Narrow search
Showing 1 - 10 of 80
Cover Image
Identifying uncertainty shocks using the price of gold
Piffer, Michele; Podstawski, Maximilian - 2017
We propose a new instrument to identify uncertainty shocks in a SVAR model with external instruments. The instrument is constructed by exploiting variations in the price of gold around events that capture periods of changes in uncertainty. The variations in the price of gold around the events...
Persistent link: https://www.econbiz.de/10011602536
Cover Image
The signaling effects of fiscal announcements
Melosi, Leonardo; Morita, Hiroshi; Rogantini Picco, Anna; … - 2024
Announcing a large fiscal stimulus may signal the government’s pessimism about the severity of a recession to the private sector, impairing the stabilizing effects of the policy. Using a theoretical model, we show that these signaling effects occur when the stimulus exceeds expectations and...
Persistent link: https://www.econbiz.de/10015052575
Cover Image
Technological synergies, heterogeneous firms, and idiosyncratic volatility
Fernández-Villaverde, Jesús; Yu, Yang; Zanetti, Francesco - 2024
particular, an increase in the volatility of idiosyncratic productivity shocks significantly decreases aggregate output without …
Persistent link: https://www.econbiz.de/10014496498
Cover Image
Asymmetric connectedness on the US stock market : bad and good volatility spillovers
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …
Persistent link: https://www.econbiz.de/10010509638
Cover Image
The changing macroeconomic response to stock market volatility shocks
Beetsma, Roel; Giuliodori, Massimo - 2011 - This version: 14 November 2011
activity. However, using U.S. data since 1950 we show that the macroeconomic response pattern to stock market volatility shocks … decomposition for consumption growth shows that the contribution of stock market volatility becomes negligible as we go from earlier … of stock market volatility. -- Dow Jones index ; stock market volatility shocks ; economic growth ; consumption …
Persistent link: https://www.econbiz.de/10009380407
Cover Image
Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René 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/10011674278
Cover Image
Revealing downturns
Schmalz, Martin C.; Zhuk, Sergey - 2018
prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …
Persistent link: https://www.econbiz.de/10011794118
Cover Image
Dissecting characteristics nonparametrically
Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2017 - This version: February 2017
We propose a nonparametric method to test which characteristics provide independent 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/10011619632
Cover Image
Sectoral trends and cycles in Germany
Cheung, Yin-Wong; Westermann, Frank - 2001
We examine the comovements between the output indexes of three German sectors (manufacturing, mining, and agriculture) and the three corresponding sectoral stock market indexes. It is found that data with and without seasonal adjustment give mixed results on the long-run interaction between the...
Persistent link: https://www.econbiz.de/10011398919
Cover Image
Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect
Caballero, Ricardo J.; Simsek, Alp - 2022
We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...
Persistent link: https://www.econbiz.de/10013093040