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Extreme Correlation of International Equity Markets
Longin, François; Solnik, Bruno H - C.E.P.R. Discussion Papers - 2000
volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise …
Persistent link: https://www.econbiz.de/10005504611
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A Banking Explanation of the US Velocity of Money: 1919-2004
Benk, Szilárd; Gillman, Max; Kejak, Michal - C.E.P.R. Discussion Papers - 2009
velocity volatility at both business cycle and long run frequencies. With filtered velocity turning negative, starting during …
Persistent link: https://www.econbiz.de/10008496458
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The Two Greatest. Great Recession vs. Great Moderation
Rivas, Gadea; Dolores, Maria; Gómez Loscos, Ana; … - C.E.P.R. Discussion Papers - 2014
to an end. This paper offers evidence that the decrease in output volatility still remains in force despite the GR and …
Persistent link: https://www.econbiz.de/10011083709
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The Fundamental Surplus in Matching Models
Ljungqvist, Lars; Sargent, Thomas J - C.E.P.R. Discussion Papers - 2015
To generate big responses of unemployment to productivity changes, researchers have reconfigured matching models in various ways: by elevating the utility of leisure, by making wages sticky, by assuming alternating-offer wage bargaining, by introducing costly acquisition of credit, or by...
Persistent link: https://www.econbiz.de/10011201357
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Increased Correlation in Bear markets: A Downside Risk Perspective
Campbell, Rachel; Koedijk, Kees; Kofman, Paul - C.E.P.R. Discussion Papers - 2002
A number of studies have provided evidence of increased correlation in global financial market returns during bear … implied correlation based on portfolio downside risk measures that does not suffer from this bias. These unbiased quantile … correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple …
Persistent link: https://www.econbiz.de/10005124110
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The Supermodular Stochastic Ordering
Meyer, Margaret A; Strulovici, Bruno - C.E.P.R. Discussion Papers - 2013
In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the `supermodular stochastic...
Persistent link: https://www.econbiz.de/10011083601
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Governance and Comovement Under Common Ownership
Edmans, Alex; Levit, Doron; Reilly, Devin - C.E.P.R. Discussion Papers - 2014
derive empirical predictions for the direction of correlation and for whether governance is stronger or weaker with multiple …
Persistent link: https://www.econbiz.de/10011084086
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Hyperbolic Discounting and Positive Optimal Inflation
Graham, Liam; Snower, Dennis J. - C.E.P.R. Discussion Papers - 2011
The Friedman rule states that steady-state welfare is maximized when there is deflation at the real rate of interest. Recent work by Khan et al. (2003) uses a richer model but still finds deflation optimal. In an otherwise standard new Keynesian model we show that, if households have hyperbolic...
Persistent link: https://www.econbiz.de/10009643503
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The role of central bank transparency for guiding private sector forecasts
Ehrmann, Michael; Eijffinger, Sylvester C W; … - C.E.P.R. Discussion Papers - 2009
There is a broad consensus in the literature that costs of information processing and acquisition may generate costly disagreements in expectations among economic agents, and that central banks may play a central role in reducing such dispersion in expectations. This paper analyses empirically...
Persistent link: https://www.econbiz.de/10008458290
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Central Bank Independence: An Update of Theory and Evidence
Berger, Helge; de Haan, Jakob; Eijffinger, Sylvester C W - C.E.P.R. Discussion Papers - 2000
This paper reviews recent research on central bank independence (CBI). After we have distinguished between independence and conservativeness, the literature on optimal inflation contracts is discussed, followed by research in which the inflationary bias is endogenized. Finally, the various...
Persistent link: https://www.econbiz.de/10005662256