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Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk
Chan-Lau, Jorge A. - 2021
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...
Persistent link: https://www.econbiz.de/10012613371
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Linkages Among Asset Markets in the United States : Tests in a Bivariate Garch Framework
Deb, Parha - 1999
This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact of return volatility in one market on the volatility of...
Persistent link: https://www.econbiz.de/10014400867
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U.S. Monetary Shocks and Global Stock Prices
Laeven, Luc - 2010
This paper studies how U.S. monetary policy affects global stock prices. We find that global stock prices respond strongly to changes in U.S. interest rate policy, with stock prices increasing (decreasing) following unexpected monetary loosening (tightening). This impact is more pronounced for...
Persistent link: https://www.econbiz.de/10014402649
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Asian Flu or Wall Street Virus? : Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia
Chan-Lau, Jorge A. - 2002
This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: the pre-Long Term Capital Management crisis period, the ""tech bubble"" period, and...
Persistent link: https://www.econbiz.de/10014399563
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Macroeconomic News and Stock Returns in the United States and Germany
Funke, Norbert - 2002
Using daily data for the January 1997 to June 2002 period, we analyze the impact of a broad set of macroeconomic news on stock prices in the United States and Germany. With GARCH specifications we test five hypotheses and find that news on real economic activity has a significant impact on stock...
Persistent link: https://www.econbiz.de/10014399615
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Unforeseen Events Wait Lurking : Estimating Policy Spillovers From U.S. to Foreign Asset Prices
Bayoumi, Tamim - 2011
Event studies are used to analyze the impact of U.S. financial, fiscal, and monetary policies from US to foreign asset prices across a range of G20 countries and Switzerland. The initial announcement that the Administration supported tighter regulation of banks led to a generalized fall in...
Persistent link: https://www.econbiz.de/10014398520
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Stock returns and inflation redux : an explanation from monetary policy in advanced and emerging markets
Zhang, Zhongxia - 2021
Classical theories of monetary economics predict that real stock returns are negatively correlated with inflation when … countries with hyperinflation. In this paper, I examine the stock return-inflation relation under different monetary policy … regimes and conditions using an expanded dataset of 71 economies. Empirical evidence suggests that the stock return-inflation …
Persistent link: https://www.econbiz.de/10012796818
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Asset Price Inflation in the 1980's : A Flow of Funds Perspective
Schinasi, Garry J. - 1993
This paper examines how and why financial resources were channeled almost exclusively to specific asset markets in Japan, the United Kingdom, and the United States in the late 1980s. A decline in demand for funds by traditional borrowers, and a shift by savers from banks toward indirect...
Persistent link: https://www.econbiz.de/10014398148
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Inflation dynamics and the Great Recession
Ball, Laurence M.; Mazumder, Sandeep - 2011
Persistent link: https://www.econbiz.de/10009425658
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Public debt dynamics : the effects of austerity, inflation, and growth shocks
Cherif, Reda; Hasanov, Fuad - 2012
times. An inflation shock only slightly reduces the debt ratio for a few quarters. A positive growth shock unambiguously …
Persistent link: https://www.econbiz.de/10009622446