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Endogenous Market Thinness and Stock Price Volatility

Pagano, Marco - C.E.P.R. Discussion Papers - 1986

resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus … thinness and the consequent price volatility may become joint self-perpetuating features of an equity market, whatever the … volatility of asset fundamentals. If, however, appropriate incentive schemes are adopted to encourage entry of additional …

Persistent link: https://www.econbiz.de/10005662005

Can the Fed talk the hind legs off the stock market?

Eijffinger, Sylvester C W; Mahieu, Ronald J; Raes, Louis - C.E.P.R. Discussion Papers - 2011

Deliberately or not, by providing its stance on the prospects of the economy, rationalizing past decisions or announcing future actions, central banks influence financial markets' expectations of its future policy. In bad times, monetary policy communication inducing an upward revision of the...

Persistent link: https://www.econbiz.de/10009147402

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

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

This paper argues that the stock market crash of 2008, triggered by a collapse in house prices, caused the Great Recession. The paper has three parts. First, it provides evidence of a high correlation between the value of the stock market and the unemployment rate in U.S. data since 1929....

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

Learning From Stock Prices and Economic Growth

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

specialization, wealth inequality, stock trading intensity, liquidity and return volatility. …

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

The Stock Market Crash Really Did Cause the Great Recession

Farmer, Roger E A - C.E.P.R. Discussion Papers - 2013

This note shows that a big stock market crash, in the absence of central bank intervention, will be followed by a major recession one to four quarters later. I establish this fact by studying the forecasting ability of three models of the unemployment rate. I show that the connection between...

Persistent link: https://www.econbiz.de/10011083701

The Wealth-Consumption Ratio

Lustig, Hanno; van Nieuwerburgh, Stijn; Verdelhan, Adrien - C.E.P.R. Discussion Papers - 2012

We derive new estimates of total wealth, the returns on total wealth, and the wealth effect on consumption. We estimate the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we compute total wealth as the price of a claim to...

Persistent link: https://www.econbiz.de/10011083953

Local Bias and Stock Market Conditions

Giannetti, Mariassunta; Laeven, Luc - C.E.P.R. Discussion Papers - 2012

We show that the local bias in U.S. mutual fund portfolios varies significantly over time and is more pronounced at times of heightened market uncertainty, such as during financial crises. Similarly, the local bias is less pronounced in periods when market sentiment is strong. These results do...

Persistent link: https://www.econbiz.de/10011084583

The Costs of Inflation: Some Theoretical Issues

Hardman Moore, John - C.E.P.R. Discussion Papers - 1984

Although for the most part this paper is concerned with others' work, it is not a survey of the literature. Notable omissions are: the shoe-leather effect, the Tobin effect, the real effects of nominal (government) institutions. The first part looks at the relationship between inflation,...

Persistent link: https://www.econbiz.de/10005792034

With a Bang, Not a Whimper: Pricking Germany's 'Stock Market Bubble' in 1927 and the Slide into Depression

Voth, Hans-Joachim - C.E.P.R. Discussion Papers - 2002

Asset price inflation presents central banks with a puzzle. I examine the case of Germany, 1925-7, when the Reichsbank intervened to bring down stock prices, rectify imbalances and curb speculation. Present value relations, comparisons with historical valuation measures and the time-series...

Persistent link: https://www.econbiz.de/10005792124

The 1920s and the 1990s in Mutual Reflection

Gordon, Robert J - C.E.P.R. Discussion Papers - 2005

downward shift in aggregate demand. Another partly related difference was a high volatility of inventory accumulation that …

Persistent link: https://www.econbiz.de/10005792478

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