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Leveraged Bubbles
Jorda, Oscar - 2015
What risks do asset price bubbles pose for the economy? This paper studies bubbles in housing and equity markets in 17 … countries over the past 140 years. History shows that not all bubbles are alike. Some have enormous costs for the economy, while … others blow over. We demonstrate that what makes some bubbles more dangerous than others is credit. When fueled by credit …
Persistent link: https://www.econbiz.de/10013014986
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Was Bernanke Right? Targeting Asset Prices May Not Be a Good Idea After All
Assenza, Tiziana - 2013
Should the central bank prevent 'excessive' asset price dynamics or should it wait until the boom spontaneously turns into a crash and intervene only afterwards? The debate over this issue goes back at least to the exchange between Bernanke-Gertler (BG) and Cecchetti but has not settled yet. In...
Persistent link: https://www.econbiz.de/10013092104
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The Changing Macroeconomic Response to Stock Market Volatility Shocks
Beetsma, Roel M. W. J. - 2011
There is substantial consensus in the literature that positive uncertainty shocks predict a slowdown of economic activity. However, using U.S. data since 1950 we show that the macroeconomic response pattern to stock market volatility shocks has changed substantially over time. The negative...
Persistent link: https://www.econbiz.de/10013117909
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The Impact of Creditor Protection on Stock Prices in the Presence of Liquidity Crises : Theory and Cross-Country Evidence
Hale, Galina - 2013
We develop a model predicting two channels through which creditor protection enhances the performance of stock prices: the probability of a liquidity crisis leading to a binding investment-finance constraint falls with a strong protection of creditors; the stock prices under the...
Persistent link: https://www.econbiz.de/10013091211
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The Impact of Creditor Protection on Stock Prices in the Presence of Credit Crunches
Hale, Galina - 2013
Data show that better creditor protection is correlated across countries with lower average stock market volatility. Moreover, countries with better creditor protection seem to have suffered lower decline in their stock market indexes during the current financial crisis. To explain this...
Persistent link: https://www.econbiz.de/10013093466
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Networks of Volatility Spillovers Among Stock Markets
Baumohl, Eduard - 2017
In our network analysis of 40 developed, emerging and frontier stock markets during 2006–2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several...
Persistent link: https://www.econbiz.de/10012954361
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When the Market Drives you Crazy : Stock Market Returns and Fatal Car Accidents
Giulietti, Corrado - 2018
The stock market influences some of the most fundamental economic decisions of investors, such as consumption, saving, and labor supply, through the financial wealth channel. This pa-per provides evidence that daily fluctuations in the stock market have important - and hitherto neglected -...
Persistent link: https://www.econbiz.de/10012910618
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Stock Market Reactions to India's 2016 Demonetization : Implications for Tax Evasion, Corruption, and Financial Constraints
Dharmapala, Dhammika - 2017
On November 8, 2016, the Indian government made a surprise announcement that certain currency notes (representing 86% of the currency then in circulation) would no longer be legal tender (although they could be deposited in banks over a limited period). The stated reason for this sudden...
Persistent link: https://www.econbiz.de/10012942383
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Linkages between the US and European Stock Markets : A Fractional Cointegration Approach
Caporale, Guglielmo Maria - 2015
This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the standard ones usually employed in the literature. The...
Persistent link: https://www.econbiz.de/10013013497
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Calendar Anomalies in the Ukrainian Stock Market
Caporale, Guglielmo Maria - 2016
This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...
Persistent link: https://www.econbiz.de/10012991942