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Asset prices and macroeconomic outcomes: A survey

Claessens, Stijn; Kose, M. Ayhan - 2017

This paper surveys the literature on the linkages between asset prices and macroeconomic outcomes. It focuses on three major questions. First, what are the basic theoretical linkages between asset prices and macroeconomic outcomes? Second, what is the empirical evidence supporting these...

Persistent link: https://www.econbiz.de/10012060200

Macroeconomic implications of financial imperfections: A survey

Claessens, Stijn; Kose, M. Ayhan - 2017

This paper surveys the theoretical and empirical literature on the macroeconomic implications of financial imperfections. It focuses on two major channels through which financial imperfections can affect macroeconomic outcomes. The first channel, which operates through the demand side of finance...

Persistent link: https://www.econbiz.de/10012060201

Diversification benefits of commodities: A stochastic dominance efficiency approach

Daskalaki, Charoula; Skiadopoulos, George; Topaloglou, … - 2016

We revisit the question whether commodities should be included in investors' portfolios. We employ for the first time a stochastic dominance efficiency (SDE) approach to construct optimal portfolios with and without commodities and we evaluate their comparative performance. SDE circumvents the...

Persistent link: https://www.econbiz.de/10011796521

Can common stocks provide a hedge against inflation? Evidence from African countries

Alagidede, Paul; Panagiotidis, Theodore - 2010

The extent to which the stock market provides a hedge to investors against inflation is examined for African stock markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the elasticities of stock prices with respect to consumer prices...

Persistent link: https://www.econbiz.de/10010273656

Liquidity Shocks and Stock Market Reactions

Bali, Turan G.; Peng, Lin; Shen, Yannan; Tang, Yi - 2013

This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six months in the future. Long-short portfolios sorted on past...

Persistent link: https://www.econbiz.de/10010500241

Are stock returns a leading indicator for real macroeconomic developments?

Burgstaller, Johann - 2002

I examine whether or not returns on stock markets are a leading indicator for real macroeconomic developments in Austria, Japan and the USA. Further I deal with the concept of stock market efficiency, the question whether or not information from real and financial sectors of the economy is...

Persistent link: https://www.econbiz.de/10010294592

Stock Exchange Competition in a Simple Model of Capital Market Equilibrium

Ramos, Sofia B.; Thadden, Ernst-Ludwig von - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper uses a simple model of mean-variance asset pricing with transactions costs to analyze one of the main empirical phenomena in stock market competition in the last years, the decrease of transaction costs. We endogenize transactions costs as variables strategically influenced by stock...

Persistent link: https://www.econbiz.de/10005858015

Eugster, Patrick; Zweifel, Peter - 2006

This contribution starts out by noting a conflict of interest between consumers and insurers. Consumers face positive correlation in their assets (health, wealth, wisdom, i.e. skills), causing them to demand a great deal of insurance coverage. Insurers on the other hand eschew positively...

Persistent link: https://www.econbiz.de/10010315580

The puzzling evolution of the home bias, information processing and financial openness

Mondria, Jordi; Wu, Thomas - 2007

This paper presents a rational expectations model of asset prices with rationally inattentive investors that, unlike previous papers, explains both the substantial amount of equity wealth invested domestically and the puzzling time series behavior of the home bias - an initial plateau before...

Persistent link: https://www.econbiz.de/10010285303

Domestic Market Integration

Virmani, Arvind; Mittal, Surabhi - 2006

The paper looks into the level of integration of commodity markets in India, across centres and states using consumer … price data. It measures the extent to which domestic markets for goods in India are integrated, and recommends policy … methodology proposed by Bradford and Lawrence (2004) on the consumer prices of goods in major states across India. This is then …

Persistent link: https://www.econbiz.de/10011807590

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