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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R. - 2018
We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage portfolio returns for four well-known...
Persistent link: https://www.econbiz.de/10012908691
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The Political Economy of the G20 Agenda on Financial Regulation
Schuknecht, Ludger - 2020
The paper empirically examines the implementation record of international financial regulation of the banking sector … record is particularly strong in countries where large banking sectors and big banks are both present, and where regulation …
Persistent link: https://www.econbiz.de/10012824593
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Great Volatility and Great Moderation
Grazzini, Jakob - 2019
We investigate the sources of the great changes in GDP volatility observed from 1966 to 2000. We develop a general …-sectoral linkages and households' behavior to aggregate volatility. Our results show that changes in sectoral volatility played an … important role in shaping volatility at the aggregate level. Moreover, asymmetries in the economic structure sometimes had an …
Persistent link: https://www.econbiz.de/10012892302
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International Food Commodity Prices and Missing (Dis)Inflation in the Euro Area
Peersman, Gert - 2019
%- 30% of inflation volatility. In addition, large autonomous swings in international food prices contributed significantly …
Persistent link: https://www.econbiz.de/10012892245
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The Interplay between Oil and Food Commodity Prices : Has it Changed Over Time?
Peersman, Gert - 2019
Using time-varying BVARs, we find that oil price increases caused by oil supply shocks did not affect food commodity prices before the start of the millennium, but had positive spillover effects in more recent periods. Likewise, shortfalls in global food commodity supply--resulting from bad...
Persistent link: https://www.econbiz.de/10012861447
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Climate Risk and Commodity Currencies
Kapfhammer, Felix; Larsen, Vegard; Thorsrud, Leif Anders - 2021
The positive relationship between real exchange rates and natural resource income is well understood and studied. However, climate change and the transition to a lower-carbon economy now challenges this relationship. We document this by proposing a novel news media-based measure of climate...
Persistent link: https://www.econbiz.de/10013314753
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Commodity Price Effects on Currencies
Cheung, Yin-Wong; Wang, Wenhao - 2022
Using quarterly data on four commodity exporting countries, we study the explanatory power of real commodity prices for predicting real effective exchange rates, with special attention to the separate roles of different sectoral commodity prices during alternative time periods. We find that the...
Persistent link: https://www.econbiz.de/10014244327
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Natural Resource Dependence and Monopolized Imports
Arezki, Rabah; Fernandes, Ana M.; Merchan, Federico; … - 2021
This paper explores the effect of natural resource dependence on market concentration of imports. Using a new panel database for importing firms in developing and emerging market economies, the paper shows that higher natural resource dependence is associated with larger market concentration of...
Persistent link: https://www.econbiz.de/10013215669
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Macro-Financial Linkages in the High-Frequency Domain : The Effects of Uncertainty on Realized Volatility
Caporale, Guglielmo Maria - 2020
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …
Persistent link: https://www.econbiz.de/10012844423
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Persistence in High Frequency Financial Data
Caporale, Guglielmo Maria; Plastun, Alex - 2022
This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...
Persistent link: https://www.econbiz.de/10014242794