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Extreme Correlation of International Equity Markets

Longin, François; Solnik, Bruno H - C.E.P.R. Discussion Papers - 2000

Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise … and misleading results have often been reported in the past because of a spurious relationship between correlation and … volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or …

Persistent link: https://www.econbiz.de/10005504611

The Supermodular Stochastic Ordering

Meyer, Margaret A; Strulovici, Bruno - C.E.P.R. Discussion Papers - 2013

In many economic applications involving comparisons of multivariate distributions, supermodularity of an objective function is a natural property for capturing a preference for greater interdependence. One multivariate distribution dominates another according to the `supermodular stochastic...

Persistent link: https://www.econbiz.de/10011083601

Governance and Comovement Under Common Ownership

Edmans, Alex; Levit, Doron; Reilly, Devin - C.E.P.R. Discussion Papers - 2014

derive empirical predictions for the direction of correlation and for whether governance is stronger or weaker with multiple …

Persistent link: https://www.econbiz.de/10011084086

Increased Correlation in Bear markets: A Downside Risk Perspective

Campbell, Rachel; Koedijk, Kees; Kofman, Paul - C.E.P.R. Discussion Papers - 2002

A number of studies have provided evidence of increased correlation in global financial market returns during bear … implied correlation based on portfolio downside risk measures that does not suffer from this bias. These unbiased quantile … correlation estimates are directly applicable to portfolio optimization and to risk management techniques in general. This simple …

Persistent link: https://www.econbiz.de/10005124110

On the Selection of Forecasting Models

Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2003

It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean squared error (PMSE) in simulated out-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information criteria (IC). We compare the asymptotic and...

Persistent link: https://www.econbiz.de/10005504404

Dualism and Cross-Country Growth Regressions

Temple, Jonathan; Woessmann, Ludger - C.E.P.R. Discussion Papers - 2006

This paper develops empirical growth models suitable for dual economies, and studies the relationship between structural change and economic growth. Structural change matters because, if the marginal product of labour varies across sectors, changes in the structure of employment can raise...

Persistent link: https://www.econbiz.de/10005504477

Optimal Speed of Transition 10 Years After

Boeri, Tito - C.E.P.R. Discussion Papers - 2000

The adjustment of labour markets during transition has been quite different from that anticipated by the Optimal Speed of Transition (OST) literature. In particular, it has involved stagnant unemployment pools, large flows to inactivity and strikingly low workers' mobility especially when...

Persistent link: https://www.econbiz.de/10005498036

The origins of the German current account surplus: Unbalanced productivity growth and structural change

Coricelli, Fabrizio; Ravasan, Farshad R; Wörgötter, … - C.E.P.R. Discussion Papers - 2013

The surge in the German current account surplus in the 2000s is often interpreted as the result of efficiency-enhancing structural reforms, especially in the labor market. However, this interpretation is puzzling because the growth rate of the German economy has been one of the lowest in the...

Persistent link: https://www.econbiz.de/10011083287

Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters

Inoue, Atsushi; Jin, Lu; Rossi, Barbara - C.E.P.R. Discussion Papers - 2014

While forecasting is a common practice in academia, government and business alike, practitioners are often left wondering how to choose the sample for estimating forecasting models. When we forecast inflation in 2014, for example, should we use the last 30 years of data or the last 10 years of...

Persistent link: https://www.econbiz.de/10011083425

Economic Transition and Private-Sector Labor Demand: Evidence from Urban China

Iyer, Lakshmi; Meng, Xin; Qian, Nancy; Zhao, Xiaoxue - C.E.P.R. Discussion Papers - 2014

This paper studies the policy determinants of economic transition and estimates the demand for labor in the infant private sector in urban China. We show that a reform that untied access to housing in urban areas from working for the state sector accounts for more than a quarter of the overall...

Persistent link: https://www.econbiz.de/10011084427