Showing 1 - 10 of 653
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
has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …
Persistent link: https://www.econbiz.de/10012950299
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
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
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
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
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
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
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
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