Showing 1 - 10 of 66
We discuss the use of event studies in macroeconomics and finance, arguing that many important macro-finance questions can only be answered using event studies with high-frequency financial market data. We provide a broad picture of the use of event studies, along with their limitations. As...
Persistent link: https://www.econbiz.de/10011084634
We study high-frequency exchange rate movements over the sample 1993-2007. We document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S. dollar when (a) S&P has negative returns; (b) U.S. bond prices increase; and (c) when currency markets become more...
Persistent link: https://www.econbiz.de/10005791215
This Paper proposes a structural time series model for the intra-day price dynamics of fragmented financial markets. We generalize the structural model of Hasbrouck (1993) to a multivariate setting. We discuss identification issues and propose a new measure for the contribution of each market to...
Persistent link: https://www.econbiz.de/10005791339
and their implementation, payment systems and private market structures) and its implications for intraday volatility …, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right … volatility and no signs of market power or adverse selection. Spreads and volatility were high at the end of the reserve …
Persistent link: https://www.econbiz.de/10005123983
The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting...
Persistent link: https://www.econbiz.de/10011276387
Large fluctuations in energy prices have been a distinguishing characteristic of the U.S. economy since the 1970s. Turmoil in the Middle East, rising energy prices in the U.S. and evidence of global warming recently have reignited interest in the link between energy prices and economic...
Persistent link: https://www.econbiz.de/10005504581
If labour market policies aimed at people with disabilities are effective, we should observe no significant difference in labour market outcomes between disabled and non-disabled individuals. This Paper examines the impact of disability status on labour market outcomes using matching methods...
Persistent link: https://www.econbiz.de/10005498136
Using a newly developed measure of global real economic activity, a structural decomposition of the real price of crude oil in four components is proposed: oil supply shocks driven by political events in OPEC countries; other oil supply shocks; aggregate shocks to the demand for industrial...
Persistent link: https://www.econbiz.de/10005662193
institutional measures. We establish the double causality between institutional strength and a more equal distribution of income and …
Persistent link: https://www.econbiz.de/10005124033
This paper reexamines U.S. business cycle volatility since 1867. We employ dynamic factor analysis as an alternative to … reconstructed national accounts. We find a remarkable volatility increase across World War I, which is reversed after World War II …
Persistent link: https://www.econbiz.de/10005504432