Narrow search
Showing 1 - 10 of 78
Cover Image
A Critique of the Literature on the US Financial Debt Crisis
Stein, Jerome L. - CESifo - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10008534053
Cover Image
Application of Stochastic Optimal Control to Financial Market Debt Crises
Stein, Jerome L. - CESifo - 2009
This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...
Persistent link: https://www.econbiz.de/10005094473
Cover Image
No-Trade in the Laboratory
Angrisani, Marco; Guarino, Antonio; Huck, Steffen; … - CESifo - 2008
We test the no-trade theorem in a laboratory financial market where subjects can trade an asset whose value is unknown. Subjects receive clues on the asset value and then set a bid and an ask at which they are willing to buy or to sell from the other participants. In treatments with no gains...
Persistent link: https://www.econbiz.de/10005406359
Cover Image
Predictability of Asset Returns and the Efficient Market Hypothesis
Pesaran, M. Hashem - CESifo - 2010
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...
Persistent link: https://www.econbiz.de/10008572494
Cover Image
Dynamic Trading and Asset Prices: Keynes vs. Hayek
Cespa, Giovanni; Vives, Xavier - CESifo - 2009
We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of...
Persistent link: https://www.econbiz.de/10008583648
Cover Image
Expectations, Liquidity, and Short-term Trading
Cespa, Giovanni; Vives, Xavier - CESifo - 2011
equilibria which can be ranked in terms of liquidity, volatility, and informational efficiency. We establish the limits of the …
Persistent link: https://www.econbiz.de/10008872222
Cover Image
Monetary Policy with Diverse Private Expectations
Kurz, Mordecai; Motolese, Maurizio; Piccillo, Giulia; … - CESifo - 2015
standard results about a smooth trade-off between inflation and output volatility. Our results are: (i) The policy space … volatility of variables to be non monotone in policy parameters. (iii) When beliefs are diverse a central bank must also consider … the volatility of individual consumption and the related volatility of financial markets. We show aggressive anti …
Persistent link: https://www.econbiz.de/10011205380
Cover Image
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
Cover Image
Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach
Caporale, Guglielmo Maria; Amor, Thouraya Hadj; Rault, … - CESifo - 2011
The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange … and monetary) can account for volatility of real exchange rates in emerging economies, with international financial …
Persistent link: https://www.econbiz.de/10009371352
Cover Image
Prediction Markets for Economic Forecasting
Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - CESifo - 2012
Prediction markets - markets used to forecast future events - have been used to accurately forecast the outcome of political contests, sporting events, and, occasionally, economic outcomes. This chapter summarizes the latest research on prediction markets in order to further their utilization by...
Persistent link: https://www.econbiz.de/10010877703