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Leverage as a Predictor for Real Activity and Volatility
Kollmann, Robert; Zeugner, Stefan - C.E.P.R. Discussion Papers - 2011
positively linked to the conditional volatility of future real activity and of equity returns. The joint information in sectoral …
Persistent link: https://www.econbiz.de/10008915810
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The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets
Giovannini, Alberto - C.E.P.R. Discussion Papers - 1988
Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of asset returns are time-varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first and second moments are consistent...
Persistent link: https://www.econbiz.de/10005791802
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Heterogeneity in Wage Setting Behavior in a New-Keynesian Model
Eijffinger, Sylvester C W; Grajales, Anderson; Uras, … - C.E.P.R. Discussion Papers - 2015
In this paper we estimate a New-Keynesian DSGE model with heterogeneity in price and wage setting behavior. In a recent …) framework by incorporating heterogeneity in nominal wage setting behavior among households. We solve this DSGE model and … heterogeneity in wage rigidity, such as the persistence in price and the wage inflation, which a standard New Keynesian model with …
Persistent link: https://www.econbiz.de/10011249376
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Aggregating Phillips Curves
Imbs, Jean; Jondeau, Eric; Pelgrin, Florian - C.E.P.R. Discussion Papers - 2007
typical estimations. In this paper, we show how heterogeneity in pricing behaviour is relevant to both questions. We detail … aggregate or microeconomic data, can be fully attributable to a heterogeneity bias. …
Persistent link: https://www.econbiz.de/10005662190
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Trade and Entrepreneurship with Heterogeneous Workers
Oyama, Daisuke; Sato, Yasuhiro; Tabuchi, Takatoshi; … - C.E.P.R. Discussion Papers - 2007
This paper investigates the impacts of progressive trade openness, technological externalities, and heterogeneity of … make the symmetric equilibrium unstable, generating equilibrium multiplicity, while sufficient heterogeneity of individuals …
Persistent link: https://www.econbiz.de/10005662268
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Revolutionary Effects of New Information Technologies
den Berg, Gerard J van - C.E.P.R. Discussion Papers - 2005
In markets with imperfect information and heterogeneity, the information technology affects the rate at which agents …
Persistent link: https://www.econbiz.de/10005788903
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Heterogeneity in Consumer Price Stickiness: A Microeconometric Investigation
Fougère, Denis; Le Bihan, Hervé; Sevestre, Patrick - C.E.P.R. Discussion Papers - 2005
This paper examines heterogeneity in price stickiness using a large, original, set of individual price data collected …. The main findings are the following: i) cross-product and cross-outlet-type heterogeneity is pervasive, both in the shape …
Persistent link: https://www.econbiz.de/10005791301
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The Real Effects of EMU
Lane, Philip R. - C.E.P.R. Discussion Papers - 2006
We explore the impact of European monetary union (EMU) on the economies of the member countries. While the annual dispersion in inflation rates have not been much different to the variation across US regions, inflation differentials in the euro area have been much more persistent, such that...
Persistent link: https://www.econbiz.de/10005791619
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Combining Micro and Macro Unemployment Duration Data
den Berg, Gerard J van; van der Klaauw, Bas - C.E.P.R. Discussion Papers - 2000
We combine micro and macro unemployment duration data to study the effects of the business cycle on the outflow from unemployment. We allow the cycle to affect individual exit probabilities of unemployed workers as well as the composition of the total inflow into unemployment. We estimate the...
Persistent link: https://www.econbiz.de/10005791659
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On Measuring the Costs of Labour Immobility and Market Heterogeneity in Europe
Demertzis, Maria; Hughes Hallett, Andrew - C.E.P.R. Discussion Papers - 1995
In this paper we evaluate the deterioration in the European sacrifice ratio implied (both in terms of inflation and unemployment) by the fact that labour markets are structurally different and there is very little labour mobility between the European Union countries. We also consider a wage...
Persistent link: https://www.econbiz.de/10005791716