We present a robust and reliable methodology to calibrate and test the Constant Elasticity of Variance (CEV) model. Precisely, the parameters of the model are estimated by maximum likelihood, and an efficient numerical method to maximize the likelihood function is developed. Furthermore, a...

In this paper, we suggest a similar unit root test statistic for dynamic panel data with fixed effects. The test is based on the LM, or score, principle and is derived under the assumption that the time dimension of the panel is fixed, which is typical in many panel data studies. It is shown...

Claimants to SIFIs receive transfers when governments are forced into bailouts. Ex ante, the bailout expectation lowers daily funding costs. This funding cost differential reflects both the structural level of the government support and the time-varying market valuation for such a support. With...

We create a network of bilateral correlations of changes in sovereign bond yields and individual bank equity price changes since 2000. We extract some stylized facts from this network of asset price correlations and document the clear differences in asset price correlations between safe havens...

News - or foresight - about future economic fundamentals can create rational expectations equilibria with non-fundamental representations that pose substantial challenges to econometric efforts to recover the structural shocks to which economic agents react. Using tax policies as a leading...

The interaction between stock market and monetary variables in Pakistan using monthly data for the last 20 years is examined. The Johansen co-integration approach is utilised to examine the equilibrium relationship between the stock price index, money supply, interest rates and a foreign...

The recent financial crisis has demonstrated in an impressive way that boom/bust cycles can have devastating effects on the real economy. This paper aims at contributing to the literature on early warning indicator exercises for asset price booms. Using a sample of 17 industrialized OECD...

This paper investigates the relationship between reel macroeconomic variables and stock prices in Turkey. Consumption expenditures, industrial production index, employment level and fixed investments are used as indicators of real economic activity and consumption price index as an indicator of...

We study fluctuations in stock prices using a framework derived from the present value model augmented with a macroeconomic factor. The fundamental value is derived as the expected present discounted value of broad dividends that include, in addition to traditional cash dividends, other payouts...

Understanding and measuring the relative roles of different causal channels between commodity prices and exchange rates has important implications in financial decision making, especially for market participants with short horizons. From a macroeconomic perspective, this can also be useful for...