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Fajeau, Maxime - 2020

Persistent link: https://www.econbiz.de/10012244578

Institutional investors and home bias in Europ's capital markets union

Darvas, Zsolt M.; Schoenmaker, Dirk - 2017

of institutional investors to diversify geographically across borders. Our panel regression estimates for 25 advanced and …

Persistent link: https://www.econbiz.de/10011613999

A nonlinear panel model of cross-sectional dependence

Kapetanios, George; Mitchell, James; Shin, Yongcheol - 2010

This paper proposes a new panel model of cross-sectional dependence. The model has a number of potential structural … approach to the modelling of interactions across panel units and can generate endogenous cross-sectional dependence that can … study and two empirical illustrations. -- Cross-sectional dependence ; Nonlinearity ; Factor models ; Panel models ; Fixed …

Persistent link: https://www.econbiz.de/10008728710

Financial conditions and density forecasts for US output and inflation

Alessandri, Piergiorgio; Mumtaz, Haroon - 2014

When do financial markets help in predicting economic activity? With incomplete markets, the link between financial and real economy is state-dependent and financial indicators may turn out to be useful particularly in forecasting "tail" macroeconomic events. We examine this conjecture by...

Persistent link: https://www.econbiz.de/10010339756

Financial regimes and uncertainty shocks

Alessandri, Piergiorgio; Mumtaz, Haroon - 2014

Financial markets are central to the transmission of uncertainty shocks. This paper documents a new aspect of the interaction between the two by showing that uncertainty shocks have radically different macroeconomic implications depending on the state financial markets are in when they occur....

Persistent link: https://www.econbiz.de/10010472852

Consumer default with complete markets : default-based pricing and finite punishment

Mateos-Planas, Xavier; Seccia, Giulio - 2013

This paper studies economies with complete markets where there is positive default on consumer debt. In a simple tractable two-period model, households can default partially, at a finite punishment cost, and competitive intermediaries price loans of different sizes separately. This environment...

Persistent link: https://www.econbiz.de/10010210815

Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics

Flaschel, Peter; Charpe, Mattieu; Galanis, Giorgos; … - 2017

This paper studies the implications of heterogeneous capital gain expectations on output and asset prices. We consider a disequilibrium macroeconomic model where agents' expectations on future capital gains affect aggregate demand. Agents' beliefs take two forms - fundamentalist and chartist -...

Persistent link: https://www.econbiz.de/10011671937

Long-term finance and investment with frictional asset markets

Kozlowski, Julian - 2017

Trading frictions in financial markets affect more long- than short-term bonds generating an upward sloping yield curve. Long-term financing is more expensive in economies with higher trading frictions so firms choose to borrow and invest in shorter horizons and lower productivity projects. The...

Persistent link: https://www.econbiz.de/10011911516

Financial conditions and monetary policy in Uruguay : an MS-VAR approach

Bucacos Iguini, Elizabeth - 2017

This study analyzes the effects of "financial stress" on the Uruguayan macroeconomy in the 1998Q3-2016Q2 period with the underlying idea that financial shocks propagate differently during "normal times" than during times of "stress." This behavior is captured in a multivariate framework through...

Persistent link: https://www.econbiz.de/10011661144

Financial cycles in Europe : dynamics, synchronicity and implications for business cycles and macroeconomic imbalances

Adarov, Amat - 2019

-specific factor, the European financial cycle, play in shaping national financial market dynamics. Estimations using Bayesian panel …

Persistent link: https://www.econbiz.de/10012153925

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