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COVID-19 and instability of stock market performance : evidence from the U.S.

Hong, Hui; Bian, Zhicun; Lee, Chien-chiang - In: Financial innovation : FIN 7 (2021), pp. 1-18

The effect of COVID‑19 on stock market performance has important implications for both financial theory and practice. This paper examines the relationship between COVID‑19 and the instability of both stock return predictability and price volatility in the U.S over the period January 1st,...

Persistent link: https://www.econbiz.de/10012494993

Long memory in the energy consumption by source of the United States: fractional integration, seasonality effect and structural breaks

Adekoya, Oluwasegun B. - In: Estudios de economía 47 (2020) 1, pp. 31-48

In this paper, long memory behavior of the energy consumption by source of the United States has been examined using the fractional integration technique for the three conventional cases of no regressors, an intercept, and an intercept and a linear trend. In addition, this study extends majority...

Persistent link: https://www.econbiz.de/10012268193

Testing for a structural break in a spatial panel model

Sengupta, Aparna - In: Econometrics : open access journal 5 (2017) 1, pp. 1-17

We consider the problem of testing for a structural break in the spatial lag parameter in a panel model (spatial autoregressive). We propose a likelihood ratio test of the null hypothesis of no break against the alternative hypothesis of a single break. The limiting distribution of the test is...

Persistent link: https://www.econbiz.de/10011654172

The present value model of U.S. stock prices revisited : long-run evidence with structural breaks, 1871-2012

Esteve García, Vicente; Navarro Ibáñez, Manuel; … - 2017

According to several empirical studies, the Present Value model fails to explain the behaviour of stock prices in the long-run. In this paper, the authors consider the possibility that a linear cointegrated regression model with multiple structural changes would provide a better empirical...

Persistent link: https://www.econbiz.de/10011745419

A Test for Structural Change in Markov-Switching Models : Has the U.S. Economy Become More Stable?

Kim, Chang-Jin; Nelson, Charles R. - 1999

We develop a Bayesian test for structural change at an unknown changepoint in Markov-switching models. Unlike the usual Bayesian treatment of the unknown changepoint problem in the literature, we cast the problem into a `model selection' framework. This is done by adopting a prior for the shift...

Persistent link: https://www.econbiz.de/10014203409

A Structural Break in U.S. GDP?

DeJong, David N.; Liesenfeld, Roman; Richard, Jean-Francois - 2003

The volatility of growth in U.S. real GDP declined dramatically in the mid-1980s. Viewed through the lens of linear autoregressive models, this phenomenon appears to be the result of a structural break in the innovation process that drives GDP fluctuations. We present an alternative model that...

Persistent link: https://www.econbiz.de/10014076095

US house prices by census division : persistence, trends and structural breaks

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022

This paper uses fractional integration methods to examine persistence, trends and structural breaks in US house prices, more specifically the monthly Federal Housing Finance Agency (FHFA) House Price Index for Census Divisions, and the US as a whole over the period from January 1991 to August...

Persistent link: https://www.econbiz.de/10013472362

The long-term earnings' effects of a credit market disruption

Adamopoulou, Effrosyni; De Philippis, Marta; Sette, Enrico - 2023

This paper studies the long-term consequences on firms and workers of the credit crunch triggered by the 2007-2008 global financial crisis. Relying on a unique matched bank-employer-employee administrative dataset, we construct a firm-specific credit supply shock and examine firms’ and...

Persistent link: https://www.econbiz.de/10014440036

Forecasting employment for Germany

Hinz, Darius; Logeay, Camille - 2006 - First Version: November 2004, This version: January 9, 2006

This paper deals with the estimation of employment equations for Germany, which are to be used for forecasting and … studies for West Germany and Germany, respectively. The authors find that the elasticity of employment with respect to output … is robustly estimated and can therefore be restricted to one. The elasticity of employment with respect to the real wage …

Persistent link: https://www.econbiz.de/10003744528

Hours worked in Europe and the US : new data, new answers

Bick, Alexander; Brüggemann, Bettina; … - 2016

Western Europe, but by lower employment rates in Eastern and Southern Europe. …

Persistent link: https://www.econbiz.de/10011524624