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The Buffett Indicator : International Evidence
Swinkels, Laurens; Umlauft, Thomas S. - 2022
Warren Buffett suggested that the ratio of the market value of publicly traded stocks to economic output could identify equity market mispricings. We extend the existing research from the United States to international equity markets by investigating the return-predictive characteristics of the...
Persistent link: https://www.econbiz.de/10013290933
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Financial Crises and Contagion Effects between the US and OECD Equity Markets
Abid, Ilyes; Guesmi, Khaled; Kaabia, Olfa; Nguyen, Duc … - Institut de Préparation à l'Administration et à la … - 2014
In this paper we test for the existence of equity market contagion originating from the United States to OECD markets … due to fundamentals and contagion which we define as the excess correlation that is not explained by fundamental factors …. Our results show provide strong evidence of contagion effects originating in US equity markets to the OECD equity markets …
Persistent link: https://www.econbiz.de/10010799071
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Infrastructure investment in new markets : challenges and opportunities for pension funds
Stewart, Fiona; Yermo, Juan - 2012
This report reviews the existing evidence on pension fund investment in infrastructure in “new” markets, covering a number of non-OECD countries, such as Brazil, China, India, Indonesia and South Africa, as well as some OECD countries like Chile and Mexico. In the African, Asian, and Latin...
Persistent link: https://www.econbiz.de/10009684022
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Spillover effects from exiting highly expansionary monetary policies
Rawdanowicz, Łukasz; Bouis, Romain; Brezillon, Jérôme; … - 2014
The prospective normalisation of monetary policies in the main OECD areas will be challenging given that current policy rates are likely to be significantly below neutral levels and that central bank balance sheets will be above the pre-crisis levels by a wide margin. Monetary policy...
Persistent link: https://www.econbiz.de/10010374407
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Volatility Transmission between Stock and Exchange-Rate Markets : A Connectedness Analysis
Fernández Rodríguez, Fernando - 2016
This paper empirically investigates volatility transmission among stock and foreign exchange markets in seven major world economies during the period July 1988 to January 2015. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire...
Persistent link: https://www.econbiz.de/10012981339
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Determinants of stock market correlations : accounting for model uncertainty and reverse causality in a large panel setting
Afonso, António; Beck, Krzysztof; Jackson, Karen - 2022
We examine 22 determinants of stock market correlations in a panel setting with 651 country pairs of developed economies over the 2001-2018 period, while accounting for model uncertainty and reverse causality. On the one hand, we find, that a number of determinants, well established in the...
Persistent link: https://www.econbiz.de/10013380503
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Fiscal consolidation and its cross-country effects
Philippopulos, Apostolēs; Varthalitis, Petros; … - 2016
We build a new Keynesian DSGE model consisting of two heterogeneous countries participating in a monetary union. We study how public debt consolidation in a country with high debt (like Italy) affects welfare in a country with solid public finances (like Germany). Our results show that debt...
Persistent link: https://www.econbiz.de/10011515282
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Real Exchange Rate Volatility and Economic Openness : Theory and Evidence
Hau, Harald - 2001
This paper relates the volatility of the (trade-weighted) effective real exchange rate to the degree of trade openness of an economy. The theoretical part presents an intertemporal monetary model with nominal labour (factor) market rigidities. Both monetary and aggregate supply shocks are shown...
Persistent link: https://www.econbiz.de/10014164137
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Global Housing Markets and Monetary Policy Spillovers : Evidence from OECD Countries
Luo, Scott - 2017
What are the driving forces of housing market volatilities across countries within the context of financial globalization? To address this broad question, we integrate the Campbell-Shiller decomposition with a dynamic factor model and apply this approach to the housing price-rent ratios in 17...
Persistent link: https://www.econbiz.de/10012966895
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Measuring global macroeconomic uncertainty and cross-country uncertainty spillovers
Moramarco, Graziano - In: Econometrics : open access journal 11 (2023) 1, pp. 1-29
We propose an approach for jointly measuring global macroeconomic uncertainty and bilateral spillovers of uncertainty between countries using a global vector autoregressive (GVAR) model. Over the period 2000Q1-2020Q4, our global index is able to summarize a variety of uncertainty measures, such...
Persistent link: https://www.econbiz.de/10014281497