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Using sentiment surveys to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647399
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Market Based, Segregated Exchanges with Default Risk
Kilenthong, Weerachart; Townsend, Robert - Volkswirtschaftliche Fakultät, … - 2007
This paper studies a competitive general equilibrium model with default and endogenous collateral constraints. Even though all collateralized contracts are allowed, the possibility and desirability of trade in spot markets (or the equivalent trade in ex ante asset backed securities) creates...
Persistent link: https://www.econbiz.de/10008552792
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Deciphering financial contagion in the euro area during the crisis
Tola, Albi; Wälti, Sébastien - Volkswirtschaftliche Fakultät, … - 2012
existence of financial contagion during this crisis, defined as the international transmission of country-specific shocks beyond … the normal channels of financial interdependence. Since contagion relates purely to country-specific shocks, we combine … the standard contagion test of Favero and Giavazzi (2002) with an innovative narrative approach to separate out global and …
Persistent link: https://www.econbiz.de/10011114307
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Dividend Yield and Stock Return in Different Economic Environment: Evidence from Malaysia
Safari, Meysam - Volkswirtschaftliche Fakultät, … - 2009
This study investigates the relationship between dividend yields and stock returns in bull and bear markets. Evidences from developed countries show that there should be a positive correlation between dividend yields and stock return in bear markets and a negative correlation between dividend...
Persistent link: https://www.econbiz.de/10008534255
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Using sentiment to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647230
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Las crisis bursátiles en España y su comparación con otros mercados internacionales: Análisis de sus principales características
Torre-Gallegos, Antonio de la; Bellini, Edith - Volkswirtschaftliche Fakultät, … - 2009
Regularly there are periods of a dramatic decline in stock markets that are defined as “stock market crashes” and cause “stock market crisis”. Analysis of the influence of this crisis over the Spanish stock market, the originating causes and their repercussions over the market can enable...
Persistent link: https://www.econbiz.de/10008694036
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Managing Markets for Toxic Assets
House, Christopher; Masatlioglu, Yusufcan - Volkswirtschaftliche Fakultät, … - 2010
We present a model in which banks trade toxic assets to fund investments. Adverse selection in toxic assets reduces liquidity and investment. Investment is inefficiently low because banks must sell high-quality assets below their "fair" value. We consider whether equity injections and asset...
Persistent link: https://www.econbiz.de/10008615054
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Contagion between United States and european markets during the recent crises
Muñoz, Mª Pilar; Márquez, María Dolores; Sánchez, … - Volkswirtschaftliche Fakultät, … - 2011
The main objective of this paper is to detect the existence of financial contagion between the North American and … by means of the dynamic conditional correlation model (DCC). Once the DCC is estimated, the contagion between both … related to uncertainty in the markets. The results show that there was contagion between the United States and European …
Persistent link: https://www.econbiz.de/10009418479
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The reciprocal relationship between systemic risk and real economic activity
Garita, Gus - Volkswirtschaftliche Fakultät, … - 2011
The contribution of this paper to the literature is three-fold: (1) it empirically uncovers the directionality and persistence of systemic risk surrounding "the great recession"; (2) it quantifies the reaction of the macro-economy to financial (banking) system shocks; and (3) it unearths...
Persistent link: https://www.econbiz.de/10009278298
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Les banques étrangères dans les pays d’Europe Centrale et Orientale : source de vulnérabilité ou facteur de stabilisation
Beuran, Monica; Brack, Estelle - Volkswirtschaftliche Fakultät, … - 2009
We study the impact of foreign banks' presence in Central and Eastern Europe's countries on their economic development and on the financial crisis they went through. We show that, despite a certain vulnerability of the domestic banking systems, the consequences of the opening of the banking...
Persistent link: https://www.econbiz.de/10008543042