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No Price Like Home : Global House Prices, 1870-2012

Knoll, Katharina; Schularick, Moritz; Steger, Thomas M. - 2021

How have house prices evolved over the long-run? This paper presents annual house prices for 14 advanced economies since 1870. Based on extensive data collection, we show that real house prices stayed constant from the 19th to the mid-20th century, but rose strongly during the second half of the...

Persistent link: https://www.econbiz.de/10013315572

Why Does Idiosyncratic Risk Increase with Market Risk

Bartram, Söhnke M. - 2017

has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

Persistent link: https://www.econbiz.de/10012950299

Pulling Up the Tarnished Anchor : The End of Silver As a Global Unit of Account

Fernholz, Ricardo T. - 2017

suggests that a global bimetallic system, in which the gold price of silver uctuates, has higher price volatility than a global …

Persistent link: https://www.econbiz.de/10012955754

Oil Prices and GCC Stock Markets : New Evidence from Smooth Transition Models

Ben Cheikh, Nidhaleddine - 2018

Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...

Persistent link: https://www.econbiz.de/10012914946

Dissecting Characteristics Nonparametrically

Freyberger, Joachim - 2018

We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10012910613

Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

Caporale, Guglielmo Maria - 2013

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...

Persistent link: https://www.econbiz.de/10013082343

Commodity Price Volatility, Democracy and Economic Growth

Arezki, Rabah - 2013

We use a new dataset on non-resource GDP to examine the impact of commodity price volatility on economic growth in a … panel of up to 158 countries during the period 1970-2007. Our main finding is that commodity price volatility leads to a … result, we show that increased commodity price volatility leads to a statistically significant and quantitatively large …

Persistent link: https://www.econbiz.de/10013092229

Macroeconomic Uncertainty and the Impact of Oil Shocks

Van Robays, Ine - 2014

production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price … volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times …

Persistent link: https://www.econbiz.de/10013065379

Assets Returns Volatility and Investment Horizon : The French Case

Bec, Frédérique - 2009

conditional volatility across investment horizons. The results reveal the same kind of horizon effect as the one found in recent …

Persistent link: https://www.econbiz.de/10013160520

Identifying Monetary Policy Shocks Via Changes in Volatility

Lanne, Markku - 2013

data properties. In particular, it is shown that changes in the volatility of the shocks can be used for identification …

Persistent link: https://www.econbiz.de/10012754187