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Putting the Cycle Back into Business Cycle Analysis
Beaudry, Paul - 2016
This paper begins by re-examining the spectral properties of several cyclically sensitive variables such as hours worked, unemployment and capacity utilization. For each of these series, we document the presence of an important peak in the spectral density at a periodicity of approximately 36-40...
Persistent link: https://www.econbiz.de/10012979357
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Arbitrage-Free Limit Order Books and the Pricing of Order Flow Risk
Lehmann, Bruce N. - 2008
This paper builds on the landmark contribution of Glosten (1994) by treating the determination of limit order supply schedules as an exercise in asset pricing theory with the possible sizes of incoming market orders as the value-relevant states of nature, yielding an analogue of the Fundamental...
Persistent link: https://www.econbiz.de/10012772385
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Social Interaction and Stock-Market Participation
Kubik, Jeffrey D. - 2001
We investigate the idea that stock-market participation is influenced by social interaction. We build a simple model in which any given 'social' investor finds it more attractive to invest in the market when the participation rate among his peers is higher. The model predicts higher...
Persistent link: https://www.econbiz.de/10012787652
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Monetary Policy and Asset Prices : A Look Back at Past U.S. Stock Market Booms
Bordo, Michael D. - 2011
This paper examines the economic environments in which past U.S. stock market booms occurred as a first step toward understanding how asset price booms come about and whether monetary policy should be used to defuse booms. We identify several episodes of sustained rapid rise in equity prices in...
Persistent link: https://www.econbiz.de/10013127756
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Simple Variance Swaps
Martin, Ian - 2011
The large asset price jumps that took place during 2008 and 2009 disrupted volatility derivatives markets and caused …
Persistent link: https://www.econbiz.de/10013128275
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Trends in the Transitory Variance of Male Earnings in the U.S., 1970-2004
Moffitt, Robert A. - 2011
We estimate the trend in the transitory variance of male earnings in the U.S. using the Michigan Panel Study of Income Dynamics from 1970 to 2004. Using both an error components model as well as simpler but only approximate methods, we find that the transitory variance started to increase in the...
Persistent link: https://www.econbiz.de/10013129122
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Investors' and Central Bank's Uncertainty Embedded in Index Options
David, Alexander - 2011
Shocks to equity options' ATM implied volatility (ATMIV) are followed by persistently lower short-term rates. Shocks to …
Persistent link: https://www.econbiz.de/10013130555
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Why are Target Interest Rate Changes so Persistent?
Coibion, Olivier - 2011
While the degree of policy inertia in central banks' reaction functions is a central ingredient in theoretical and empirical monetary economics, the source of the observed policy inertia in the U.S. is controversial, with tests of competing hypotheses such as interest-smoothing and...
Persistent link: https://www.econbiz.de/10013131304
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Rethinking the Effects of Financial Liberalization
Broner, Fernando - 2011
finance higher investment and growth; (ii) insure against aggregate shocks and reduce consumption volatility; and (iii …
Persistent link: https://www.econbiz.de/10013132044
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Macroeconomics and Volatility : Data, Models, and Estimation
Fernández-Villaverde, Jesús - 2010
high volatility are followed by periods of low volatility. For instance, the turbulent 1970s were followed by the much more … tranquil times of the great moderation from 1984 to 2007. Modeling these movements in volatility is important to understand the … different mechanisms proposed in the literature to generate changes in volatility similar to the ones observed in the data …
Persistent link: https://www.econbiz.de/10013135053