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Schneider, Paul; Wagner, Christian; Zechner, Josef - 2016

This paper shows theoretically and empirically that beta- and volatility-based low risk anomalies are driven by return skewness. The empirical patterns con- cisely match the predictions of our model which generates skewness of stock returns via default risk. With increasing downside risk, the...

Persistent link: https://www.econbiz.de/10011550433

Extended Yule-Walker identification of Varma models with single- or mixed frequency data

Zadrozny, Peter A. - 2015

Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...

Persistent link: https://www.econbiz.de/10011411362

Buffer-stock saving and households' response to income shocks

Fella, Giulio; Frache, Serafin; Koeniger, Winfried - 2017

information on consumption, income and wealth, to structurally estimate a buffer-stock saving model. We exploit the information …

Persistent link: https://www.econbiz.de/10011631291

Microeconometric evidence on demand-side real rigidity and implications for monetary non-neutrality

Beck, Günter W.; Lein, Sarah - 2016

To model the observed slow response of aggregate real variables to nominal shocks, most macroeconomic models incorporate real rigidities in addition to nominal rigidities. One popular way of modelling such a real rigidity is to assume a non-constant demand elasticity. By using a homescan data...

Persistent link: https://www.econbiz.de/10011532828

Volatility, information feedback and market microstructure noise : a tale of two regimes

Andersen, Torben; Cebiroglu, Gökhan; Hautsch, Nikolaus - 2017 - This version: February 6, 2017

We extend the classical "martingale-plus-noise" model for high-frequency prices by an error correction mechanism originating from prevailing mispricing. The speed of price reversal is a natural measure for informational efficiency. The strength of the price reversal relative to the...

Persistent link: https://www.econbiz.de/10011613905

Money creation and destruction

Faure, Salomon A.; Gersbach, Hans - 2016 - This version: October 2016

We study money creation and destruction in today's monetary architecture and examine the impact of monetary policy and capital regulation in a general equilibrium setting. There are two types of money created and destructed: bank deposits, when banks grant loans to firms or to other banks and...

Persistent link: https://www.econbiz.de/10011557571

Populism and polarization in social media without fake news : the vicious circle of biases, beliefs and network homophily

Hakobyana, Zaruhi; Koulovatianos, Christos - 2019

We build a search-and-matching algorithm of network dynamics with decision-making under incomplete information, seeking …

Persistent link: https://www.econbiz.de/10012040625

Monetary policy surprises and exchange rate behavior

Gürkaynak, Refet S.; Kara, Ali Hakan; Kısacıkoğlu, … - 2020

ask whether an information effect, where the public attributes the policy surprise to an unobserved state of the economy … that the central bank is signaling by its policy may explain the abnormality. It turns out that many informational … conditioning on possible information effects driving longer term interest rates, there appear to be other drivers of exchange rates …

Persistent link: https://www.econbiz.de/10012285739

Do "speed bumps" prevent accidents in financial markets?

Gonçalves, Jorge; Kräussl, Roman; Levin, Vladimir - 2019 - This version - July 2019

Is it true that speed bumps level the playing field, make financial markets more stable and reduce negative externalities of high-frequency trading (HFT) firms? We examine how the implementation of a particular speed bump - Midpoint Extended Life order (M-ELO) on Nasdaq impacted financial...

Persistent link: https://www.econbiz.de/10012115365

Limits to arbitrage in markets with stochastic settlement latency

Hautsch, Nikolaus; Scheuch, Christoph; Voigt, Stefan - 2018

Distributed ledger technologies rely on consensus protocols confronting traders with random waiting times until the transfer of ownership is accomplished. This time consuming settlement process exposes arbitrageurs to price risk and imposes limits to arbitrage. We derive theoretical arbitrage...

Persistent link: https://www.econbiz.de/10011944603