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Dispersion and Volatility in Stock Returns: An Empirical Investigation
Campbell, John Y; Kim, Sangjoon; Lettau, Martin - C.E.P.R. Discussion Papers - 1998
This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily market returns within the month; the cross-sectional volatility or ‘dispersion’ of daily returns on industry portfolios, relative to the market, within the month; and the...
Persistent link: https://www.econbiz.de/10005662245
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Credit Risk and Disaster Risk
Gourio, François - C.E.P.R. Discussion Papers - 2011
corporate bonds is close to zero. In contrast, the empirical finance literature documents large and time-varying risk premia in … highly exposed to the risk of economic depression. This motivates introducing a small, time-varying risk of large economic … implications. An increase in disaster risk makes default more systematic, leading to higher risk premia, and higher expected …
Persistent link: https://www.econbiz.de/10008854475
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The Inefficient Markets Hypothesis: Why Financial Markets Do Not Work Well in the Real World
Farmer, Roger E A; Nourry, Carine; Venditti, Alain - C.E.P.R. Discussion Papers - 2013
efficiently allocate risk. Our work demonstrates that financial markets, by their very nature, cannot be Pareto efficient, except …
Persistent link: https://www.econbiz.de/10011084682
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Consumption Dynamics and Real Exchange Rate
Ravn, Morten O - C.E.P.R. Discussion Papers - 2001
. Yet, the role of the real exchange rate has been ignored in many previous studies of risk sharing and financial market …
Persistent link: https://www.econbiz.de/10005662242
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Money in Monetary Policy Design under Uncertainty: The Two-Pillar Phillips Curve versus ECB-Style Cross-Checking
Beck, Günter; Wieland, Volker - C.E.P.R. Discussion Papers - 2007
The European Central Bank has assigned a special role to money in its two pillar strategy and has received much criticism for this decision. In this paper, we explore possible justifications. The case against including money in the central bank's interest rate rule is based on a standard model...
Persistent link: https://www.econbiz.de/10005792117
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Money in Monetary Policy Design: A Formal Characterization of ECB-Style Cross-Checking
Beck, Günter; Wieland, Volker - C.E.P.R. Discussion Papers - 2007
The European Central Bank has assigned a special role to money in its two pillar strategy and has received much criticism for this decision. The case against including money in the central bank's interest rate rule is based on a standard model of the monetary transmission process that underlies...
Persistent link: https://www.econbiz.de/10005497931
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Central Bank Misperceptions and the Role of Money in Interest Rate Rules
Beck, Günter; Wieland, Volker - C.E.P.R. Discussion Papers - 2008
Research with Keynesian-style models has emphasized the importance of the output gap for policies aimed at controlling inflation while declaring monetary aggregates largely irrelevant. Critics, however, have argued that these models need to be modified to account for observed money growth and...
Persistent link: https://www.econbiz.de/10005656152
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Money in monetary policy design: Monetary cross-checking in the New-Keynesian model
Beck, Günter; Wieland, Volker - C.E.P.R. Discussion Papers - 2009
In the New-Keynesian model, optimal interest rate policy under uncertainty is formulated without reference to monetary aggregates as long as certain standard assumptions on the distributions of unobservables are satisfied. The model has been criticized for failing to explain common trends in...
Persistent link: https://www.econbiz.de/10008577801
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Learning, Endogenous Indexation and Disinflation in the New-Keynesian Model
Wieland, Volker - C.E.P.R. Discussion Papers - 2008
This paper introduces adaptive learning and endogenous indexation in the New-Keynesian Phillips curve and studies disinflation under inflation targeting policies. The analysis is motivated by the disinflation performance of many inflation-targeting countries, in particular the gradual Chilean...
Persistent link: https://www.econbiz.de/10005114241
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The UK Intranational Trade Cycle
Artis, Michael J; Okubo, Toshihiro - C.E.P.R. Discussion Papers - 2009
The paper uses annual data on real GDP for the UK regions and 12 manufacturing sectors to derive regional and regional/sectoral business cycles using an H-P filter. The cohesion of the cycles is examined via cross-correlations and comparisons made with the regional cycles for Japan, the United...
Persistent link: https://www.econbiz.de/10005114447