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The slanted-L Phillips curve
Benigno, Pierpaolo; Eggertsson, Gauti B. - 2024
A slanted-L curve is well-suited to represent the non-linearity of the celebrated Phillips curve. We show this using cross-country data of major industrialized economies since 2009, including the inflationary surge of the 2020s. At high unemployment rates, an increase in demand reduces...
Persistent link: https://www.econbiz.de/10014494995
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Financialization in commodity markets
Chari, Varadarajan V.; Christiano, Lawrence J. - 2017
growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …
Persistent link: https://www.econbiz.de/10012030340
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The effects of Dollar/Sterling exchange rate volatility of futures markets for coffee and cocoa
Jumah, Adusei; Kunst, Robert M. - 1999
the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …
Persistent link: https://www.econbiz.de/10010291928
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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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The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks
Taylor, Stephen J.; Yadav, Pradeep K.; Zhang, Yuanyuan - 2009
The volatility information content of stock options for individual firms is measured using option prices for 149 U ….S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock … returns, at-the-money implied volatilities and model-free volatility expectations for every firm. For one-day-ahead estimation …
Persistent link: https://www.econbiz.de/10010302536
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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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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010
particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …
Persistent link: https://www.econbiz.de/10010271381
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Measuring the stability of a dynamic system: The case of the stock market turmoil 2007-2008
Bask, Mikael; Widerberg, Anna - 2010
The aim of this paper is to demonstrate how the change in actual and potential market risks in the Dow Jones Industrial Average (DJIA) during the two-year period 2007-2008 can be analyzed with the help of-analysis. In the empirical analysis, the average of the Lyapunov exponents for the dynamic...
Persistent link: https://www.econbiz.de/10010321428