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Oil shocks, US economic uncertainty, and emerging stock markets
Kwon, Dohyoung - In: Applied economics letters 26 (2019) 18, pp. 1472-1479
Persistent link: https://www.econbiz.de/10012204823
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Contribution to portfolio tracking error volatility with geometric illustration
Zhang, Jubao; Ma, Juan - In: Applied economics letters 31 (2024) 20, pp. 2176-2181
Persistent link: https://www.econbiz.de/10015095156
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Idiosyncratic volatility and global equity markets
Grobys, Klaus - In: Applied economics letters 22 (2015) 4/6, pp. 402-405
Persistent link: https://www.econbiz.de/10010506718
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The Extensive Margin, Sectoral Shares and International Business Cycles
Devereux, Michael B. - 2011
This paper documents some previously neglected features of sectoral shares at business cycle frequencies in OECD economies. In particular, we find that the nontraded sector share of output is as volatile as aggregate GDP, and that for most countries, the nontraded sector is distinctly...
Persistent link: https://www.econbiz.de/10013121594
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Volatility, the Macroeconomy and Asset Prices
Bansal, Ravi - 2012
We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility … news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …
Persistent link: https://www.econbiz.de/10013106078
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Macroeconomic Volatility and Stock Market Volatility, Worldwide
Diebold, Francis X. - 2010
volatility literature, namely its relative neglect of the connection between macroeconomic fundamentals and asset return … volatility. We progress by analyzing a broad international cross section of stock markets covering approximately forty countries …
Persistent link: https://www.econbiz.de/10012758496
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Durability of Output and Expected Stock Returns
Gomes, Joao F. - 2010
The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flows and stock returns of durable-good producers are exposed to higher systematic risk. Using the benchmark input-output accounts of the National Income and Product Accounts, we...
Persistent link: https://www.econbiz.de/10012760299
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The Common Origin of Uncertainty Shocks
Kozeniauskas, Nicholas - 2016
Various types of uncertainty shocks can explain many phenomena in macroeconomics and finance. But does this just amount to inventing new, exogenous, unobserved shocks to explain challenging features of business cycles? This paper argues that three conceptually distinct fluctuations, all called...
Persistent link: https://www.econbiz.de/10012987142
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Term Structure of Uncertainty in the Macroeconomy
Borovička, Jaroslav - 2016
Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to...
Persistent link: https://www.econbiz.de/10012988082
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021
uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with …
Persistent link: https://www.econbiz.de/10013224964