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Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets
Caporale, Guglielmo Maria; Sousa, Ricardo M. - CESifo - 2011
In this paper, we show, using the consumer’s budget constraint, that the residuals of the trend relationship among consumption, aggregate wealth, and labour income should predict both stock returns and housing returns. We use quarterly data for a panel of 31 emerging economies and find that,...
Persistent link: https://www.econbiz.de/10009325810
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Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries
Caporale, Guglielmo Maria; Sousa, Ricardo M. - CESifo - 2011
In this paper we use a representative consumer model to analyse the equilibrium relation between the transitory deviations from the common trend among consumption, aggregate wealth, and labour income, cay, and focus on the implications for both stock returns and housing returns. The evidence...
Persistent link: https://www.econbiz.de/10009352230
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The Fossil Episode
Hassler, John; Sinn, Hans-Werner - CESifo - 2012
biocarbon. One shock only, the discovery of the technology to use fossil fuels, leads to a transition from an initial pre …
Persistent link: https://www.econbiz.de/10010877924
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Investigating the U.S. Oil-Macroeconomy Nexus using Rolling Impulse Responses
Gronwald, Marc - CESifo - 2009
This paper is concerned with the apparent change in the U.S. oil price-macroeconomy relationship. It is investigated to what extent this change can be accounted for by the large oil price surges witnessed in the 1970s. The innovative approach of rolling impulse responses is applied and both the...
Persistent link: https://www.econbiz.de/10005013074
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A Characterization of Oil Price Behavior - Evidence from Jump Models
Gronwald, Marc - CESifo - 2011
This paper is concerned with the statistical behavior of oil prices in two ways. It, firstly, applies a combined jump GARCH in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its empirical results to implications of Hotelling-type resource...
Persistent link: https://www.econbiz.de/10009371347
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Whither China? Reform and Economic Integration among Chinese Regions
Fidrmuc, Jan; Fidrmuc, Jarko; Huang, Shuo - CESifo - 2013
This paper investigates the changing nature of economic integration in China. Specifically, we consider business-cycle synchronization (correlation of demand and supply shocks) among Chinese provinces during the period 1955-2007. We find that the symmetry of supply shocks has declined after the...
Persistent link: https://www.econbiz.de/10010643334
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Sustainability of German Fiscal Policy and Public Debt: Historical and Time Series Evidence for the Period 1850-2010
Burret, Heiko T.; Feld, Lars P.; Köhler, Ekkehard A. - CESifo - 2013
In the last decades, the majority of OECD countries has experienced a continuous increase in public debt. The European debt crisis has prompted a fundamental re]evaluation of public debt sustainability and the looming threat of sovereign debt default. Due to a multitude of large scale events in...
Persistent link: https://www.econbiz.de/10010627572
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The Micro Dynamics of Macro Announcements
Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - CESifo - 2013
response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …
Persistent link: https://www.econbiz.de/10010877723
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Commodity Price Volatility, Democracy and Economic Growth
Arezki, Rabah; Gylfason, Thorvaldur - CESifo - 2011
We use a new dataset on non-resource GDP to examine the impact of commodity price volatility on economic growth in a … panel of up to 158 countries during the period 1970-2007. Our main finding is that commodity price volatility leads to a … result, we show that increased commodity price volatility leads to a statistically significant and quantitatively large …
Persistent link: https://www.econbiz.de/10009352227
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The Relative Volatility of Commodity Prices: A Reappraisal
Arezki, Rabah; Lederman, Daniel; Zhao, Hongyan - CESifo - 2011
This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in … evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. The literature tends … to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and …
Persistent link: https://www.econbiz.de/10009391720