Narrow search
Showing 1 - 10 of 3,004
Cover Image
The US, Economic News, and the Global Financial Cycle
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2023
We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all...
Persistent link: https://www.econbiz.de/10014247914
Cover Image
Transmission of Volatility Between Stock Markets
King, Mervyn A. - 1989
volatility …
Persistent link: https://www.econbiz.de/10012476144
Cover Image
What Triggers Stock Market Jumps?
Baker, Scott; Bloom, Nicholas; Davis, Steven J.; … - National Bureau of Economic Research - 2021
market performance in the preceding three months. This pattern strengthens in the postwar period. Third, market volatility is … volatility and other controls. Fourth, greater clarity as to jump reason also foreshadows lower volatility. Clarity in this sense …
Persistent link: https://www.econbiz.de/10012510565
Cover Image
Global Liquidity : Drivers, Volatility and Toolkits
Goldberg, Linda S. - National Bureau of Economic Research - 2023
Global liquidity refers to the volumes of financial flows - largely intermediated through global banks and non-bank financial institutions - that can move at relatively high frequencies across borders. The amplitude of responses to global conditions like risk sentiment, discussed in the context...
Persistent link: https://www.econbiz.de/10014322743
Cover Image
The Dollar in an Era of International Retrenchment
Chahrour, Ryan; Valchev, Rosen - National Bureau of Economic Research - 2023
Recent trends suggest the world economy may be tending towards an equilibrium with two distinct trading blocs, each …
Persistent link: https://www.econbiz.de/10014322792
Cover Image
Policy News and Stock Market Volatility
Baker, Scott R. - 2019
We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized … volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the … Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of …
Persistent link: https://www.econbiz.de/10012479671
Cover Image
Dividend Dynamics, Learning, and Expected Stock Index Returns
Jagannathan, Ravi - 2015
We present a latent variable model of dividends that predicts, out-of-sample, 39.5% to 41.3% of the variation in annual dividend growth rates between 1975 and 2016. Further, when learning about dividend dynamics is incorporated into a long-run risks model, the model predicts, out-of-sample,...
Persistent link: https://www.econbiz.de/10012457112
Cover Image
The VIX, the Variance Premium and Stock Market Volatility
Bekaert, Geert - 2013
tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …
Persistent link: https://www.econbiz.de/10012459667
Cover Image
Idiosyncrasy as a Leading Indicator
Morck, Randall; Yeung, Bernard; Zhang, Lu Y. - National Bureau of Economic Research - 2022
Disequilibrating macro shocks affect different firms' prospects differently, increasing idiosyncratic variation in forward-looking stock returns before affecting economic growth. Consistent with most such shocks from 1947 to 2020 enhancing productivity, increased idiosyncratic stock return...
Persistent link: https://www.econbiz.de/10013210099
Cover Image
Dispersion and Volatility in Stock Returns : An Empirical Investigation
Campbell, John Y. - 1999
This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily … market returns within the month; the cross-sectional volatility or 'dispersion' of daily returns on industry portfolios …, within the month. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market …
Persistent link: https://www.econbiz.de/10012471650