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Output gap uncertainty and real-time monetary policy
Grigoli, Francesco; Herman, Alexander; Swiston, Andrew; … - 2015
Output gap estimates are subject to a wide range of uncertainty owing to data revisions and the difficulty in distinguishing between cycle and trend in real time. This is important given the central role in monetary policy of assessments of economic activity relative to capacity. We show that...
Persistent link: https://www.econbiz.de/10014275788
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Credit expansion in emerging markets : propeller of growth?
Garcia-Escribano, Mercedes; Han, Fei - 2015
Persistent link: https://www.econbiz.de/10011373994
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Firm-Level Evidenceon International Stock Market Comovement
Brooks, Robin - 2003
We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...
Persistent link: https://www.econbiz.de/10014403861
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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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The Role of Stock Markets in Current Account Dynamics : Evidence From the United States
Mercereau, Benoît - 2003
This paper tests a model of the role of stock markets in current account dynamics, developed in a companion paper. With U.S. data, the model performs better than the same model without stock markets. An insight given by the model is that the current account might help predict future stock market...
Persistent link: https://www.econbiz.de/10014401280
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How did markets react to stress tests?
Candelon, Bertrand; Sy, Amadou N. R. - 2015
Persistent link: https://www.econbiz.de/10011281613
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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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Economic Implications of China's Demographics in the 21st Century
Cheng, Kevin C. - 2003
This study assesses the economic implications of China''s changing population in the 21st century using a numerical … mobility is high in China, a low fertility rate implies more future capital outflows. But if capital is less mobile, low …
Persistent link: https://www.econbiz.de/10014404019
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Fat tails and their (un)happy endings : correlation bias and its implications for systemic risk and prudential regulation
Chan-Lau, Jorge A. - 2011
Persistent link: https://www.econbiz.de/10009486263
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Fat Tails and their (Un)Happy Endings : Correlation Bias and its Implications for Systemic Risk and Prudential Regulation
International Monetary Fund - 2011
The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim … holders’ preferred degree of asset correlation in portfolios held by the firm. Using the copula capital structure model, it is … shown that the correlation bias shifts shareholder preferences towards highly correlated assets, making financial …
Persistent link: https://www.econbiz.de/10014401318