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Electronic transactions as high-frequency indicators of economic activity

Galbraith, John W. (contributor); Tkacz, Greg (contributor) - 2007

or quarterly data supplied by central statistical agencies for macroeconomic modelling and forecasting. However …

Persistent link: https://www.econbiz.de/10003641311

Tackling the volatility paradox: spillover persistence and systemic risk

Kubitza, Christian - 2021 - This version: April 13, 2021

This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by exploring a novel dimension of systemic risk: loss...

Persistent link: https://www.econbiz.de/10012499703

A structural approach to identify financial transmission in distinguished scenarios of crises

Herwartz, Helmut; Roestel, Jan - 2018

This paper investigates the propagation of instability through key asset markets of the US financial system - equity, real estate, banking and treasury - between 1/3/2000 and 12/26/2014. For this purpose, we develop an identification method to uncover characteristic financial market...

Persistent link: https://www.econbiz.de/10011903210

A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises

Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016

In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...

Persistent link: https://www.econbiz.de/10011441491

The impact of financial crises on the risk-return tradeoff and the leverage effect

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - 2012

We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk-return tradeoff and the leverage effect. We apply the fractionally integrated exponential GARCH-in-mean (FIEGARCH-M) model for daily stock return data, which includes both features and...

Persistent link: https://www.econbiz.de/10009536502

Financial conditions and density forecasts for US output and inflation

Alessandri, Piergiorgio; Mumtaz, Haroon - In: Review of economic dynamics 24 (2017), pp. 66-78

Persistent link: https://www.econbiz.de/10011847185

Financial instability and economic activity

Fortin, Ines; Hlouskova, Jaroslava; Sögner, Leopold - 2021

negative impact on the economic variables for the euro area. We also perform a forecasting analysis, where we assess the merits … of uncertainty indicators for forecasting industrial production, employment and the stock market, using different … models including the original financial uncertainty index in terms of forecasting. …

Persistent link: https://www.econbiz.de/10012792745

Economic Policy Uncertainty and the Volatility of Sovereign CDS Spreads

Raunig, Burkhard - 2018

Multipliers estimated for sixteen major economies predict that 1% more economic policy uncertainty (EPU) produces about 0.3% - 0.8% more sovereign CDS volatility. The impact of EPU is strong but short-lived. US EPU is an important additional source of CDS volatility for European countries,...

Persistent link: https://www.econbiz.de/10013370136

Dynamic Co-Movements of Stock Market Returns, Implied Volatility and Policy Uncertainty

Antonakakis, Nikolaos - 2014

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions

Persistent link: https://www.econbiz.de/10013058577

Measuring Economic Policy Uncertainty

Baker, Scott R. - 2014

Many commentators argue that uncertainty about tax, spending, monetary and regulatory policy slowed the recovery from the 2007-2009 recession. To investigate this we develop a new index of economic policy uncertainty (EPU), built on three components: the frequency of newspaper references to...

Persistent link: https://www.econbiz.de/10013064762

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