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Brokers and business cycles: Does financial market volatility cause real fluctuations?
Döpke, Jörg; Pierdzioch, Christian - 1998
This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data … the future stance of the business cycle and on the volatility of industrial production. The results of our empirical … investigation lead us to reject the hypothesis that financial market volatility causes the cycle or real volatility. …
Persistent link: https://www.econbiz.de/10010275423
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News-driven business cycles in SVARs
Bunk, Patrick - 2011
Recent studies proposed news about future technology growth as the main driver of macroeconomic fluctuations. The identification of these news through stock prices in SVARs has been criticized in the past. Therefore, I propose a series of experiments to test that hypothesis by examining its...
Persistent link: https://www.econbiz.de/10010281600
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Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Hautsch, Nikolaus - 2007
specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …
Persistent link: https://www.econbiz.de/10010298374
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Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
Hautsch, Nikolaus - 2007
specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …
Persistent link: https://www.econbiz.de/10010263700
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Financial Liberalization and Business Cycles: The Experience of Countries in the Baltics and Central Eastern Europe
Vinhas de Souza, Lúcio - 2004
States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial … mature market economies, reduces cyclical volatility both in the short and in the long run. Weak indications are found that …
Persistent link: https://www.econbiz.de/10010295650
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Volatility, Information and Stock Market Crashes
Antonakakis, Nikolaos; Scharler, Johann - 2009
In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …
Persistent link: https://www.econbiz.de/10010294846
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A mean variance king? Creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus; Hess, Dieter E. - 2001
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10010297797
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Price pressures
Hendershott, Terrence; Menkveld, Albert J. - 2010
.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …
Persistent link: https://www.econbiz.de/10010303739
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The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report
Hautsch, Nikolaus; Hess, Dieter - 2002
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10010324062
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Expectation driven business cycles with limited enforcement
Walentin, Karl - 2009
We explore the implications of shocks to expected future productivity in a setting with limited enforcement of financial contracts. As in Lorenzoni andWalentin (2007) optimal financial contracts under limited enforcement imply that to obtain external finance firms have to post collateral in...
Persistent link: https://www.econbiz.de/10010320759