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Nonlinearities in Sovereign Risk Pricing : The Role of CDS Index Contracts
Delatte, Anne-Laure - 2014
Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European peripheral countries during the debt crisis and...
Persistent link: https://www.econbiz.de/10012458679
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Fiscal Policy, Growth and Competitiveness in EMU: Evidence from Portugal and Greece
Psychalis, Marios; Gournas, Panagiotis; Grigorakou, Nagia; … - In: International journal of economics and financial issues … 10 (2020) 4, pp. 18-24
Persistent link: https://www.econbiz.de/10012299796
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Size Anomalies in U.S. Bank Stock Returns : A Fiscal Explanation
Gandhi, Priyank - 2010
The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk …-adjusted returns than small- and medium-sized bank stocks, even though large banks are significantly more levered. We uncover a size … factor in the component of bank returns that is orthogonal to the standard risk factors, including small-minus-big, which has …
Persistent link: https://www.econbiz.de/10012462104
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Box-Jenkins modeling of Greek stock prices data
Dritsaki, Chaido - In: International journal of economics and financial issues … 5 (2015) 3, pp. 740-747
Persistent link: https://www.econbiz.de/10011454204
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Market abuse under different close price determination mechanisms : a European case
Alexakis, Christos A.; Pappas, Vasileios; Skarmeas, … - In: International review of financial analysis 74 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012803939
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Measuring the Effects of Unconventional Monetary Policy on Asset Prices
Swanson, Eric T. - 2015
I adapt the methods of Gurkaynak, Sack, and Swanson (2005) to estimate two dimensions of monetary policy during the 2009-2015 zero lower bound period in the U.S. I show that, after a suitable rotation, these two dimensions can be interpreted as "forward guidance" and "large-scale asset...
Persistent link: https://www.econbiz.de/10012456855
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Regression Discontinuity and the Price Effects of Stock Market Indexing
Chang, Yen-cheng - 2013
Studies find price increases for additions to the S&P 500 index but no decreases for deletions. Additions come with good earnings news, suggesting these studies are not just measuring an indexing effect. We develop a regression discontinuity design using Russell Indices for cleaner...
Persistent link: https://www.econbiz.de/10012459371
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Reconstruction Aid, Public Infrastructure, and Economic Development : The Case of the Marshall Plan in Italy
Giorcelli, Michela; Bianchi, Nicola - National Bureau of Economic Research - 2021
The Marshall Plan (1948-1952) was the largest aid transfer in history. This paper estimates its effects on Italy …
Persistent link: https://www.econbiz.de/10012794565
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Volatility forecasting using hybrid GARCH Neural Network models : the case of the Italian stock market
Kartsonakis Mademlis, Dimitrios; Dritsakis, Nikolaos - In: International journal of economics and financial issues … 11 (2021) 1, pp. 49-60
Persistent link: https://www.econbiz.de/10012436893
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Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024
Existing high-frequency monetary policy shocks explain surprisingly little variation in stock prices and exchange rates around FOMC announcements. Further, both of these asset classes display heightened volatility relative to non-announcement times. We use a heteroskedasticity-based procedure to...
Persistent link: https://www.econbiz.de/10014576665