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On the power and weakness of rational expectations: Logical fallacies, periodic bubbles and business cycles
Gracia, Eduard - Institut für Weltwirtschaft (IfW) - 2012
A popular interpretation of the Rational Expectations/Efficient Markets hypothesis states that, if the hypothesis holds, then market valuations must follow a random walk. This postulate has frequently been criticized on the basis of empirical evidence. Yet the assertion itself incurs what we...
Persistent link: https://www.econbiz.de/10010956093
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Politics and the Stock Market ; Evidence from Germany
Döpke, Jörg; Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2004
We analyze the interaction of stock market movements and politics in Germany. In contrast to the empirical evidence available for the U.S., we do not find that German stock market returns tend to be higher during liberal than during conservative governments. Also in contrast to results for the...
Persistent link: https://www.econbiz.de/10005700518
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Stages of the 2007/2008 Global Financial Crisis Is There a Wandering Asset-Price Bubble?
Orlowski, Lucjan T. - Institut für Weltwirtschaft (IfW) - 2008
This study identifies five distinctive stages of the current global financial crisis: the meltdown of the subprime mortgage market; spillovers into broader credit market; the liquidity crisis epitomized by the fallout of Northern Rock, Bear Stearns and Lehman Brothers with counterparty risk...
Persistent link: https://www.econbiz.de/10005083415
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Business Cycle Volatility in Germany
Buch, Claudia M.; Doepke, Joerg; Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2002
Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and … structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the …
Persistent link: https://www.econbiz.de/10005755211
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Skill-Biased Technological Change and the Business Cycle
Balleer, Almut; Rens, Thijs van - Institut für Weltwirtschaft (IfW) - 2012
Over the past two decades, technological progress in the United States has been biased towards skilled labor. What does this imply for business cycles? We construct a quarterly skill premium from the CPS and use it to identify skill-biased technology shocks in a VAR with long-run restrictions....
Persistent link: https://www.econbiz.de/10010886889
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Unemployment benefits and financial factors in an agent-based macroeconomic model
Riccetti, Luca; Russo, Alberto; Gallegati, Mauro - Institut für Weltwirtschaft (IfW) - 2013
This paper is aimed at investigating the effects of government intervention through unemployment benefits on macroeconomic dynamics in an agent-based decentralized matching framework. The major result is that the presence of such a public intervention in the economy stabilizes the aggregate...
Persistent link: https://www.econbiz.de/10010956079
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The Dynamics of Business Investment Following Banking Crises and Normal Recessions
Jannsen, Nils - Institut für Weltwirtschaft (IfW) - 2015
I empirically analyze the dynamics of business investment following normal recessions (declines in business investment that are not associated with banking crises) and banking crises. Using a panel of 16 advanced economies, I find evidence for significant non-linear trend reversion or...
Persistent link: https://www.econbiz.de/10011272151
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Sequential Methodology for Signaling Business Cycle Turning Points
Golosnoy, Vasyl; Hogrefe, Jens - Institut für Weltwirtschaft (IfW) - 2009
The dates of U.S. business cycle are reported by NBER with a considerable delay, so an early notion of turning points is of particular interest. This paper proposes a novel sequential approach designed for timely signaling these turning points. A directional cumulated sum decision rule is...
Persistent link: https://www.econbiz.de/10005079108
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Leading indicators for Euroland's business cycle
Döpke, Jörg - Institut für Weltwirtschaft (IfW) - 1998
The paper investigates a set of possible leading indicators for Euroland's business cycle using aggregated quarterly data. The theoretical plausibility, the behavior at business cycle turning points and the mean leads are analyzed. Furthermore, evidence from cross-correlations and...
Persistent link: https://www.econbiz.de/10009276194
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The Ugly and the Bad: Banking and Housing Crises Strangle Output Permanently, Ordinary Recessions Do Not
Hogrefe, Jens; Jannsen, Nils; Meier, Carsten-Patrick - Institut für Weltwirtschaft (IfW) - 2010
This paper provides statistical evidence suggesting that in industrial countries, recessions that are associated with either banking crises or housing crises dampen output far more than ordinary recessions. Using a parametric panel framework that allows for a bounceback of the level of output in...
Persistent link: https://www.econbiz.de/10008540816