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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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Capital Flows, Push versus Pull Factors and the Global Financial Crisis
Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2011
The causes of the 2008 collapse and subsequent surge in global capital flows remain an open and highly controversial issue. Employing a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies, the paper finds that common shocks--key crisis events as well as...
Persistent link: https://www.econbiz.de/10009207523
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Nowcasting
Banbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2010
We define nowcasting as the prediction of the present, the very near future and the very recent past. Key in this process is to use timely monthly information in order to nowcast quarterly variables that are published with long delays. We argue that the nowcasting process goes beyond the simple...
Persistent link: https://www.econbiz.de/10008468620
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Short-term Forecasts of Euro Area GDP Growth
Angelini, Elena; Camba-Mendez, Gonzalo; Giannone, Domenico - C.E.P.R. Discussion Papers - 2008
This paper evaluates models that exploit timely monthly releases to compute early estimates of current quarter GDP (now-casting) in the euro area. We compare traditional methods used at institutions with a new method proposed by Giannone, Reichlin and Small, 2005. The method consists in bridging...
Persistent link: https://www.econbiz.de/10005124140
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Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases
Giannone, Domenico; Reichlin, Lucrezia; Small, David - C.E.P.R. Discussion Papers - 2005
This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing 'news' on the basis of an evolving...
Persistent link: https://www.econbiz.de/10005124339
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Pooling-based data interpolation and backdating
Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2005
Pooling forecasts obtained from different procedures typically reduces the mean square forecast error and more generally improves the quality of the forecast. In this paper we evaluate whether pooling interpolated or backdated time series obtained from different procedures can also improve the...
Persistent link: https://www.econbiz.de/10005124455
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A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models
Doz, Catherine; Giannone, Domenico; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2006
series is large. Maximum likelihood is analyzed under different sources of misspecification: omitted serial correlation of … the observations and cross-sectional correlation of the idiosyncratic components. It is shown that the effects of … misspecification on the estimation of the common factors is negligible for large sample size (T) and the cross-sectional dimension (n …
Persistent link: https://www.econbiz.de/10005136525
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The Time-Varying Systematic Risk of Carry Trade Strategies
Christiansen, Charlotte; Ranaldo, Angelo; Söderlind, Paul - C.E.P.R. Discussion Papers - 2009
on market volatility and liquidity. Empirical results on daily data from 1995 to 2008 show that a typical carry trade … volatility is a priced risk factor. The findings are robust to various extensions, including using more currencies and other … proxies for volatility and liquidity (VIX, TED and a bid-ask spread). …
Persistent link: https://www.econbiz.de/10005034753
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Global crises and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - C.E.P.R. Discussion Papers - 2011
Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as...
Persistent link: https://www.econbiz.de/10009148883
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Factor based identification-robust inference in IV regressions
Kapetanios, George; Khalaf, Lynda; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2015
Robust methods for IV inference have received considerable attention recently. Their analysis has raised a variety of problematic issues such as size/power trade-offs resulting from weak or many instruments. We show that information-reduction methods provide a useful and practical solution to...
Persistent link: https://www.econbiz.de/10011165667