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Does Home Owning Smooth the Variability of Future Housing Consumption?

Paciorek, Andrew - 2010

We show that the hedging benefit of owning a home reduces the variability of housing consumption after a move. When a current home owner's house price covaries positively with housing costs in a future city, changes in the future cost of housing are offset by commensurate changes in wealth...

Persistent link: https://www.econbiz.de/10012462126

High Idiosyncratic Volatility and Low Returns : International and Further U.S. Evidence

Ang, Andrew - 2008

Stocks with recent past high idiosyncratic volatility have low future average returns around the world. Across 23 developed markets, the difference in average returns between the extreme quintile portfolios sorted on idiosyncratic volatility is -1.31% per month, after controlling for world...

Persistent link: https://www.econbiz.de/10012464908

Productivity Volatility and the Misallocation of Resources in Developing Economies

Collard-Wexler, Allan - 2011

total factor productivity (TFP) and static measures of capital misallocation within a country. Using data on 5 … between productivity volatility and the dispersion of the marginal revenue product of capital (static capital misallocation …-one percent of the static capital misallocation in the data is captured by the model's prediction. Our findings suggest that the …

Persistent link: https://www.econbiz.de/10012461482

R-squared and the Economy

Morck, Randall - 2013

with which firm-specific events occur. A functionally efficient stock market allocates capital to its highest value uses …, which often amounts to financing Schumpeterian creative destruction, wherein creative winner firms outpace destroyed losers …

Persistent link: https://www.econbiz.de/10012459646

Interest Rate Volatility and Contagion in Emerging Markets : Evidence from the 1990s

Edwards, Sebastian - 2000

In this paper we use high frequency interest rate data for a group of Latin American countries to analyze the behavior of volatility through time. We are particularly interested in understanding whether periods of high volatility spillover across countries. Our analysis relies both on univariate...

Persistent link: https://www.econbiz.de/10012470937

A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility

Boudoukh, Jacob - 1999

This paper presents a general, nonlinear version of existing multifactor models, such as Longstaff and Schwartz (1992). The novel aspect of our approach is that rather than choosing the model parameterization out of thin air,' our processes are generated from the data using approximation methods...

Persistent link: https://www.econbiz.de/10012471576

The Response of Interest Rates to the Federal Reserve's Weekly Money Announcements : The "Puzzle" of Anticipated Money

Deaves, Richard - 1987

Researchers, using the survey conducted by Money Market Services, Inc., have found that the anticipated component in the Federal Reserve's weekly money supply announcement is negatively correlated with the post- announcement change in market yields. We prove that eliminating a (downward) bias in...

Persistent link: https://www.econbiz.de/10012476944

Interest Rates, Money Supply Announcements, and Monetary Base Announcements

Huizinga, John - 1985

This paper presents a new set of empirical regularities on the link between interest rates, money supply announcements and monetary base announcements. Among the main findings reported are: (i) unexpected increases in the announced monetary base have a significantly positive effect on interest...

Persistent link: https://www.econbiz.de/10012477375

Monetary Policy Regime Shifts and the Unusual Behavior of Real Interest Rates

Huizinga, John - 1985

A striking phenomenon of the early 1980s is the climb in real interest rates to levels unprecedented in the post-World War II period. In order to understand this phenomenon, this paper investigates the nature and timing of shifts in the real rate process to determine if the recent unusual...

Persistent link: https://www.econbiz.de/10012477402

Money, Credit and Interest Rates in the Business Cycle

Friedman, Benjamin M. - 1984

Fluctuations of business activity in the United States clearly have their monetary and financial side, but these aspects of U.S. economic fluctuations exhibit few quantitative regularities that have persisted unchanged across spans of tine over which the nation's financial markets have...

Persistent link: https://www.econbiz.de/10012477605