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Business and default cycles for credit risk

Koopman, Siem Jan; Lucas, André - 2003

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles coincide. Recent papers_new suggest by their empirical research set-up that they do, or at least that defaults and credit...

Persistent link: https://www.econbiz.de/10011333881

Credit cycles and macro fundamentals

Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - 2006

We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using rating transition and default data of U.S. corporates from Standard and Poor’s over the period 1980-2005 we directly estimate the credit cycle from the micro rating data. We...

Persistent link: https://www.econbiz.de/10011348707

Stock selection, style rotation, and risk

Lucas, André; Dijk, Ronald van; Kloek, Teunis - 2001 - This version: February 12, 2001

Using US data from June 1984 to July 1999, we show that the impact of firm-specificcharacteristics like size and book-to-price on future excess stock returns varies considerably overtime. The impact can be either positive or negative at different times. This time variation ispartially...

Persistent link: https://www.econbiz.de/10011316893

Business cycle fluctuations and private savings in OECD countries : a panel data analysis

Adema, Yvonne; Pozzi, Lorenzo - 2012

Persistent link: https://www.econbiz.de/10009724306

Cyclicality of add-on pricing : evidence from extended warranties

Boskovic, Branko; Kapoor, Sacha; Markiewicz, Agnieszka; … - 2020

What explains apparent price rigidity over the business cycle? This paper shows that price fluctuations may be hidden in prices of add ons. Using 10 years of extended warranty data from a nationwide Canadian retailer, we show that extended warranty prices respond strongly to changes in local...

Persistent link: https://www.econbiz.de/10012285529

Pension fund restoration policy in general equilibrium

Kastelein, Pim B.; Romp, Ward E. - 2018 - Revision: June 28, 2018

When the financial positions of pension funds worsen, regulations prescribe that pension funds reduce the gap between their assets (invested contributions) and their liabilities (accumulated pension promises). This paper quantifies the business cycle effects and distributional implications of...

Persistent link: https://www.econbiz.de/10011869913

The relationship between entrepreneurship and unemployment in Japan

Stel, Adriaan J. van; Thurik, Adriaan R.; Verheul, Ingrid; … - 2008

rate) and unemployment in Japan for the period between 1972 and 2002. We find that, although Japan’s unemployment rate has … been influenced by specific exogenous shocks, the effects of entrepreneurship on unemployment are not different when …

Persistent link: https://www.econbiz.de/10011372966

Geographical distribution of unemployment : an analysis of provincial differences in Italy

Cracolici, Maria Francesca; Cuffaro, Miranda; Nijkamp, Peter - 2007

Unemployment rates appear to vary widely at a subregional (e.g., local or provincial) level. Using spatial econometric … models for spatial autocorrelation, this paper focuses attention on the spatial structure of regional unemployment … of unemployment in the 103 provinces of Italy for the years 1998 and 2003. The results suggest that there is a clear …

Persistent link: https://www.econbiz.de/10011372985

Optimal government spending and unemployment

Linnemann, Ludger; Schabert, Andreas - 2008 - This version: February 29, 2008

We study optimal government spending in a business cycle model with frictional unemployment. The Ramsey optimal policy …

Persistent link: https://www.econbiz.de/10011374417

Unemployment and search externalities in a model with heterogeneous jobs and heterogeneous workers

Gautier, Pieter - 1999 - This version: June, 25, 1999

The continuing deterioration of the position of low skilled workers in the beginning of the 90's in essentially all industrialized countries is one of the most debated issues in both labor and macro-economics. In this paper a matching model with low and high skilled workers and simple and...

Persistent link: https://www.econbiz.de/10011302133

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