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The Short and the Long of It: Stock-Flow Matching in the US Housing Market
Smith, Eric; Xie, Zoe; Fang, Lei - 2022
This paper investigates the US housing market from just before the Great Recession onward (2006-2019) and assesses the viability of stock-flow matching in generating the observed outcomes. The paper documents that the probability a house sells declines sharply after listing for two weeks....
Persistent link: https://www.econbiz.de/10013470294
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Statistical testing of DeMark technical indicators on commodity futures
Lissandrin, Marco; Daly, Donnacha; Sornette, Didier - 2015 - This version: July 2016
In this paper, we examine the performance of three DeMark indicators (Sequential, Combo and Setup trend), which constitute specific implementations of technical analysis often used by practitioners, over twenty-one commodity futures markets and ten years of daily data. Our work addresses price...
Persistent link: https://www.econbiz.de/10011507782
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Connectedness between the Crude Oil Futures and Equity Markets During the Pre- and Post-Financialisation Eras
Wadud, Sania; Durand, Robert B. B.; Gronwald, Marc - 2021
and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price … volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures’ volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after …
Persistent link: https://www.econbiz.de/10013218287
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Growth Expectations, Undue Optimism, and Short-Run Fluctuations
Enders, Zeno; Kleemann, Michael; Müller, Gernot - 2013
We assess the contribution of "undue optimism" (Pigou) to short-run fluctuations. In our analysis, optimism pertains to total factor productivity which determines economic activity in the long run, but is not contemporaneously observed by market participants. In order to recover optimism shocks...
Persistent link: https://www.econbiz.de/10010328714
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Private Debt and GDP: A Short-Run Perspective
Cafiso, Gianluca - 2016
Mainstream economic research regards private debt as a determinant of GDP growth in the longrun. Levine (2005) surveys in details this branch of literature and explains the channels by which debt fuels growth. In this paper we switch the focus from the long to the short-run and study whether...
Persistent link: https://www.econbiz.de/10011584900
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Banking Crises and Boom-Bust Dynamics: Evidence for Italy (1861-2016)
Bartoletto, Silvana; Chiarini, Bruno; Marzano, Elisabetta; … - 2018
step further by integrating the narrative approach with an empirical VAR analysis, distinguishing between slowdown and …
Persistent link: https://www.econbiz.de/10011872029
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Infinite dimensional VARs and factor models
Chudik, Alexander; Pesaran, Mohammad Hashem - 2007
dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …
Persistent link: https://www.econbiz.de/10010276215
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Impulse Response Matching Estimators for DSGE Models
Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - 2016
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …
Persistent link: https://www.econbiz.de/10011431276
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The Loan Puzzle. A Study of Loans to Different Groups in the USA.
Cafiso, Gianluca - 2020
We study loans from banking and non-banking lenders to different groups of borrowers in order to unveil significant differences on how those respond to a shock and evaluate possible alternative explanations for such differences. The objective is to gain insights useful to explain the loan...
Persistent link: https://www.econbiz.de/10012207940
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Is There News in Inventories?
Görtz, Christoph; Gunn, Christopher; Lubik, Thomas A. - 2020
We identify total factor productivity (TFP) news shocks using standard VAR methodology and document a new stylized fact …
Persistent link: https://www.econbiz.de/10012214195