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Stock Market Jumps and Uncertainty Shocks During the Great Depression
Mathy, Gabriel - 2014
Stock market volatility was extremely high during the Great Depression relative to any other period in American history …-Nielsen and Shephard (2004) test for jumps in financial time-series. These jumps coincided with periods when stock volatility was … high as the arrival of new information about the uncertain future drove both the record stock volatility and the record …
Persistent link: https://www.econbiz.de/10013057225
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Macroeconomic Effects of Uncertainty Shocks : Evidence from Korea
Cho, Dooyeon; Kim, Husang - 2022
This paper proposes a new measure of economic policy uncertainty (EPU) for Korea by fine-tuning the keywords and exploiting information drawn from a wide variety of local newspapers. The uniqueness of our new EPU index lies mainly in the fact that it uses a set of keywords that correspond much...
Persistent link: https://www.econbiz.de/10013294884
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The US Bond Market Before 1926 : Investor Total Return from 1793, Comparing Federal, Municipal, and Corporate Bonds Part I: 1793 to 1857
McQuarrie, Edward F. - 2019
US securities markets took root after Alexander Hamilton's refunding of the Federal debt in the early 1790s. Accordingly, a market in bonds has been in operation in the US for over two centuries. Until recently, however, little was known about bond market returns prior to 1857. This paper...
Persistent link: https://www.econbiz.de/10012897910
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The changing transmission of uncertainty shocks in the US : an empirical analysis
Mumtaz, Haroon; Theodoridis, Konstantinos - 2014
This paper investigates if the impact of uncertainty shocks on the US economy has changed over time. To this end, we develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on a range of variables. We find...
Persistent link: https://www.econbiz.de/10010472799
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Macroeconomic factors and index option returns
Lai, Ya-Wen - In: International review of economics & finance : IREF 48 (2017), pp. 452-477
Persistent link: https://www.econbiz.de/10011747332
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News Entropy
Kuhlen, Nikolas; Preston, Andrew - 2021
increased stock price volatility at the firm level …
Persistent link: https://www.econbiz.de/10013234550
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The macroeconomic effects of uncertainty shocks : the role of the financial channel
Popp, Aaron; Zhang, Fang - In: Journal of economic dynamics & control 69 (2016), pp. 319-349
Persistent link: https://www.econbiz.de/10011708586
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Dimensions of macroeconomic uncertainty : a common factor analysis
Henzel, Steffen; Rengel, Malte - 2014
Uncertainty about the future course of the economy is a possible driver of aggregate fluctuations. To identify the different dimensions of uncertainty in the macroeconomy we construct a large dataset covering all types of economic uncertainty. We then identify two fundamental factors which...
Persistent link: https://www.econbiz.de/10010412767
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Dimensions of macroeconomic uncertainty : a common factor analysis
Henzel, Steffen; Rengel, Malte - 2013
In the current literature uncertainty about the future course of the economy is identified as a possible driver of business cycle fluctuations. In fact, uncertainty surrounds the movements of all economic variables which gives rise to a monitoring problem. We identify the different dimensions of...
Persistent link: https://www.econbiz.de/10010188870
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Time-Frequency Relationship between Inflation and Inflation Uncertainty for the U.S : Evidence from Historical Data
Albulescu, Claudiu - 2016
We provide new evidence on the relationship between inflation and its uncertainty in the U.S. on an historical basis, covering the period 1775-2014. First, we use a bounded approach for measuring inflation uncertainty, as proposed by Chan et al. (2013), and we compare the results with the Stock...
Persistent link: https://www.econbiz.de/10012986078