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Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances

Hedegaard, Esben - 2014

We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional covariances of returns on assets with the return on the market and other state variables. We find a positive and significant price of risk for the covariance with the market return...

Persistent link: https://www.econbiz.de/10012458421

Underemployment in the US and Europe

Bell, David N. F. - 2018

Large numbers of part-time workers around the world, both those who choose to be part-time and those who are there involuntarily and would prefer a full-time job report they want more hours. Full-timers who say they want to change their hours mostly say they want to reduce them. When recession...

Persistent link: https://www.econbiz.de/10012480582

Borders within Europe

Santamaría, Marta A. - 2020

Are country borders still an impediment to trade flows within Europe? Using a rich microlevel survey with 3 million … average border effect but still quite large. The implication is clear: Europe is far from having a single market …

Persistent link: https://www.econbiz.de/10012482519

The Dynamics of Criminal Behavior : Evidence from Weather Shocks

Jacob, Brian - 2004

The persistence of criminal activity is well documented. While such serial correlation may be evidence of social … between crime rates in a particular area due to displacement. In this paper, we exploit the correlation between weather and … lagged crime rates due to unexpected weather shocks, we find that the strong positive serial correlation documented in OLS is …

Persistent link: https://www.econbiz.de/10012467951

Newer Need Not be Better : Evaluating the Penn World Tables and the World Development Indicators Using Nighttime Lights

Pinkovskiy, Maxim - 2016

Nighttime lights data are a measure of economic activity whose error is plausibly independent of the measurement errors of most conventional indicators. Therefore, we can use nighttime lights as an independent benchmark to assess existing measures of economic activity (Pinkovskiy and...

Persistent link: https://www.econbiz.de/10012456459

Testing the Correlated Random Coefficient Model

Heckman, James J. - 2009

The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...

Persistent link: https://www.econbiz.de/10012463186

The Determinants of Stock and Bond Return Comovements

Baele, Lieven - 2009

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We identify the economic factors employing a semi-structural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We...

Persistent link: https://www.econbiz.de/10012463390