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Tracking growth and the business cycle : a stochastic common cycle model for the euro area

Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003

Persistent link: https://www.econbiz.de/10001792789

Booms, busts and behavioural heterogeneity in stock prices

Hommes, Cars H.; Veld, Daan in 't - 2015 - This draft: July 2015

We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...

Persistent link: https://www.econbiz.de/10011301214

Recessions after systemic banking crises : does it matter how governments intervene?

Wijnbergen, Sweder van; Homar, Timotej - 2013

Persistent link: https://www.econbiz.de/10010191418

Herding behaviour, bubbles and log periodic power laws in illiquid stock markets : a case study on the bucharest stock exchange

Pele, Daniel Traian; Mazurencu Marinescu, Miruna; … - 2013

Persistent link: https://www.econbiz.de/10010191335

Bubbles, crashes and information contagion in large-group asset market experiments

Hommes, Cars H.; Kopányi-Peuker, Anita; Sonnemans, Joep - 2019

". We observe both stable markets and large bubbles for both small and large markets. The data analysis shows no differences … successfully drives prices back towards the fundamental, but we observe very large bubbles in which the news apparently has no …

Persistent link: https://www.econbiz.de/10011979625

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

Fiscal deficits, financial fragility, and the effectiveness of government policies

Kirchner, Markus; Wijnbergen, Sweder van - 2012

Persistent link: https://www.econbiz.de/10010191012

Model-based business cycle and financial cycle decomposition for Europe and the U.S.

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2016

We develop a multivariate unobserved components model to extract business cycle and financial cycle indicators from a panel of economic and financial time series of four large developed economies. Our model is flexible and allows for the inclusion of cycle components in different selections of...

Persistent link: https://www.econbiz.de/10011520505

Modeling common bubbles : a mixed causal non-causal dynamic factor model

Mingoli, Gabriele - 2024

common bubbles, within large-dimensional, potentially non-stationary time series. The model leverages a lower-dimensional set … allows to predict systemic risk and test for the emergence of common bubbles. The dynamics of the explosive factors are … new approach offers a powerful tool for detecting common bubbles and predicting their evolution, providing relevant …

Persistent link: https://www.econbiz.de/10015133628

Tracking growth and the business cycle : a stochastic common cycle model for the Euro area

Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

Persistent link: https://www.econbiz.de/10011334364