Narrow search
Showing 1 - 10 of 14,730
Cover Image
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
Cover Image
Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities
Kizys, Renatas - 2006
In this paper, we used modified multivariate EGARCH-M models to assess the relation between the equity risk premium, macroeconomic risk, and inflationary expectations. To rationalise this link between equity risk premia and macroeconomic volatilities, we built our empirical study on the...
Persistent link: https://www.econbiz.de/10012734024
Cover Image
Stock Market Cross-Sectional Skewness and Business Cycle Fluctuations
R.T. Ferreira, Thiago - 2020
Using U.S. data from 1926 to 2015, I show that financial skewness?a measure comparing cross-sectional upside and downside risks of the distribution of stock market returns of financial firms?is a powerful predictor of business cycle fluctuations. I then show that shocks to financial skewness are...
Persistent link: https://www.econbiz.de/10014115594
Cover Image
Measuring uncertainty and its effects in a small open economy
Cabello, Miguel; Nivin, Rafael - 2022
model and a stochastic volatility factor model, it is possible to estimate reliable uncertainty measures and describe their …
Persistent link: https://www.econbiz.de/10013540621
Cover Image
The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …
Persistent link: https://www.econbiz.de/10011376640
Cover Image
The state level impact of uncertainty shocks
Mumtaz, Haroon; Sunder-Plassmann, Laura; … - 2016
This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income …
Persistent link: https://www.econbiz.de/10011448758
Cover Image
Uncertainty and labor market fluctuations
Jo, Soojin; Lee, Justin J. - 2019
We investigate how a macroeconomic uncertainty shock affects the labor market. We focus on the uncertainty transmission mechanism, for which we employ a set of worker flow indicators in addition to labor stock variables. We incorporate common factors from such indicators into a framework that...
Persistent link: https://www.econbiz.de/10012030061
Cover Image
Volatility co-movement and the great moderation : an empirical analysis
Mumtaz, Haroon; Theodoridis, Konstantinos - 2016
volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …
Persistent link: https://www.econbiz.de/10011554403
Cover Image
Common and country specific economic uncertainty
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …
Persistent link: https://www.econbiz.de/10011306276
Cover Image
Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...
Persistent link: https://www.econbiz.de/10010532582