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Risk, Uncertainty and Monetary Policy
Bekaert, Geert - 2012
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …
Persistent link: https://www.econbiz.de/10013099439
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Risk, Uncertainty and Monetary Policy
Bekaert, Geert - 2015
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …
Persistent link: https://www.econbiz.de/10013039100
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Risk, Uncertainty and Monetary Policy
Bekaert, Geert - 2013
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …
Persistent link: https://www.econbiz.de/10013080094
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Risk, uncertainty and monetary policy
Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - 2012
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …
Persistent link: https://www.econbiz.de/10011590620
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TFP news, stock market booms and the business cycle : revisiting the evidence with VEC models
Di Casola, Paola; Sichlimiris, Spyridon - 2020
Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter...
Persistent link: https://www.econbiz.de/10012181050
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The determinants of capital structure in emerging capital markets : evidence from Serbia
Malinić, Dejan; Denčić-Mihajlov, Ksenija; … - In: European research studies : an international … 16 (2013) 2, pp. 101-122
Persistent link: https://www.econbiz.de/10011387639
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Should we worry about the decline of the public corporation? : a brief survey of the economics and external effects of the stock market
Koptyug, Nikita; Persson, Lars; Tåg, Joacim - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012659554
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Should we worry about the decline of the public corporation? : a brief survey of the economics and external effects of the stock market
Koptyug, Nikita; Persson, Lars; Tåg, Joacim - 2019
external effects on capital allocation and productivity can arise from short-termism, market mispricing, and increased cross …
Persistent link: https://www.econbiz.de/10012061339
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Risk, uncertainty and monetary policy
Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - 2012
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …
Persistent link: https://www.econbiz.de/10011506749
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A pro-cyclical stock market under a countercyclical monetary policy in a model of endogenous business cycles
Yanovski, Boyan - 2016
During the last 25 years, the stock market in the US has been strongly pro-cyclical in the presence of a counter-cyclical monetary policy. In this paper, we use an endogenous business cycle model to explore the factors contributing to a pro-cyclical stock market. A dynamic expectation structure...
Persistent link: https://www.econbiz.de/10011436478