There is a widespread belief that the US subprime mortgage crisis has escalated into a full-blown current global financial crisis and that many economies throughout the world have been hit by it. Using a test of financial market stability, this article shows the varying degree of impact...

Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a simple heterogeneous agent model of fundamentalists and...

Numerous reports have noted that the IMF`s medium-term growth projections are overly optimistic, raising questions as to how these can be improved. To this end, we estimate a growth model and examine its out-of-sample forecasting properties relative to those of IMF projections. The model`s...

Following the methodology of Chen, Ross, and Roll (1986), we analyze a multi-factor model to explain excess returns of different industry sectors using US-Data 1959-2006. In addition to the market index, we use two macroeconomic factors (industry and consumption growth) to capture different...

This paper proposes a new method of forecasting euro area quarterly real GDP that uses areawide indicators, which are derived by optimally pooling the information contained in national indicator series. Following the ideas of predictive modeling, we construct the area-wide indicators by...

This paper explores whether the cost channel solves the price puzzle. We set-up a New Keynesian DSGE model and estimate it for the euro area by adopting a minimum distance approach. Our findings suggest that - under certain parameter restrictions which are not rejected by the data - the cost...

Little is known of the effects of the auction mechanism in relation to post-auction market sales. This empirical study of unsuccessful auctions shows that approximately half of these properties were eventually sold via private negotiations, at higher prices relative to last bids. The probability...

This paper combines a monetary structural vector-autoregression (SVAR) with a fiscal SVAR for Poland. Fiscal foresight, in the form of implementation lags, is accounted for with respect to both discretionary government spending and tax changes. We demonstrate the importance of combining monetary...

Realized returns comprise (ex-ante) expected returns plus (ex-post) innovations, and consequently both expected returns and returns innovations can be broken down into components reflecting fluctuations in cash flow (CF) and discount rate (DR). I use a present-value model to identify the CF and...

The literature contrasting structural and experimental econometrics highlights that stronger assumptions are required to identify direct effects than total effects. This paper examines the additional assumptions required to predict future experience using either type of causal effect identified...