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Equity Risk Premium and Regional Integration
Arouri, Mohamed El Hedi; Teulon, Frédéric; Rault, … - CESifo - 2013
This article contributes to the literature on stock market integration by developing and estimating a capital asset pricing model with segmentation effects in order to assess stock market segmentation and its effects on risk premia at the regional level. We show that the estimated degrees of...
Persistent link: https://www.econbiz.de/10010877634
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Market Structure and the Cost of Capital
Arouri, Mohamed El Hedi; Rault, Christophe; Sova, Robert; … - CESifo - 2013
We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields...
Persistent link: https://www.econbiz.de/10010877642
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Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity
Luetkepohl, Helmut; Velinov, Anton - CESifo - 2014
) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …
Persistent link: https://www.econbiz.de/10010877668
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Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - CESifo - 2014
. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …
Persistent link: https://www.econbiz.de/10010877764
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Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - CESifo - 2014
suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …
Persistent link: https://www.econbiz.de/10010877768
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Persistence and Cycles in the US Federal Funds Rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2012
This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an...
Persistent link: https://www.econbiz.de/10010877825
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Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawal
Caporale, Guglielmo Maria; Costantini, Mauro; Paradiso, … - CESifo - 2012
In this paper we examine the role of mortgage equity withdrawal in explaining the decline of the US saving rate, since when house prices rise and mortgage rates are low, homeowners have an incentive to withdraw housing equity and this may affect the saving rate. We estimate a Vector Error...
Persistent link: https://www.econbiz.de/10010877879
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Forecasting GDP at the Regional Level with Many Predictors
Lehmann, Robert; Wohlrabe, Klaus - CESifo - 2012
In this paper, we assess the accuracy of macroeconomic forecasts at the regional level using a unique data set at quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden-Württemberg) and Eastern Germany. We overcome the problem of a...
Persistent link: https://www.econbiz.de/10010877940
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Persistence and Cycles in US Hours Worked
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2012
This paper analyses monthly hours worked in the US over the sample period 1939m1 – 2011m10 using a cyclical long memory model; this is based on Gegenbauer processes and characterised by autocorrelations decaying to zero cyclically and at a hyperbolic rate along with a spectral density that is...
Persistent link: https://www.econbiz.de/10010877961
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Effectiveness and Transmission of the ECB's Balance Sheet Policies
Boeckx, Jef; Dossche, Maarten; Peersman, Gert - CESifo - 2014
We estimate the effects of exogenous innovations to the balance sheet of the ECB since the start of the financial crisis within a structural VAR framework. An expansionary balance sheet shock stimulates bank lending, stabilizes financial markets, and has a positive impact on economic activity...
Persistent link: https://www.econbiz.de/10010887047