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Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion
Corsetti, Giancarlo; Pericoli, Marcello; Sbracia, Massimo - C.E.P.R. Discussion Papers - 2002
This Paper develops a test of contagion in financial markets based on bivariate correlation analysis, which generalizes existing tests, and applies it to the international effects of the Hong Kong stock market crisis of October 1997. Contagion is defined as a structural break in the...
Persistent link: https://www.econbiz.de/10005791976
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Country and Industry Dynamics in Stock Returns
Catão, Luis A. V.; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004
An important question in international finance is to what extent stock return volatility is influenced by country location, industry affiliation, and global factors. This Paper develops a new methodology to measure these effects, in which portfolios mimicking ‘pure’ country and industry...
Persistent link: https://www.econbiz.de/10005067673
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Predatory Trading
Brunnermeier, Markus K; Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2004
This Paper studies predatory trading: trading that induces and/or exploits other investors’ need to reduce their positions. We show that if one trader needs to sell, others also sell and subsequently buy back the asset. This leads to price overshooting and a reduced liquidation value for the...
Persistent link: https://www.econbiz.de/10005791996
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Preferred Risk Habitat of Individual Investors
Dorn, Daniel; Huberman, Gur - C.E.P.R. Discussion Papers - 2007
The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks with volatilities … commensurate with their risk aversion; more risk-averse individuals pick lower-volatility stocks. The investors' portfolio … stocks are sold they are replaced by stocks of similar volatilities, and the more risk averse customers indeed hold less …
Persistent link: https://www.econbiz.de/10005067451
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The Term Structure of Inflation Expectations
Chernov, Mikhail; Mueller, Philippe - C.E.P.R. Discussion Papers - 2008
accommodates forecasts over multiple horizons from multiple surveys and Treasury yields by allowing for differences between risk …
Persistent link: https://www.econbiz.de/10005662095
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Is There Regional Tax Competition? Firm Level Evidence for Belgium
Crabbé, Karen; Janssen, Boudewijn; Vandenbussche, Hylke - C.E.P.R. Discussion Papers - 2004
This is the first Paper that looks at regional tax competition within one single country. In many countries in Europe, regions within a country differ substantially in their economic development and attractiveness to firms. Belgium is a typical example of a country where the economic situation...
Persistent link: https://www.econbiz.de/10005661436
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Aggregating Phillips Curves
Imbs, Jean; Jondeau, Eric; Pelgrin, Florian - C.E.P.R. Discussion Papers - 2007
The New Keynesian Phillips Curve is at the centre of two raging empirical debates. First, how can purely forward looking pricing account for the observed persistence in aggregate inflation. Second, price-setting responds to movements in marginal costs, which should therefore be the driving force...
Persistent link: https://www.econbiz.de/10005662190
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How much structure in empirical models?
Canova, Fabio - C.E.P.R. Discussion Papers - 2008
This chapter highlights the problems that structural methods and SVAR approaches have when estimating DSGE models and examining their ability to capture important features of the data. We show that structural methods are subject to severe identification problems due, in large part, to the nature...
Persistent link: https://www.econbiz.de/10005662393
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Monetary Policy in Stage Two of EMU: What Can We Learn From the 1980s?
Artis, Michael J - C.E.P.R. Discussion Papers - 1992
A smooth progression from Stage Two to Stage Three of EMU requires that the type of policy planned for Stage Three should be foreshadowed in Stage Two. Two possibilities for that policy are monetary targeting or an interest rate policy feeding back on a nominal variable. The paper re-examines...
Persistent link: https://www.econbiz.de/10005666415
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Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles
Peel, David; Sarno, Lucio; Taylor, Mark P - C.E.P.R. Discussion Papers - 2001
We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods period, consistent with a theoretical literature on transaction costs in international arbitrage. The half lives of real exchange rate shocks, calculated through Monte Carlo integration, imply...
Persistent link: https://www.econbiz.de/10005666576