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A Survey of Alternative Measures of Macroeconomic Uncertainty : Which Measures Forecast Real Variables and Explain Fluctuations in Asset Volatilities Better?

David, Alexander; Veronesi, Pietro - 2022

In the past twenty years, measures of economic uncertainty have been developed that are either purely market price-based, structural model-based using data on real fundamentals and asset prices, text-based, or survey-based. We compare the performance of these uncertainty measures in forecasting...

Persistent link: https://www.econbiz.de/10013294567

Banking Crisis and Cyclic Shocks : A Perspective on Volatility Clustering

Sun, Mingyuan - 2019

. Experience from past financial crises shows, major indicators in financial markets have clustered volatility during periods of …. The results show that crises indicator volatility tends to cluster together when distress signals begin to appear in the … for a better understanding of the relationship between business cycle and banking crises …

Persistent link: https://www.econbiz.de/10012898293

The informal economy and economic volatility

Mapp, Terral; Moore, Winston - In: Macroeconomics and finance in emerging market economies 8 (2015) 1/3, pp. 185-200

Persistent link: https://www.econbiz.de/10011402366

Financial, institutional, and macroeconomic determinants of cross-country portfolio equity flows

Afonso, António; Alves, José; Beck, Krzysztof; … - 2022

We consider a new dataset that provides a description of the population of financial equity flows between developed countries from 2001 to 2018. We follow the standard practice of controlling for pull and push factors as well as gravity-style variables, while also accounting for the business...

Persistent link: https://www.econbiz.de/10013332123

What drives dynamic connectedness of the US equity sectors during different business cycles?

Ngene, Geoffrey M. - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013186555

A Decomposition of the Increased Stability of GDP Growth

McConnell, Margaret Mary - 2007

Since 1984, the U.S. economy has grown at a remarkably steady pace. An analysis of this increased stability shows that every major component of GDP has exhibited smoother growth. However, two components - inventory investment and consumer spending - are responsible for the bulk of the decline in...

Persistent link: https://www.econbiz.de/10012776650

Macroeconomic Fluctuations, Oil Supply Shocks, and Equilibrium Oil Futures Prices

Hitzemann, Steffen - 2016

What is the role of macroeconomic fluctuations and of oil supply shocks for oil prices, volatilities, and risk premia? I analyze this question within a general equilibrium asset pricing framework with an oil sector. The benchmark calibration shows that short-run macroeconomic growth shocks and...

Persistent link: https://www.econbiz.de/10013005759

Learning from Prices : Amplification and Business Fluctuations

Chahrour, Ryan - 2017

We provide a new theory of expectations-driven business cycles in which consumers' learning from prices dramatically alters the effects of aggregate shocks. Learning from prices causes changes in aggregate productivity to shift aggregate beliefs, generating positive price-quantity comovement....

Persistent link: https://www.econbiz.de/10012956266

IQ and Economic Volatility

Hafer, Rik W. - 2018

Do countries with higher levels of national IQ experience less volatility in the growth of real economic output compared with lower-IQ countries? This issue has not been addressed. Using a large sample of countries, a simple bivariate correlation indicates that IQ and economic volatility are...

Persistent link: https://www.econbiz.de/10012916099

Volatility in Catallactical Systems : Austrian Cycle Theory Revisited

Caton, James - 2014

Traditional Austrian cycle theory starts from general equilibrium and explains how an expansion of bank credit unmatched by an expansion of saving can create a cycle of boom-and-bust, and with the bust followed by restoration of normality. In contrast, this paper offers a non-equilibrium...

Persistent link: https://www.econbiz.de/10013052456