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Structural or Cyclical? Unemployment in Latvia Since the 2008-09 Financial Crisis
Anosova, Daria; Sonin, Konstantin; Vanags, Alf; Zasova, Anna - C.E.P.R. Discussion Papers - 2013
In terms of output decline and increase in unemployment, the economic recession in Latvia that started during the 2008-09 financial crisis was one of the most severe in the world. Using both decomposition of the unemployment rate into structural and cyclical components and Mortensen and...
Persistent link: https://www.econbiz.de/10011083363
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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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Extreme Correlation of International Equity Markets
Longin, François; Solnik, Bruno H - C.E.P.R. Discussion Papers - 2000
Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise … and misleading results have often been reported in the past because of a spurious relationship between correlation and … volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or …
Persistent link: https://www.econbiz.de/10005504611
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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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A Gains from Trade Perspective on Macroeconomic Fluctuations
Beaudry, Paul; Portier, Franck - C.E.P.R. Discussion Papers - 2011
Business cycles reflect changes over time in the amount of trade between individuals. In this paper we show that incorporating explicitly intra-temporal gains from trade between individuals into a macroeconomic model can provide new insight into the potential mechanisms driving economic...
Persistent link: https://www.econbiz.de/10009221567
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Fiscal Multipliers Over the Business Cycle
Michaillat, Pascal - C.E.P.R. Discussion Papers - 2011
This paper develops a theory characterizing the effects of fiscal policy on unemployment over the business cycle. The theory is based on a model of equilibrium unemployment in which jobs are rationed in recessions. Fiscal policy in the form of government spending on public-sector jobs reduces...
Persistent link: https://www.econbiz.de/10009324257
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Skill-Biased Technological Change and the Business Cycle
Balleer, Almut; van Rens, Thijs - C.E.P.R. Discussion Papers - 2011
Over the past two decades, technological progress in the United States has been biased towards skilled labor. What does this imply for business cycles? We construct a quarterly skill premium from the CPS and use it to identify skill-biased technology shocks in a VAR with long-run restrictions....
Persistent link: https://www.econbiz.de/10009643505
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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
The paper shows that US GDP velocity of M1 money has exhibited long cycles around a 1.25% per year upward trend, during the 1919-2004 period. It explains the velocity cycles through shocks constructed from a DSGE model and annual time series data (Ingram et al., 1994). Model velocity is stable...
Persistent link: https://www.econbiz.de/10008496458
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Macroeconomic Effects of Financial Shocks
Jermann, Urban; Quadrini, Vincenzo - C.E.P.R. Discussion Papers - 2009
In this paper we document the cyclical properties of U.S. firms' financial flows. Equity payouts are procyclical and debt payouts are countercyclical. We develop a model with explicit roles for debt and equity financing and explore how the observed dynamics of real and financial variables are...
Persistent link: https://www.econbiz.de/10008528541