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In October 1979 the Federal Reserve shifted from an interest rate oriented operating procedure to a reserves oriented procedure. It is argued in this paper that part of the very large increase in interest rate volatility which resulted from the policy switch may have been due to shifts in the...
Persistent link: https://www.econbiz.de/10012478193
U.S. minimum wage using aggregate data for 1954-78.I then ground the model more closely in the theory of factor demand …
Persistent link: https://www.econbiz.de/10012478465
My initial motivation for considering volatility measures in the efficient markets models was to clarify the basic smoothing properties of the models to allow an understanding of the assumptions which are implicit in the notion of market efficiency. The efficient markets models, which are...
Persistent link: https://www.econbiz.de/10012478568
This study analyzes why formation of an exchange-rate union, such as the newly-established European Monetary System, can be harmful to the interests of some member countries. The framework provided for analyzing behavior in the union is a three-country model which combines an asset market...
Persistent link: https://www.econbiz.de/10012478644
with applying the theory of marriage directly to labor demand. These issues become most interesting when there are …
Persistent link: https://www.econbiz.de/10012478967
We explore the equilibrium relation between price volatility and price informativeness in financial markets, with the ultimate goal of characterizing the type of inferences that can be drawn about price informativeness by observing price volatility. We identify two different channels (noise...
Persistent link: https://www.econbiz.de/10012479389
We develop measures of time-varying risk aversion and economic uncertainty that are calculated from financial variables at high frequencies. We formulate a dynamic no-arbitrage asset pricing model for equities and corporate bonds. The joint dynamics among asset-specific cash flows, macroeconomic...
Persistent link: https://www.econbiz.de/10012479625
We propose a novel measure of risk perceptions: the price of volatile stocks (PVS<sub>t</sub>), defined as the book-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVS<sub>t</sub> is high when perceived risk directly measured from surveys and option prices is low....
Persistent link: https://www.econbiz.de/10012480235
We study the pricing of uncertainty shocks using a wide-ranging set of options that reveal premia for macroeconomic risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while those exposed to the realization of large shocks have earned...
Persistent link: https://www.econbiz.de/10012480268
Recent critiques have demonstrated that existing attempts to account for the unemployment volatility puzzle of search models are inconsistent with the procylicality of the opportunity cost of employment, the cyclicality of wages, and the volatility of risk-free rates. We propose a model that is...
Persistent link: https://www.econbiz.de/10012480524