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The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange

Skjeltorp, Johannes A.; Ødegaard, Bernt Arne - Universitetet <Stavanger> / School of Business … - 2009

We investigate the information content of aggregate stock market liquidity and askwhether it may be a useful realtime indicator, both for nancial stress, and real economicactivity in Norway. We describe the development in a set of liquidity proxies at the OsloStock Exchange (OSE) for the period...

Persistent link: https://www.econbiz.de/10009305195

Prognoseberichterstattung gemäß DRS 15 - Eine empirische Analyse der Unternehmen des Prime Standards

Knauer, Thorsten; Wömpener, Andreas - Universität <Münster, Westfalen> / Lehrstuhl für … - 2009

Erwartungen über zukünftige Entwicklungen spielen für die Beurteilung der aktuellen wirtschaftlichen Situation eine entscheidende Rolle. Als eine Erklärung konjunktureller Schwankungen wird beispielsweise in der Konjunkturtheorie die Erwartungsbildung bei unvollständigen Informationen...

Persistent link: https://www.econbiz.de/10009129467

A new algorithm for solving dynamic stochasticmacroeconomic models

Dorofeenko, Victor; Lee, Gabriel S.; Salyer, Kevin D. - Institut für Immobilienwirtschaft <Regensburg> - 2010

This paper introduces a new algorithm, the recursive upwind Gauss–Seidel method, andapplies it to solve a standard stochastic growth model in which the technology shocksexhibit heteroskedasticity. This method exploits the fact that the equations definingequilibrium can be viewed as a set of...

Persistent link: https://www.econbiz.de/10009347533

THE HODRICK-PRESCOTT FILTER AT TIME SERIESENDPOINTS

Mise, Emi; Kim, Tae-Hwan; Newbold, Paul - University <Nottingham> / Department of Economics - 2008

The Hodrick-Prescott …lter is often applied to economic series as part of thestudy of business cycles. Its properties have most frequently been exploredthrough the development of essentially asymptotic results which are practicallyrelevant only some distance from series endpoints. Our concern...

Persistent link: https://www.econbiz.de/10005868904

The Economics of Currency Crises and Contagion: An Introduction

Pesenti, Paolo A.; Tille, Cédric - Federal Reserve Bank <New York, NY> - 2000

[...]We begin by discussing the so-called first generation ofmodels, in which crises are viewed in the literature as theunavoidable result of unsustainable policies or fundamentalimbalances. Next, we survey the literature on the secondgeneration of models, which highlights the possibility of...

Persistent link: https://www.econbiz.de/10005869910

Net Worth, Risk Taking and Investment

Hubert, Franz - Universität <Berlin, Humboldt-Universität> / Chair … - 2000

This paper analyzes how agency problems in nancial contracting determine risk-taking andinvestment. In perfect capital markets a risk-neutral rm would invest until the expectedmarginal return equals the interest rate. However, as rms with little net-worth face agencycost in nancial contracting...

Persistent link: https://www.econbiz.de/10005841020

What is Wrong with the 'Balance Sheet Channel'?

Hubert, Franz - Universität <Berlin, Humboldt-Universität> / Chair … - 1999

In monetary economics it is argued that due to agency cost in financial contracting a reduction of a firm's net worth will transmit into a decline of investment. This paper shows that the microeconomic foundation of this 'balance-sheet-channel' is dubious. Contrary to a common claim agency...

Persistent link: https://www.econbiz.de/10005841022

Random walks and non-linear paths in macroeconomic time series : some evidence and implications

Bevilacqua, Franco; Zon, Adriaan van - Institut für Volkswirtschaftstheorie und -politik <Wien> - 2001

This paper investigates whether the inherent non-stationarity of macroeconomic time series is entirely due to a random walk or also to non-linear components. Applying the numerical tools of the analysis of dynamical systems to long time series for the US, we reject the hypothesis that these...

Persistent link: https://www.econbiz.de/10005841587

Household decisions, credit markets and the macroeconomy: implications for the design of central bank models

Muellbauer, John - Bank für Internationalen Zahlungsausgleich <Basel> - 2010

DSGE models without financial frictions, asset prices are merely a proxy for income growth expectations and play no …, for all possible discount rates and both for a perfect foresight and an empirical rational expectations approach to … measuring income expectations. However, an Ando-Modigliani consumption function generalised to include a role for liquidity …

Persistent link: https://www.econbiz.de/10005870913

Why rising tides don’t lift all boats: An explanation ofthe relationship between poverty and unemploymentin Britain

Burgess, Simon M.; Gardiner, Karen; Propper, Carol - London School of Economics and Political Science - 2001

This paper is motivated by the lack of any obvious relationship betweenaggregate poverty and unemployment in Great Britain. We derive aframework based on individuals’ risks of unemployment and poverty,and how these vary over the economic cycle. Analysing the BritishHousehold Panel Survey for...

Persistent link: https://www.econbiz.de/10008695295