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Sources of Real Exchange Rate Fluctuations : How Important are Nominal Shocks?
Clarida, Richard - 1994
This paper investigates empirically and attempts to identify the sources of real exchange rate fluctuations since the collapse of Bretton Woods. The paper's first two sections survey and extend earlier, non-structural empirical work on this subject by Campbell and Clarida (1987), Meese and...
Persistent link: https://www.econbiz.de/10012474278
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Uncertainty Shocks as Second-Moment News Shocks
Berger, David - 2017
shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility … economy. Moreover, investors have historically paid large premia to hedge shocks to realized but not implied volatility. A … model in which fundamental shocks are skewed left can match those facts. Aggregate volatility matters, but it is the …
Persistent link: https://www.econbiz.de/10012453915
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Forecasts in a Slightly Misspecified Finite Order VAR
Müller, Ulrich K. - 2011
We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding makes...
Persistent link: https://www.econbiz.de/10012461943
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Tokenomics : Dynamic Adoption and Valuation
Cong, Lin William - 2020
We develop a dynamic asset-pricing model of cryptocurrencies/tokens that allow users to conduct peer … intertemporal feedback between user adoption and token price accelerates adoption and dampens user-base volatility …
Persistent link: https://www.econbiz.de/10012481805
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Some Simple Bitcoin Economics
Schilling, Linda - 2018
How do Bitcoin prices evolve? What are the consequences for monetary policy? We answer these questions in a novel, yet simple endowment economy. There are two types of money, both useful for transactions: Bitcoins and Dollars. A central bank keeps the real value of Dollars constant, while...
Persistent link: https://www.econbiz.de/10012453232
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Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions
Baumeister, Christiane - 2020
This paper discusses the problems associated with using information about the signs of certain magnitudes as a basis for drawing structural conclusions in vector autoregressions. We also review available tools to solve these problems. For illustration we use Dahlhaus and Vasishtha's (2019) study...
Persistent link: https://www.econbiz.de/10012479131
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Common Shocks in Stocks and Bonds
Cieslak, Anna - 2020
We propose an approach to identifying economic shocks (monetary, growth, and risk-premium news) from stock returns and Treasury yield changes, which allows us to study the drivers of asset prices at a daily frequency since the early 1980s. We apply the identification to examine investors'...
Persistent link: https://www.econbiz.de/10012482403
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The Long-Term Impact of the COVID-19 Unemployment Shock on Life Expectancy and Mortality Rates
Bianchi, Francesco - 2020
typical unemployment shock, depending on race/gender, resulting in a 3.0% increase in mortality rate and a 0.5% drop in life … expectancy over the next 15 years for the overall American population. We also predict that the shock will disproportionately …
Persistent link: https://www.econbiz.de/10012482522
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Identifying Government Spending Shocks : It's All in the Timing
Ramey, Valerie A. - 2009
the period 1969 to 2008. All news measures suggest that most components of consumption fall after a positive shock to …
Persistent link: https://www.econbiz.de/10012463185
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News, Noise, and Fluctuations : An Empirical Exploration
Blanchard, Olivier J. - 2009
We explore empirically models of aggregate fluctuations with two basic ingredients: agents form anticipations about the future based on noisy sources of information; these anticipations affect spending and output in the short run. Our objective is to separate fluctuations due to actual changes...
Persistent link: https://www.econbiz.de/10012463634