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Greece's Three-Act Tragedy : A Simple Model of Grexit vs. Staying Afloat Inside the Single Currency Area
Chen, Yu-Fu - 2016
Against the backdrop of the Greek three-act tragedy, we present a theoretical framework for studying Greece's recent … debt and currency crisis. The model is built on two essential blocks: first, erratic macroeconomic policymaking in Greece … macroeconomic policies in Greece are considered. The model's mechanism and assumptions allow either for a Grexit from the euro area …
Persistent link: https://www.econbiz.de/10012999786
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Asset Pricing Implications of a New Keynesian Model : A Note
Heer, Burkhard - 2013
De Paoli, Scott, and Weeken (2010, Asset pricing implications of a New Keynesian model. Journal of Economic Dynamics and Control 34, 2056-73) study equity and bonds prices in a New Keynesian model with sticky nominal prices. This note argues that their model generates a behavior of the labor...
Persistent link: https://www.econbiz.de/10013089158
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Monetary Policy Through Production Networks : Evidence from the Stock Market
Ozdagli, Ali K. - 2017
Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...
Persistent link: https://www.econbiz.de/10012953959
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Modeling Damages in Climate Policy Models : Temperature-Based or Carbon-Based?
Mason, Charles F. - 2015
Economists have analyzed potential for damages from climate change from theoretical analyses and with Integrated Assessment Models (IAMs). Analytical models typically write damages as a function of the carbon stock, while IAMs typically view damages as based on temperatures. In this paper, we...
Persistent link: https://www.econbiz.de/10013024489
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Short-Term Price Overreactions : Identification, Testing, Exploitation
Caporale, Guglielmo Maria - 2014
This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an “inertia anomaly”, i.e. after an...
Persistent link: https://www.econbiz.de/10013043247
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Revealing Downturns
Schmalz, Martin C. - 2018
When Bayesian risk-averse investors are uncertain about their assets' cash flows' exposure to systematic risk, stock prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns. The reason is that, in good times, less desirable...
Persistent link: https://www.econbiz.de/10012922837
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A Note on the Computation of the Equity Premium and the Market Value of Firm Equity
Heer, Burkhard - 2010
Turnovsky (1995) derives in a continuous-time model of a decentralized economy that the correct specification of the firm's objective function is to maximize the initial value of its outstanding securities. The firm value is the discounted flow of real earnings. For the discrete-time version of...
Persistent link: https://www.econbiz.de/10013143832
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A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Baumeister, Christiane - 2016
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset....
Persistent link: https://www.econbiz.de/10012996209
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Heterogeneity and Persistence in Returns to Wealth
Fagereng, Andreas - 2018
We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway's administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their...
Persistent link: https://www.econbiz.de/10012913195
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Predictability of Asset Returns and the Efficient Market Hypothesis
Pesaran, M. Hashem - 2010
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...
Persistent link: https://www.econbiz.de/10013141185