Narrow search
Showing 1 - 10 of 999
Cover Image
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
Cover Image
A closed form multivariate linear filter
Boadway, Robin W.; Vitek, Francis - 2018
This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous...
Persistent link: https://www.econbiz.de/10011978601
Cover Image
Comovements in National Stock Market Returns : Evidence of Predictability But Not Cointegration
Richards, Anthony J. - 1996
This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory...
Persistent link: https://www.econbiz.de/10014398637
Cover Image
Heterogeneity and persistence in returns to wealth
Fagereng, Andreas; Guiso, Luigi; Malacrino, Davide; … - 2018
We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway's administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their...
Persistent link: https://www.econbiz.de/10011905850
Cover Image
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
Cover Image
Common Trends and Structural Change : A Dynamic Macro Model for the Pre- and Postrevolution Islamic Republic of Iran
Becker, Törbjörn I. - 1999
policy is not consistent with achieving low inflation or a stable unified exchange rate. The real shocks generate higher … growth and lower inflation, suggesting that supply-side policies are consistent with the goals in the Islamic Republic of …
Persistent link: https://www.econbiz.de/10014400939
Cover Image
Long Memory Processes and Chronic Inflation : Detecting Homogeneous Components in a Linear Rational Expectation Model
Scacciavillani, Fabio - 1994
This paper is an empirical study of the links between monetary variables and inflation based on Cagan’s equation and … differenced model overcomes Evans’ critique of this test and that chronic inflation is essentially a monetary phenomenon caused by …
Persistent link: https://www.econbiz.de/10014398740
Cover Image
Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk
Christoffersen, Peter F. - 1999
When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the conditional variance of expected profits from the...
Persistent link: https://www.econbiz.de/10014400299
Cover Image
Asia’s stock markets : are there crouching tigers and hidden dragons?
Lipinsky, Fabian; Ong, Li Lian - 2014
Persistent link: https://www.econbiz.de/10010359852
Cover Image
Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?
Sløk, Torsten - 2000
There is ample empirical evidence for developed economies that asset prices contain information about future economic developments. But is this also the case in transition economies? Using a panel of monthly data for the Czech Republic, Hungary, Poland, Russia, Slovakia, and Slovenia for the...
Persistent link: https://www.econbiz.de/10014399894