Similar Search Results

Modelling long-run trends and cycles in financial time series data

Caporale, Guglielmo Maria (contributor); … - 2008

This paper proposes a very general time series framework to capture the long-run behaviour of financial series. The suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the...

Persistent link: https://www.econbiz.de/10003720605

The yield spread puzzle and the information content of SPF forecasts

Lahiri, Kajal; Monokroussos, George; Zhao, Yongchen - 2012

While the yield spread has long been recognized as a good predictor of recessions, it seems to have been largely …-rich environment including not just the yield spread but many other predictors as well. We confirm the puzzle in this context by … examining the contributions of both the SPF forecasts and the yield spread in predicting recessions, and by examining the …

Persistent link: https://www.econbiz.de/10009630664

Sovereign bonds since Waterloo

Meyer, Josefin; Reinhart, Carmen M.; Trebesch, Christoph - 2019

This paper studies external sovereign bonds as an asset class. We compile a new database of 220,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering 91 countries. Our main insight is that, as in equity...

Persistent link: https://www.econbiz.de/10011973856

The rate of return on everything, 1870-2015

Jordà, Òscar; Knoll, Katharina; Kuvshinov, Dmitry; … - 2018

This paper answers fundamental questions that have preoccupied modern economic thought since the 18th century. What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the...

Persistent link: https://www.econbiz.de/10011794864

Policy uncertainty and manufacturing investment : evidence from U.S. State elections

Shelton, Cameron A.; Falk, Nathan - 2016 - This draft: March 2016

We estimate the effect of electorally induced policy uncertainty on investment in the manufacturing sector. Because …, and because the policies relevant to business investment vary systematically by party, uncertainty over the partisan … affiliation of the future governor is a source of political risk to firms considering business investment. More importantly, the …

Persistent link: https://www.econbiz.de/10011451061

Can government demand stimulate private investment? : evidence from U.S. federal procurement

Hebous, Shafik; Zimmermann, Tom - 2019

We study the effects of federal purchases on firm investment using a novel panel dataset that combines federal … firms’ capital investment by 10 to 13 cents. In line with the financial accelerator model, our findings indicate that the …-level analysis suggests that that the increase in investment at the firm level translates into an industry-wide effect without …

Persistent link: https://www.econbiz.de/10011982234

Measurement and determinants of access to loans

Hainz, Christa; Nabokin, Tatjana - 2013

Measuring and identifying financial constraints represents an important challenge in empirical studies. Due to data limitations perception-based indicators or approximations of access to finance by the usage of finance are often used, disregarding firm-specific differences in the demand for...

Persistent link: https://www.econbiz.de/10009728261

Racial disparities in access to small business credit : evidence from the paycheck protection program

Howell, Sabrina T.; Kuchler, Theresa; Snitkof, David; … - 2021

We explore the sources of racial disparities in small business lending by studying the $806 billion Paycheck Protection Program (PPP), which was designed to support small business jobs during the COVID-19 pandemic. PPP loans were administered by private lenders but federally guaranteed, largely...

Persistent link: https://www.econbiz.de/10012643529

The effects of COVID-19 on U.S. small businesses: evidence from owners, managers, and employees

Alekseev, Georgij; Amer, Safaa; Gopal, Manasa; Kuchler, … - 2020

We analyze a large-scale survey of owners, managers, and employees of small businesses in the United States to understand the effects of the early stages of the COVID-19 pandemic on those businesses. The survey was fielded in late April 2020 among Facebook business page administrators, frequent...

Persistent link: https://www.econbiz.de/10012291877

Measuring the spillovers of venture capital

Schnitzer, Monika; Watzinger, Martin - 2017

activities of other companies. On average, these spillovers are nine times larger than those generated by the R&D investment of …-ups with experienced inventors holding a patent at the time of receiving the first round of investment produce the largest …

Persistent link: https://www.econbiz.de/10011718181