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The high frequency impact of economic policy narratives on stock market uncertainty

Perico Ortiz, Daniel - 2021

This paper investigates the causal relationship between economic policy narratives, derived from President Trump's tweets and tweeting behavior, and stock market uncertainty. To this end, I define different event types based on the occurrence probability of identifted narratives or unusual tweet...

Persistent link: https://www.econbiz.de/10012432840

Technological synergies, heterogeneous firms, and idiosyncratic volatility

Fernández-Villaverde, Jesús; Yu, Yang; Zanetti, Francesco - 2024

This paper shows the importance of technological synergies among heterogeneous firms for aggregate fluctuations. First, we document six novel empirical facts using microdata that suggest the existence of important technological synergies between trading firms, the presence of positive...

Persistent link: https://www.econbiz.de/10014496498

Stock Market Wealth Effects in an Estimated DSGE Model for Hong Kong

Funke, Michael - 2009

This paper develops and estimates an open economy dynamic stochastic general equilibrium (DSGE) model of the Hong Kong …

Persistent link: https://www.econbiz.de/10013155755

Securitization of mortgage debt, asset prices and international risk sharing

Hoffmann, Mathias; Nitschka, Thomas - 2009

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption … risk sharing in tranquil times but that it actually fails to provide international insurance in severe crisis periods …

Persistent link: https://www.econbiz.de/10003806732

Predictability of the realised volatility of international stock markets amid uncertainty related to infectious diseases

Shiba, Sisa; Cuñado Eizaguirre, Juncal; Gupta, Rangan - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-18

In the context of the great turmoil in the financial markets caused by the COVID-19 pandemic, the predictability of daily infectious diseases-related uncertainty (EMVID) for international stock markets volatilities is examined using heterogeneous autoregressive realised variance (HAR-RV) models....

Persistent link: https://www.econbiz.de/10012813501

The impact of the infectious diseases and commodity on stock markets

Chen, Lin; Min, Feng; Liu, Wenhua; Wen, Fenghua - In: Finance research letters 47 (2022) 2, pp. 1-8

Persistent link: https://www.econbiz.de/10013553551

Disaster resilience and asset prices

Pagano, Marco; Wagner, Christian; Zechner, Josef - In: Journal of financial economics 150 (2023) 2, pp. 1-30

Persistent link: https://www.econbiz.de/10014462593

Short-term stock performance of health care companies in times of viral epidemics and pandemics

Alberti, Eugen; Herberger, Tim; Ender, Manuela - In: Atlantic economic journal : AEJ 51 (2023) 2/3, pp. 131-148

Persistent link: https://www.econbiz.de/10014391986

International evidence of COVID-19 and stock market returns : an event study analysis

Bash, Ahmad - In: International journal of economics and financial issues … 10 (2020) 4, pp. 34-38

Persistent link: https://www.econbiz.de/10012300345

COVID-19 outbreak and performance of financial markets : evidence from the stock market, the foreign exchange market and cryptocurrencies market in Nigeria

Mohammed, Ibrahim - In: International journal of business and emerging markets … 15 (2023) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10014232454

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