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(S,s) pricing: Does the heterogeneity wipe out the asymmetry on micro level?

Babutsidze, Zakaria - 2010

This paper presents a model of asymmetric (S,s) pricing. We investigate whether the asymmetry on micro level is carried … conclude that the first type of asymmetry can be attributed to the differences in adjustment bands and that heterogeneity … softens this effect. The second type of asymmetry is the result of pricing behavior, thus of agent heterogeneity itself. …

Persistent link: https://www.econbiz.de/10010300701

The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US

Kaufmann, Sylvia; Valderrama, Maria Teresa - 2007

We analyze the interaction between credit and asset prices in the transmission of shocks to the real economy. We estimate a Markov switching VAR for the euro area and the US, including additionally GDP, CPI and a short-term interest rate. We find evidence for two distinct states in both regions....

Persistent link: https://www.econbiz.de/10011604862

The Role of Permanent and Transitory Components in Business Cycle Volatility Moderation

Korenok, Oleg; Radchenko, Stanislav - 2004

The paper examines the processes underlying economic fluctuations by investigating the volatility moderation of U.S. economy in the early 1980's. We decompose the volatility decline using a dynamic factor framework into a common stochastic trend, common transitory component and idiosyncratic...

Persistent link: https://www.econbiz.de/10010263232

The equity premium and the business cycle : the role of demand and supply shocks

Smith, Peter N.; Sorensen, Steffen; Wickens, Michael R. - In: International journal of finance & economics : IJFE 15 (2010) 2, pp. 134-152

Persistent link: https://www.econbiz.de/10008702360

Dynamic linkages between monetary policy and the stock market

Laopodis, Nikiforos - In: Review of quantitative finance and accounting 35 (2010) 3, pp. 271-293

Persistent link: https://www.econbiz.de/10009260275

Permanent and transitory shocks in the presence of asymmetric error correction

Chan, F.; McDonald, Garry A. - In: Applied economics 47 (2015) 25/27, pp. 2642-2648

Persistent link: https://www.econbiz.de/10010519640

Asymmetric effects of monetary policy shocks on economic performance : empirical evidence from Turkey

Ülke, Volkan; Berument, Hakan - In: Applied economics letters 23 (2016) 4/6, pp. 353-360

Persistent link: https://www.econbiz.de/10011430609

Economic policy uncertainty shocks and stock-bond correlations : evidence from the US market

Li, Xiaoming; Zhang, Bing; Gao, Ruzhao - In: Economics letters 132 (2015), pp. 91-96

Persistent link: https://www.econbiz.de/10011431392

Measuring macroeconomic instability : a critical survey illustrated with exports series

Cariolle, Joël; Goujon, Michaël - In: Journal of economic surveys 29 (2015) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10011381764

Multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index from the London...

Persistent link: https://www.econbiz.de/10011301206