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Equity premium predictability over the business cycle
Mönch, Emanuel; Stein, Tobias - 2021
The equity premium follows a pronounced v-shape pattern around the beginning of recessions. It sharply drops into negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are preceded by an inverted yield curve. Thus probit models using...
Persistent link: https://www.econbiz.de/10012607106
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Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2021
This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential...
Persistent link: https://www.econbiz.de/10012655372
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Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2023
This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing...
Persistent link: https://www.econbiz.de/10014343097
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The evolution of inequality of opportunity in Germany : a machine learning approach
Brunori, Paolo; Neidhöfer, Guido - 2020
We show that measures of inequality of opportunity (IOP) fully consistent with Roemer (1998)'s IOP theory can be …-Economic Panel. Our analysis shows that in Germany IOP declined immediately after reunification, increased in the first decade of the …
Persistent link: https://www.econbiz.de/10012195616
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Firms and inequality when unemployment is high
Bassier, Ihsaan - 2022
Persistent link: https://www.econbiz.de/10013411370
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Inherited corporate control, inequality and the COVID crisis
Bordin Bordeerath - 2023
Persistent link: https://www.econbiz.de/10014320254
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The fade away effect of initial nonresponse bias in regression analysis
Alho, Juha M.; Rendtel, Ulrich; Khan, Mursala - 2023
High nonresponse rates have become a rule in survey sampling. In panel surveys there occur additional sample losses due … to panel attrition, which are thought to worsen the bias resulting from initial nonresponse. However, under certain … conditions an initial wave nonresponse bias may vanish in later panel waves. We study such a "Fade away" of an initial …
Persistent link: https://www.econbiz.de/10013494126
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Social institutions and economic inequality : modeling the onset of the Kuznets curve
Alvarez-Pereira, Brais; Bale, Catherine S. E.; Furtado, … - 2015
proved to be enough to shed light on the length and timing before high inequality implies regime change. Thus, this work may …
Persistent link: https://www.econbiz.de/10012057437
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Does immigration cause Japan prefectures' economy to diverge? : evidence from Geographically Weighted Panel Regression
Luong, Dung Anh; Matsubayashi, Yoichi - 2023
Persistent link: https://www.econbiz.de/10014364124
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Beta dispersion and market timing
Kuntz, Laura-Chloé - 2020
The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...
Persistent link: https://www.econbiz.de/10012264452