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Stock market cycles and supply side dynamics

De Grauwe, Paul; Gerba, Eddie - 2015

The agent-based (behavioural) model is extended to include a financial friction on the supply side. Firms finance capital purchases using external financing, but need to pay for it in advance. In addition, firm financing constraint and net worth are determined by stock market prices, which can...

Persistent link: https://www.econbiz.de/10011283037

Stock market cycles and supply side dynamics : two worlds, one vision?

De Grauwe, Paul; Gerba, Eddie - 2015

The paper compares two state-of-art but very dinstinct methods used in macroeconomics: rational-expectations DSGE and bounded rationality behavioural models. Both models are extended to include a financial friction on the supply side.The result in both models is that production, supply of credit...

Persistent link: https://www.econbiz.de/10011374197

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

The Theory of Higher Order Lognormal Cascade Distribution and the Origin of Fat Tails in the Fluctuations of Stock Market

Lihn, Stephen H.T. - 2009

This working paper presents the general theory of the higher order "skew lognormal cascade distribution" as a … is studied in details, which incorporates the fat tails into the volatility (aka the volatility of volatility). We show … market index, and the market entropy of the stock market. Such study in the context of stochastic portfolio theory reveals …

Persistent link: https://www.econbiz.de/10013159227

Asymmetric connectedness of stocks : how does bad and good volatility spill over the US stock market?

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

Persistent link: https://www.econbiz.de/10010407529

Dynamic stock-bond return correlations and financial market uncertainty

Chiang, Thomas C.; Li, Jiandong; Yang, Sheng-Yung - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 59-88

Persistent link: https://www.econbiz.de/10011333137

Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?

Kim, Yunmi; Nelson, Charles R. - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 307-328

Persistent link: https://www.econbiz.de/10010351545

Shifts in Volatility Driven by Large Stock Market Shocks

Dendramis, Yiannis - 2012

This paper presents a new stochastic volatility model which allows for persistent shifts in volatility of stock market … investigate economic (or market) sources of volatility shifts, without relying on exogenous information from the sample. In … effects of large return shocks on future levels of market volatility. The above properties of the model are shown based on a …

Persistent link: https://www.econbiz.de/10013107993

A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects

Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10012054880

Stock market cross-sectional skewness and business cycle fluctuations

Ferreira, Thiago R.T. - 2018 - This version: February 2018

Persistent link: https://www.econbiz.de/10011854688

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