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Fear of Crashes and Over-Reaction to Bad Shocks
Cujean, Julien; Hasler, Michael - National Centre of Competence in Research - Financial … - 2011
Our purpose is to show how large difference of beliefs induced by fear of crashesis amenable to large and persistent price responses to contemporaneous shocks. Weconstruct a pure exchange economy populated by two agents who estimate strictlydifferent models regarding the fundamental. In...
Persistent link: https://www.econbiz.de/10009486814
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Financial Markets Equilibrium with Heterogeneous Agents
Cvitanić, Jakša; Jouini, Elyès; Malamud, Semyon; … - National Centre of Competence in Research - Financial … - 2011
This paper presents an equilibrium model in a pure exchange economywhen investors have three possible sources of heterogeneity. Investorsmay differ in their beliefs, in their level of risk aversion andin their time preference rate. We study the impact of investors heterogeneityon equilibrium...
Persistent link: https://www.econbiz.de/10009486816
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Weighted Maximum Likelihood for Risk Prediction
Steude, Sven C. - National Centre of Competence in Research - Financial … - 2011
proposed. Weights are derived from external variables thatconvey additional information about the true DGP, like trading volume …
Persistent link: https://www.econbiz.de/10009486847
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Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News
Bajgrowicz, Pierre; Scaillet, Olivier - National Centre of Competence in Research - Financial … - 2011
We propose a technique to avoid spurious detections of jumps in highfrequencydata via an explicit thresholding on available test statistics. Weprove that it eliminates asymptotically all spurious detections. MonteCarlo results show that it performs also well in finite samples. In DowJones...
Persistent link: https://www.econbiz.de/10009486851
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Information Percolation in Segmented Markets
Duffie, Darrell; Malamud, Semyon; Manso, Gustavo - National Centre of Competence in Research - Financial … - 2010
information. Over time, agents are privatelyinformed by bids and offers. Investors are segmented into groups that differ … withrespect to characteristics determining information quality, including initial infor-mation precision as well as market … “connectivity,” the expected frequency of theirtrading opportunities. Investors with superior information sources attain …
Persistent link: https://www.econbiz.de/10009522183
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House Price Dynamics and Dispersed Information
Favara, Giovanni; Song, Zheng - National Centre of Competence in Research - Financial … - 2010
We use a user-cost model to study how dispersed information among housing marketparticipants a¤ects the equilibrium … speculate onprice changes. Information dispersion leads agents to have heterogeneous expectationsabout housing demand and prices …
Persistent link: https://www.econbiz.de/10009522191
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Market Indicators, Bank Fragility, and Indirect Market Discipline
Gropp, Reint; Vesala, Jukka; Vulpes, Giuseppe - European Central Bank; UniCredit Group <Milano> - 2004
reflect contemporaneous information about bank riskin the United States and in Europe.2 In our study, we firstexamine the …
Persistent link: https://www.econbiz.de/10005869753
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Remarks on the Measurement, Valuation, and Reporting of Intangible Assets
Baruch, Lev - Leonard N. Stern School of Business <New York, NY> / … - 2003
informationabout these assets. Even worse, much of the information that isprovided is partial, inconsistent, and confusing, leading … financial information insist upon improvements tocorporate reporting. …
Persistent link: https://www.econbiz.de/10005869772
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Leading Economic Indexes for New York State and New Jersey
Orr, James; Rich, Robert; Rosen, Rae - Federal Reserve Bank <New York, NY> - 2001
[...]This article describes a method by which we may moreaccurately predict regional economic activity. Specifically, wedevelop an index of leading economic indicators (LEI) forNew York State and for New Jersey over the 1972-99 period.We extend our earlier work (Orr, Rich, and Rosen 1999),...
Persistent link: https://www.econbiz.de/10005869901
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Formation of Fiscal Policy: The Experience of the Past Twenty-Five Years
Auerbach, Alan J. - University of California <Berkeley, Calif.> / Berkeley … - 2000
[...]With fiscal affairs apparently in order—at least in the shortrun—and with some perspective on the past twenty-five years’economic performance, we are in a position to ask how well thebudget process has worked to produce a coherent andresponsive fiscal policy, particularly given the...
Persistent link: https://www.econbiz.de/10005870023