
Kollmann, Robert; Zeugner, Stefan - C.E.P.R. Discussion Papers - 2011
positively linked to the conditional volatility of future real activity and of equity returns. The joint information in sectoral …
Persistent link: https://www.econbiz.de/10008915810