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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007
This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...
Persistent link: https://www.econbiz.de/10010276254
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The role of real wage rigidity and labor market frictions for unemployment and inflation dynamics
Christoffel, Kai; Linzert, Tobias - 2005
cycle model. In particular, we analyze the effect of a monetary policy shock and investigate how labor market frictions … persistent movements of aggregate inflation. Moreover, the impact of a monetary policy shock on unemployment and inflation …
Persistent link: https://www.econbiz.de/10010267287
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Macroeconomic policy and unemployment by economic activity: evidence from Turkey
Berument, Hakan; Dogan, Nukhet; Tansel, Aysit - 2008
that the positive income shock is followed by a decrease in unemployment in all economic activity groups during the initial … periods except the unemployment in the Electricity sector and the Community Services sector. A positive money shock decreases … positive interbank interest rate shock increases the unemployment in all economic activities at the initial levels but derives …
Persistent link: https://www.econbiz.de/10010268812
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Causal effects of monetary shocks: semiparametric conditional independence tests with a multinomial propensity score
Angrist, Joshua D.; Kuersteiner, Guido M. - 2008
Macroeconomists have long been concerned with the causal effects of monetary policy. When the identification of causal effects is based on a selection-on-observables assumption, non-causality amounts to the conditional independence of outcomes and policy changes. This paper develops a...
Persistent link: https://www.econbiz.de/10010270625
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Investor protection and the value of shares: evidence from statutory rules governing variations of shareholders' class rights in Russia
Muravyev, Alexander - 2009
This paper uses a quasi-experimental framework provided by recent changes in Russian corporate law to study the effect of investor protection on the value of shares. The legal change analyzed involves the empowerment of preferred (non-voting) shareholders to veto unfavorable changes in their...
Persistent link: https://www.econbiz.de/10010269433
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Unemployment in the European Union: institutions, prices, and growth
Karanassou, Marika; Sala, Héctor; Snower, Dennis J. - 2003
responses to each shock. Our analysis permits us to distinguish between the short- and longrun effects of the shocks. Different …
Persistent link: https://www.econbiz.de/10010271739
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Unemployment in the European Union: a dynamic reappraisal
Karanassou, Marika; Sala, Héctor; Snower, Dennis J. - 2002
This paper examines the movements in EU unemployment from two perspectives: (a) the NRU/NAIRU perspective, in which unemployment movements are attributed largely to changes in the long-run equilibrium unemployment rate and (b) the chain-reaction perspective, in which unemployment movements are...
Persistent link: https://www.econbiz.de/10010276417
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Asymmetric labor market institutions in the EMU and the volatility of inflation and unemployment differentials
Abbritti, Mirko; Mueller, Andreas I. - 2012
How does the asymmetry of labor market institutions affect the adjustment of a currency union to shocks? To answer this question, this paper sets up a dynamic currency union model with monopolistic competition and sticky prices, hiring frictions and real wage rigidities. In our analysis, we...
Persistent link: https://www.econbiz.de/10010282566
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Understanding inter-industry wage structures in the euro area
Genre, Véronique; Kohn, Karsten; Momferatou, Daphne - 2009
This paper focuses on the euro area wage structure and its potential determinants from a sectoral viewpoint. Merging information from the OECD Structural Analysis database with data from the EU Labour Force Survey, we construct a cross-country panel of 22 industries in 8 euro area countries for...
Persistent link: https://www.econbiz.de/10010269057
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Macroeconomic volatilities and the labor market: First results from the euro experiment
Merkl, Christian; Schmitz, Tom - 2010
This paper analyzes the effects of different labor market institutions on inflation and output volatility. The eurozone …
Persistent link: https://www.econbiz.de/10010277963