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Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission

Ehrmann, Michael; Fratzscher, Marcel; Rigobon, Roberto - National Bureau of Economic Research (NBER) - 2005

The paper presents a framework for analyzing the degree of financial transmission between money, bond and equity …

Persistent link: https://www.econbiz.de/10005714084

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

Bollerslev, Tim; Diebold, Francis; Vega, Clara; … - National Bureau of Economic Research (NBER) - 2005

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...

Persistent link: https://www.econbiz.de/10005079145

The Aftermath of Financial Crises

Reinhart, Carmen; Rogoff, Kenneth S - National Bureau of Economic Research (NBER) - 2009

This paper examines the depth and duration of the slump that invariably follows severe financial crises, which tend to be protracted affairs. We find that asset market collapses are deep and prolonged. On a peak-to-trough basis, real housing price declines average 35 percent stretched out over...

Persistent link: https://www.econbiz.de/10005089220

Carry Trades and Currency Crashes

Brunnermeier, Markus K.; Nagel, Stefan; Pedersen, Lasse Heje - National Bureau of Economic Research (NBER) - 2008

carry trades, which tend to occur in periods in which risk appetite and funding liquidity decrease. Funding liquidity …This paper documents that carry traders are subject to crash risk: i.e. exchange rate movements between high … measures predict exchange rate movements, and controlling for liquidity helps explain the uncovered interest-rate puzzle. Carry …

Persistent link: https://www.econbiz.de/10005050341

Legal-Political Factors and the Historical Evolution of the Finance-Growth Link

Bordo, Michael David; Rousseau, Peter - National Bureau of Economic Research (NBER) - 2006

Recent cross-country investigations of the role of institutional fundamentals such as the protection of property rights in promoting financial development have extended a literature that has for decades maintained that financial factors can affect real outcomes. In this paper we pursue this new...

Persistent link: https://www.econbiz.de/10005030909

Labor Market, Financial Crises and Inflation: Jobless and Wageless Recoveries

Calvo, Guillermo; Coricelli, Fabrizio; Ottonello, Pablo - National Bureau of Economic Research (NBER) - 2012

This paper uses a sample of 116 recession episodes in developed and emerging market economies to compare the labor-market recovery during financial crises with that of other recession episodes. It documents two new stylized facts. First, labor-market recovery from financial crises is...

Persistent link: https://www.econbiz.de/10010796672

Capital Controls: Myth and Reality - A Portfolio Balance Approach

Reinhart, Carmen; Rogoff, Kenneth S; Magud, Nicolas E. - National Bureau of Economic Research (NBER) - 2011

The literature on capital controls has (at least) four very serious apples-to-oranges problems: (i) There is no unified theoretical framework to analyze the macroeconomic consequences of controls; (ii) there is significant heterogeneity across countries and time in the control measures...

Persistent link: https://www.econbiz.de/10008839457

An Anatomy Of Credit Booms: Evidence From Macro Aggregates And Micro Data

Mendoza, Enrique G.; Terrones, Marco E. - National Bureau of Economic Research (NBER) - 2008

This paper proposes a methodology for measuring credit booms and uses it to identify credit booms in emerging and industrial economies over the past four decades. In addition, we use event study methods to identify the key empirical regularities of credit booms in macroeconomic aggregates and...

Persistent link: https://www.econbiz.de/10005723113

Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries

Aruoba, S. Boragan; Schorfheide, Frank; Cuba-Borda, Pablo - National Bureau of Economic Research (NBER) - 2013

We propose and solve a small-scale New-Keynesian model with Markov sunspot shocks that move the economy between a targeted-inflation regime and a deflation regime and fit it to data from the U.S. and Japan. For the U.S. we find that adverse demand shocks have moved the economy to the zero lower...

Persistent link: https://www.econbiz.de/10010969307

Interest Rate Uncertainty and Economic Fluctuations

Creal, Drew D.; Wu, Jing Cynthia - National Bureau of Economic Research (NBER) - 2014

Uncertainty associated with the monetary policy transmission mechanism is a key driving force of business cycles. To …

Persistent link: https://www.econbiz.de/10010950677

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