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Mitigating economic volatility : when building efficient financial markets should supersede conventional economic policy
Haque, M. Emranul; Middleditch, Paul; Zhang, Shuonan - In: Journal of government and economics : JGE 8 (2022), pp. 1-14
The choice of instruments for mitigating economic volatility is a serious consideration for policymakers and important question in government and economics. Using a DSGE model with endogenous technology creation, we show that efficient financial markets are more effective than conventional...
Persistent link: https://www.econbiz.de/10014413996
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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
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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 … market index, and the market entropy of the stock market. Such study in the context of stochastic portfolio theory reveals … distribution, which is the lognormal cascade equation in our theory. This shows that the fluctuations of the market index are a …
Persistent link: https://www.econbiz.de/10013159227
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Can Stock Volatility Be Benign? New Measurements and Macroeconomic Implications
Huang, Yu-Fan - 2019
The Great Recession has motivated economists to investigate financial uncertainty shocks as potentially important drivers of economic fluctuations. However, not all of the factors affecting financial uncertainty could cause economic downturns. In this paper, we find non-synchronized...
Persistent link: https://www.econbiz.de/10012900449
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Fundamentals and the winner-loser effect theory and empirical evidence
Külpmann, Mathias - 2000
Persistent link: https://www.econbiz.de/10001474619
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Stock market overreaction and fundamental valuation : theory and empirical evidence
Külpmann, Mathias - 2002
Persistent link: https://www.econbiz.de/10001607573
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Irrational exuberance reconsidered : the cross section of stock returns
Külpmann, Mathias - 2004 - 2. ed.
Persistent link: https://www.econbiz.de/10001755223
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Volume and the Nonlinear Dynamics of Stock Returns
Hsu, Chiente - 1998
This book is about the joint dynamics of stock returns and trading volume. We propose a dynamic equilibrium model in which agents have rational expectations and are heterogeneous in their investment opportunity. The dynamics of stock returns and trading volume implied by the model can explain...
Persistent link: https://www.econbiz.de/10013519390
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Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger; Mittnik, Stefan - 2002
Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine...
Persistent link: https://www.econbiz.de/10009767118