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Measuring Sovereign Contagion in Europe
Caporin, Massimiliano - 2013
quantile regression with heteroskedasticity) we show that propagation of shocks in Europe's CDS has been remarkably constant …-Lehman one, but the coefficients actually go down, not up! All the increases in correlation we have witnessed over the last years … across Europe. This is the first paper, to our knowledge, where a Bayesian quantile regression approach is used to measure …
Persistent link: https://www.econbiz.de/10012459921
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Comovement
Barberis, Nicholas - 2002
A number of studies have identifed patterns of positive correlation of returns, or comovement, among different traded …
Persistent link: https://www.econbiz.de/10012469819
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Correlated Beliefs, Returns, and Stock Market Volatility
David, Joel M. - 2015
information-based model demonstrates that the correlation of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the correlation between predicted and actual is 0.63. Our …
Persistent link: https://www.econbiz.de/10012457188
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Misspecified Recovery
Borovička, Jaroslav - 2014
Asset prices contain information about the probability distribution of future states and the stochastic discounting of these states. Without additional assumptions, probabilities and stochastic discounting cannot be separately identified. Ross (2013) introduced a set of assumptions that restrict...
Persistent link: https://www.econbiz.de/10012458456
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The Recovery Theorem
Ross, Stephen A. - 2011
We can only estimate the distribution of stock returns but we observe the distribution of risk neutral state prices. Risk neutral state prices are the product of risk aversion - the pricing kernel - and the natural probability distribution. The Recovery Theorem enables us to separate these and...
Persistent link: https://www.econbiz.de/10012461335
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The Covariance Structure of Earnings and the On the Job Training Hypothesis
Hause, John C. - 1973
The fine structure of earnings is defined by a theoretically meaningful decomposition of the covariance matrix of earnings (or log earnings) time series. A three-element variance components model is proposed for analyzing earnings of young workers. These components are interpreted as the effects...
Persistent link: https://www.econbiz.de/10012479100
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Inspecting the Mechanism of Quantitative Easing in the Euro Area
Koijen, Ralph S. J. - 2019
Using new data on security-level portfolio holdings by investor type and across countries in the euro area, we study portfolio rebalancing during the European Central Bank's (ECB) purchase programme that started in March 2015. To quantify changes in risk concentration, we estimate the evolution...
Persistent link: https://www.econbiz.de/10012480098
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ECB Policies Involving Government Bond Purchases : Impact and Channels
Krishnamurthy, Arvind - 2017
We evaluate the effects of three ECB policies (the Securities Markets Programme, the Outright Monetary Transactions, and the Long-Term Refinancing Operations) on government bond yields. We use a novel Kalman-filter augmented event-study approach and yields on euro-denominated sovereign bonds,...
Persistent link: https://www.econbiz.de/10012453728
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Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis
Beltratti, Andrea - 2015
From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on sovereign CDS of peripheral (GIIPS) countries is negative. We use days with tail sovereign CDS returns of peripheral countries to identify the effects of shocks to the cost of...
Persistent link: https://www.econbiz.de/10012457516
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Credit Risk in the Euro Area
Gilchrist, Simon - 2014
We construct credit risk indicators for euro area banks and non-financial corporations. These are the average spreads on the yield of euro area private sector bonds relative to the yield on German federal government securities of matched maturities. The indicators are also constructed at the...
Persistent link: https://www.econbiz.de/10012458623