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March 2020 packed 2 ½ years of normal U.S. stock market volatility into one month, making it the most volatile month on record. Daily variability clocked in at 6%, six times higher than the average over the past 90 years. How should an investor respond to such volatility? In this article we...
Persistent link: https://www.econbiz.de/10012832242
How do financial markets switch from states of optimism to pessimism and vice versa? Given that a financial market is currently stable, what is the probability that it will become unstable and crash? We answer those questions in the context of a natural experiment with risk sources of...
Persistent link: https://www.econbiz.de/10013227151
This paper deals with three aspects of spectacular oil price episodes such as the one witnessed in 2008. First, the concept of temporary explosiveness is proposed as an empirical method for capturing this type of behavior. The application of a recently proposed recursive unit root test shows...
Persistent link: https://www.econbiz.de/10009786017
We study general equilibrium asset prices in a multi-period endowment economy when agents' risk aversion is allowed to depend on the maturity of the risk. We find horizon-dependent riskaversion preferences generate a decreasing term structure of risk premia if and only if volatility is...
Persistent link: https://www.econbiz.de/10010439624
The impact of exchange rate uncertainty on international trade has been discussed controversially in economic policy … the influence of exchange rate uncertainty on trade, conclude that exchange rate uncertainty has a negative impact on the … assumptions in order to better reflect reality, these extended modeis show that under certain conditions exchange rate uncertainty …
Persistent link: https://www.econbiz.de/10010275374
fundamentalists and chartists co-exist and are subject to regret and uncertainty. We find significant evidence that energy markets are … composed by heterogeneous traders which behave differently depending on the intensity of the price fluctuations and uncertainty …
Persistent link: https://www.econbiz.de/10013064133
This paper derives two new improved risk metrics LAPVaR and LAPSF. Traditional VaRDeltaNormal valuation exaggerates market and liquidity risks to the point it could be larger than the actual portfolio value. Put VaR – PVaR – as well as Put Shortfall – PSF – uses option theory to solve...
Persistent link: https://www.econbiz.de/10012962743
Purpose: We investigate the nature and degree of US economic policy uncertainty spillover on the stock markets of a … to explore the nature and degree of US economic policy uncertainty spillover on the stock markets of the GCC countries ….Findings: We find that an unexpected increase in the US economic policy uncertainty significantly decreases the stock market index …
Persistent link: https://www.econbiz.de/10012894253
uncertainty shocks stemming from geopolitical swings in South Korea. We construct robust instrumental variables for examining the … variations in uncertainty due to geopolitical swings by observing high-frequency changes in financial asset returns and their … uncertainty has a negative (positive) impact on macroeconomic outcomes in South Korea. We provide evidence that financial and …
Persistent link: https://www.econbiz.de/10012898238
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the investor …
Persistent link: https://www.econbiz.de/10012972859