Showing 1 - 4 of 4
We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of … find that all four sectors have become highly interrelated over the past decade, increasing the level of systemic risk in … of market dislocation, and systemic risk arises from a complex and dynamic network of relationships among hedge funds …
Persistent link: https://www.econbiz.de/10013139889
We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources...
Persistent link: https://www.econbiz.de/10012763656
We examine the implications of portfolio theory for the cross-sectional behavior of equity trading volume. Two …
Persistent link: https://www.econbiz.de/10012788102
This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is...
Persistent link: https://www.econbiz.de/10013248406