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Business Cycles in Emerging Economies: The Role of Interest Rates

Neumeyer, Pablo Andrés; Perri, Fabrizio - C.E.P.R. Discussion Papers - 2004

We find that in a sample of emerging economies business cycles are more volatile than in developed ones, real interest rates are countercyclical and lead the cycle, consumption is more volatile than output and net exports are strongly countercyclical. We present a model of a small open economy,...

Persistent link: https://www.econbiz.de/10005656244

Poultry in Motion: A Study of International Trade Finance Practices

Antràs, Pol; Foley, C. Fritz - C.E.P.R. Discussion Papers - 2011

This paper analyzes the financing terms that support international trade and sheds light on how and why these arrangements affect trade. Using detailed transaction level data from a U.S. based exporter of frozen and refrigerated food products, primarily poultry, it begins by describing broad...

Persistent link: https://www.econbiz.de/10009131674

Corporate Cash and Employment

Bacchetta, Philippe; Benhima, Kenza; Poilly, Céline - C.E.P.R. Discussion Papers - 2014

In the aftermath of the U.S. financial crisis, both a sharp drop in employment and a surge in corporate cash have been observed. In this paper, based on U.S. data, we document that the negative relationship between the corporate cash ratio and employment is systematic, both over time and across...

Persistent link: https://www.econbiz.de/10011145443

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

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

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

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

Learning From Stock Prices and Economic Growth

Peress, Joël - C.E.P.R. Discussion Papers - 2011

A competitive stock market is embedded into a neoclassical growth economy to analyze the interplay between the acquisition of information about firms, its partial revelation through stock prices, capital allocation and income. The stock market allows investors to share their costly private...

Persistent link: https://www.econbiz.de/10009293661

The Stock Market Crash of 2008 Caused the Great Recession: Theory and Evidence

Farmer, Roger E A - C.E.P.R. Discussion Papers - 2011

Recession. The paper has three parts. First, it provides evidence of a high correlation between the value of the stock market …

Persistent link: https://www.econbiz.de/10009351524

Why Do Companies Go Public? An Empirical Analysis

Pagano, Marco; Panetta, Fabio; Zingales, Luigi - C.E.P.R. Discussion Papers - 1996

This paper empirically analyses the determinants of an initial public offering (IPO) and the consequences of this decision on a company's investment and financial policy. We compare both the ex-ante and the ex-post characteristics of IPOs with those of a large sample of privately held companies...

Persistent link: https://www.econbiz.de/10005123719