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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

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

Interpreting volatility shocks as preference shocks

Xu, Shaofeng - 2016

This paper examines the relationship between volatility shocks and preference shocks in an analytically tractable endogenous growth model with recursive preferences and stochastic volatility. I show that there exists an explicit mapping between volatility shocks and preference shocks, and a rise...

Persistent link: https://www.econbiz.de/10011539713

Output Volatility of Five Crisis-Affected East Asia Economies

Li, Kui-Wai - 2012

A decade has passed since the Asian Financial Crisis (AFC) in 1997, and attention is drawn to the output performance of the crisis-affected economies in East Asia. Using the Hodrick-Prescott filter, this paper examines the growth volatility of GDP, its components and the stock market of five...

Persistent link: https://www.econbiz.de/10013116757

Volatility Forecasting and the Business Cycle : Evidence from the European Monetary Union

Schwake, Daniel - 2011

Using a recursive modeling approach and data from the Euro area, the following paper analyzes the counter-cyclicity, stock price volatility is believed to demonstrate with respect to the state of the economy. It further tests whether such interdependence is exploitable for volatility...

Persistent link: https://www.econbiz.de/10013125603

Monetary Policy, Output Composition and the Great Moderation

Mojon, Benoit - 2007

This paper shows how US monetary policy contributed to the drop in the volatility of US output fluctuations and to the decoupling of household investment from the business cycle. I estimate a model of household investment, an aggregate of non durable consumption and corporate sector investment,...

Persistent link: https://www.econbiz.de/10012729657

Learning and the Great Moderation

Bullard, James - 2007

We study a stylized theory of the volatility reduction in the U.S. after 1984 - the Great Moderation - which attributes part of the stabilization to less volatile shocks and another part to more difficult inference on the part of Bayesian households attempting to learn the latent state of the...

Persistent link: https://www.econbiz.de/10012729810

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