Showing 1 - 10 of 1,960
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...
Persistent link: https://www.econbiz.de/10013316613
Historically, people have often expressed negative feelings toward speculators, a sentiment that might have even been reinforced since the latest financial crisis, during which taxpayer money was warranted or spent to bail out reckless investors. In this paper, we conjecture that judges may also...
Persistent link: https://www.econbiz.de/10012892211
This paper analyzes the effects of several policy instruments to mitigate financial bubbles generated in the banking … policy instruments in counteracting financial bubbles. We find that an endogenous capital requirement reduces the impact of a …
Persistent link: https://www.econbiz.de/10012892165
This paper incorporates a bubble term in the standard FTPL equation to explain why countries with persistently negative primary surpluses can have a positively valued currency and low inflation. It also provides an example with closed-form solutions in which idiosyncratic risk on capital returns...
Persistent link: https://www.econbiz.de/10012834354
This paper deals with cryptocurrency bubbles. First, it points out that a number of recent papers on cryptocurrency … bubbles are awed due to an insufficient consideration of the fundamental value of cryptocurrencies. As even fiat money is said … to exhibit features of bubbles, the same applies to cryptocurrencies. Thus, any empirical investigation into either the …
Persistent link: https://www.econbiz.de/10012866076
. For this purpose a number of hypotheses of interest are tested for the BitCoin, Ethereum and LiteCoin exchange rates vis …
Persistent link: https://www.econbiz.de/10012859990
Cryptocurrencies are often thought to operate out of the reach of national regulation, but in fact their valuations, transaction volumes and user bases react substantially to news about regulatory actions. The impact depends on the specific regulatory category to which the news relates: events...
Persistent link: https://www.econbiz.de/10012836205
This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...
Persistent link: https://www.econbiz.de/10014239604
We develop an asset-pricing model with endogenous corporate policies that explains how inflation jointly impacts real asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal coupons and sticky profitability. Taken together, these two...
Persistent link: https://www.econbiz.de/10012892192
BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out … Bitcoin price movements (H1) and (ii) exhibits seasonality (H2). On the whole, the results suggest that it can provide useful …
Persistent link: https://www.econbiz.de/10012892294