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Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence

Campbell, Sean D.; Diebold, Francis X. - Center for Financial Studies - 2005

We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions...

Persistent link: https://www.econbiz.de/10005176432

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2005

We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than … focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting … functions of realized volatility, namely realized betas for equity portfolios, relating them both to their underlying realized …

Persistent link: https://www.econbiz.de/10005022431

A framework for exploring the macroeconomic determinants of systematic risk

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2005

Persistent link: https://www.econbiz.de/10010958769

Stock returns and expected business conditions: Half a century of direct evidence

Campbell, Sean D.; Diebold, Francis X. - Center for Financial Studies - 2005

Persistent link: https://www.econbiz.de/10010958776

Price pressures

Hendershott, Terrence; Menkveld, Albert J. - Center for Financial Studies - 2010

intermediary data reveal economically large price pressures. A $100,000 inventory shock causes an average price pressure of 0 ….28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

Persistent link: https://www.econbiz.de/10010958491

Three Great American Disinflations

Bordo, Michael; Erceg, Christopher; Levin, Andrew; … - Center for Financial Studies - 2007

In this paper, we examine three famous episodes of deliberate deflation (or disinflation) in U.S. history, including episodes following the Civil War, World War I, and the Volcker disinflation of the early 1980s. These episodes were associated with widely divergent effects on the real economy,...

Persistent link: https://www.econbiz.de/10005138841

How do Fiscal and Technology Shocks affect Real Exchange Rates? New Evidence for the United States

Enders, Zeno; Müller, Gernot J.; Scholl, Almut - Center for Financial Studies - 2008

Using vector autoregressions on U.S. time series relative to an aggregate of industrialized countries, this paper provides new evidence on the dynamic effects of government spending and technology shocks on the real exchange rate and the terms of trade. To achieve identi¬fication, we derive...

Persistent link: https://www.econbiz.de/10005138848

Learning to Forecast and Cyclical Behavior of Output and Inflation

Adam, Klaus - Center for Financial Studies - 2003

This paper considers a sticky price model with a cash-in-advance constraint where agents forecast inflation rates with the help of econometric models. Agents use least squares learning to estimate two competing models of which one is consistent with rational expectations once learning is...

Persistent link: https://www.econbiz.de/10005138849

Understanding the Effects of Government Spending on Consumption

Galí, Jordi; López-Salidoz, J. David; Vallés, Javier - Center for Financial Studies - 2004

Recent evidence on the effect of government spending shocks on consumption cannot be easily reconciled with existing optimizing business cycle models. We extend the standard New Keynesian model to allow for the presence of rule-of-thumb (non-Ricardian) consumers. We show how the interaction of...

Persistent link: https://www.econbiz.de/10005600446

The Mistake of 1937: A General Equilibrium Analysis

Eggertsson, Gauti B.; Pugsley, Benjamin - Center for Financial Studies - 2007

This paper studies a dynamic general equilibrium model with sticky prices and rational expectations in an environment of low interest rates and deflationary pressures. We show that small changes in the public’s beliefs about the future inflation target of the government can lead to large...

Persistent link: https://www.econbiz.de/10005600453