Showing 1 - 10 of 1,318
and demand. Supply disruptions turn out to be a bigger factor in historical oil price movements and inventory accumulation … a significant lag, whereas shocks to oil demand do not …
Persistent link: https://www.econbiz.de/10012453546
We propose an approach to identifying economic shocks (monetary, growth, and risk-premium news) from stock returns and Treasury yield changes, which allows us to study the drivers of asset prices at a daily frequency since the early 1980s. We apply the identification to examine investors'...
Persistent link: https://www.econbiz.de/10012482403
What are the shocks that drive economic fluctuations? I examine technology and money shocks in some detail, and briefly review the evidence on oil price and credit shocks. I conclude that none of these popular candidates accounts for the bulk of economic fluctuations. I then examine whether...
Persistent link: https://www.econbiz.de/10012474230
Identifying assumptions need to be imposed on dynamic models before they can be used to analyze the dynamic effects of economically interesting shocks. Often, the assumptions are only rich enough to identify a set of solutions. This paper considers two types of restrictions on the structural...
Persistent link: https://www.econbiz.de/10012455456
This paper develops a structural VAR model to measure how a shock to one country can affect the GDP of other countries …. It uses trade linkages to estimate the multiplier effects of a shock as it is transmitted through other countries' output …-trade matrix. For example, due to these output-multiplier effects, a shock to one country can have a large impact on countries that …
Persistent link: https://www.econbiz.de/10012470116
crisis, we observe (not estimate) limit order demand and supply curves for individual stocks. Both curves have demonstrably … and demand elasticities correlate negatively at high frequencies. That is, when a stock exhibits an unusually elastic … demand curve, it tends simultaneously to exhibit an unusually inelastic supply curve, and vice versa. These findings have …
Persistent link: https://www.econbiz.de/10012463914
We study the impact of the 1918 Spanish Flu on U.S. stock prices. We use the death rate to control for the impact of the global pandemic and war news reported in the New York Times to capture the positive effects of the end of World War I on stock prices. Using a new weekly hand collected NYSE...
Persistent link: https://www.econbiz.de/10012482574
Foreign portfolio flows may reflect deep changes in the functioning of an emerging market economy and its capital markets. Using a database of monthly net U.S. equity flows, we investigate the relation of these flows to the behavior of equity returns, the structural characteristics of the...
Persistent link: https://www.econbiz.de/10012472142
of a stock market wealth shock when monetary policy is passive. A 20% increase in stock valuations, unless countered by … shock …
Persistent link: https://www.econbiz.de/10012479909
greater financial fragility among lower-income earners. We also construct a new county-level uncertainty shock and find that …
Persistent link: https://www.econbiz.de/10012481194