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Risk, Uncertainty and Monetary Policy in a Global World

Bekaert, Geert - 2020

Since the global financial crisis, there has been renewed interest in understanding how monetary policy shocks transmit across countries through risk variables, spurring a literature on the "global financial cycle." This paper studies how (conventional and unconventional) monetary policy shocks...

Persistent link: https://www.econbiz.de/10012834260

Identifying Aggregate Demand and Supply Shocks Using Sign Restrictions and Higher-Order Moments

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - 2021

We use information in higher-order moments to identify aggregate supply and aggregate demand shocks for the U.S. economy. Traditional methods based on sign restrictions and/or second-order moments yield only “set” or “interval” identification but higher-order moments are shown to...

Persistent link: https://www.econbiz.de/10013223843

Bad environments, good environments : a non-Gaussian asymmetric volatility model

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of econometrics 186 (2015) 1, pp. 258-275

Persistent link: https://www.econbiz.de/10011349501

Asymmetric Volatility and Risk in Equity Markets

Bekaert, Geert - 1997

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …

Persistent link: https://www.econbiz.de/10012472796