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Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

Pesaran, M. Hashem - 2017

securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of … the S&P 500 at the end of each month in real time, using rolling windows of size 60. Statistically significant evidence …

Persistent link: https://www.econbiz.de/10012959777

Uncertainty and Economic Activity : A Multi-Country Perspective

Cesa-Bianchi, Ambrogio - 2018

. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to … for by the real common factor, which is proportional to world growth in our empirical model and linked to the risk …-free rate. Second, the share of volatility forecast error variance explained by the real common factor and by country …

Persistent link: https://www.econbiz.de/10012927877

Heterogeneity and Persistence in Returns to Wealth

Fagereng, Andreas - 2019

We provide a systematic analysis of the properties of individual returns to wealth using twenty years of population data from Norway's administrative tax records. We document a number of novel results. First, in a given cross-section, individuals earn markedly different returns on their assets,...

Persistent link: https://www.econbiz.de/10012901496

Prices and Investment with Collateral and Default

Magill, Michael J. P. - 2015

This paper uses the framework of an OLG economy with three-period lived agents in which a durable good serves as collateral for loans, to study the effect of an unanticipated income shock when the economy is in a steady state equilibrium. We focus on the consequence of default on loans when the...

Persistent link: https://www.econbiz.de/10013030893

Bilateral Market Structures and Regulatory Policies in International Telephone Markets

Ju, Heng - 2014

We develop models of bilateral oligopoly with two-way traffic exchanges to study the impact of competition and government regulatory policies on the international telephone markets. When carriers in each country are required to act collectively in setting a uniform settlement rate for inbound...

Persistent link: https://www.econbiz.de/10013043563

Oil Prices and the Global Economy : Is it Different this Time Around?

Mohaddes, Kamiar - 2016

that this relationship has been unstable when considered over the longer time period of 1946-2016. In contrast, we find a …

Persistent link: https://www.econbiz.de/10012987082

Why Do Reforms Occur in Crises Times?

Rancière, Romain G. - 2016

Structural reforms, whereby organized groups lose their power to extract rents, tend to occur in bad times rather than during prosperous times. We present a model where rent-seeking leads to economic decline, which, in turn, will make a future reform inevitable when times will be bad enough....

Persistent link: https://www.econbiz.de/10012988934

Real Exchange Rate Movements and the Relative Price of Non-Traded Goods

Betts, Caroline - 2017

subsamples of the time period, and does not change when annual data including China is used. We identify an anomaly: The portion …

Persistent link: https://www.econbiz.de/10012945763

Is There a Debt-Threshold Effect on Output Growth?

Chudik, Alexander - 2015

This paper studies the long-run impact of public debt expansion on economic growth and investigates whether the debt-growth relation varies with the level of indebtedness. Our contribution is both theoretical and empirical. On the theoretical side, we develop tests for threshold effects in the...

Persistent link: https://www.econbiz.de/10013019818

Country-Specific Oil Supply Shocks and the Global Economy : A Counterfactual Analysis

Mohaddes, Kamiar - 2015

This paper investigates the global macroeconomic consequences of country-specific oil-supply shocks. Our contribution is both theoretical and empirical. On the theoretical side, we develop a model for the global oil market and integrate this within a compact quarterly model of the global economy...

Persistent link: https://www.econbiz.de/10013022390