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Weak and Strong Cross Section Dependence and Estimation of Large Panels
Chudik, Alexander - 2009
This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...
Persistent link: https://www.econbiz.de/10013155822
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Assessing the benefits of international portfolio diversification in bonds and stocks.
De Santis, Roberto A.; Sarno, Lucio - 2008
This paper considers a stylized asset pricing model where the returns from exchange rates, stocks and bonds are linked by basic risk-arbitrage relationships. Employing GMM estimation and monthly data for 18 economies and the US (treated as the domestic country), we identify through a simple test...
Persistent link: https://www.econbiz.de/10011604929
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The scapegoat theory of exchange rates: the first tests
Fratzscher, Marcel; Sarno, Lucio; Zinna, Gabriele - 2012
This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at...
Persistent link: https://www.econbiz.de/10011605463
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How news affects sectoral stock prices through earnings expectations and risk premia
Hvid, Anna Kirstine; Kristiansen, Kristian Loft - 2020
A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...
Persistent link: https://www.econbiz.de/10012422155
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Institutional Presence in Secondary Bank Bond Markets : How Does It Affect Liquidity and Volatility?
Oprica, Silviu - 2019
the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non …' liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a … 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10 …
Persistent link: https://www.econbiz.de/10012871121
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Comovements in Volatility in the Euro Money Market
Cassola, Nuno; Morana, Claudio - 2021
This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of … linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary … volatility processes. The first factor shows how persistent volatility shocks are trasmitted along the term structure, while the …
Persistent link: https://www.econbiz.de/10013317311
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The Scapegoat Theory of Exchange Rates : The First Tests
Fratzscher, Marcel - 2012
This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at...
Persistent link: https://www.econbiz.de/10013111946
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Aggregating Phillips curves
Imbs, Jean; Jondeau, Eric; Pelgrin, Florian - 2007
The New Keynesian Phillips Curve is at the center of two raging empirical debates. First, how can purely forward looking pricing account for the observed persistence in aggregate inflation. Second, price-setting responds to movements in marginal costs, which should therefore be the driving force...
Persistent link: https://www.econbiz.de/10011604831
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Infinite-dimensional VARs and factor models
Chudik, Alexander; Pesaran, Hashem - 2009
This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...
Persistent link: https://www.econbiz.de/10011605044
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Real wages over the business cycle: OECD evidence from the time and frequency domains
Messina, Julián; Strozzi, Chiara; Turunen, Jarkko - 2009
positive correlation between the cyclicality of real wages and employment, suggesting that policy complementarities may …
Persistent link: https://www.econbiz.de/10011605049