Showing 1 - 10 of 226
This paper surveys the use of search and matching models in macroeconomics. It outlines the standard model, discusses its extensions, presents alternative formulations, considers the empirical evidence, and studies applications to macroeconomic questions such as business cycles, growth, and...
Persistent link: https://www.econbiz.de/10005792066
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 1962–95 there has been a noticeable increase in firm-level volatility relative to market …
Persistent link: https://www.econbiz.de/10005662245
In this paper we analyse vertical industry linkages, and the extent to which these work as channels for externalities. First, we test for activity-based externalities stemming from output growth and output level in vertically linked industries. Second, we aim at revealing the importance of a...
Persistent link: https://www.econbiz.de/10005792019
-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and …
Persistent link: https://www.econbiz.de/10005662071
We study the effect of introducing a new security, such as a non-redundant derivative, on the volatility of stock … increases the volatility of stock-market returns. …
Persistent link: https://www.econbiz.de/10005114422
This Paper studies a model of the distribution of income under bounded needs. Utility derived from any given good reaches a bliss point at a finite consumption level of that good. On the other hand, introducing new varieties always increases utility. It is assumed that each variety is owned by a...
Persistent link: https://www.econbiz.de/10005124380
This paper studies the relation between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. Using a multiperiod logit approach on a panel data set for all incorporated Swedish businesses over 1990-2002, we...
Persistent link: https://www.econbiz.de/10005504257
This Paper suggests that skill accumulation through past work experience, or ‘learning-by-doing’ (LBD), can provide an important propagation mechanism in a dynamic stochastic general equilibrium model, as the current labour supply affects future productivity. Our econometric analysis uses a...
Persistent link: https://www.econbiz.de/10005504303
This paper analyses the empirical interdependence of asset returns, real activity and inflation from a multicountry and international point of view. We find that nominal stock returns are significantly related to inflation only in the United States, that the US term structure of interest rates...
Persistent link: https://www.econbiz.de/10005504379
This paper employs worldwide data on output and bilateral trade in order to identify optimum currency areas (OCA’s) on a global basis. By retaining only two of the many criteria that have been mentioned in the literature on OCA’s, it has been possible to use computer programming to do the...
Persistent link: https://www.econbiz.de/10005504402