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existence of risk-shifting behaviour by reserve managers related to their year-to-date ranking: interim losers increase relative … risk in the second half of the year, in the same way as mutual fund managers. In the dollar case, risk-shifting is … by portfolio turnover. We also find that reserve managers who ranked low in the previous year tend to reduce risk …
Persistent link: https://www.econbiz.de/10011605423
existence of risk-shifting behaviour by reserve managers related to their year-to-date ranking: interim losers increase relative … risk in the second half of the year, in the same way as mutual fund managers. In the dollar case, risk-shifting is … by portfolio turnover. We also find that reserve managers who ranked low in the previous year tend to reduce risk …
Persistent link: https://www.econbiz.de/10013315986
This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...
Persistent link: https://www.econbiz.de/10013231373
This paper explores how changes in macroeconomic uncertainty have affected the decision to participate in the European Central Bank's Survey of Professional Forecasters. Two different approaches are employed in order to address this question. First, a time-series analysis explores if changes in...
Persistent link: https://www.econbiz.de/10013020645
Using micro data from the 2015 Dutch CentERpanel, we examine whether trust in the European Central Bank (ECB) influences individuals' expectations and uncertainty about future inflation, and whether it anchors inflation expectations. We find that higher trust in the ECB lowers inflation...
Persistent link: https://www.econbiz.de/10012841204
Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …
Persistent link: https://www.econbiz.de/10012422114
This paper focuses on the role of real exchange rate volatility as a driver of portfolio home bias, and in particular as an explanation for differences in home bias across financial assets. We present a Markowitz-type portfolio selection model in which real exchange rate volatility induces a...
Persistent link: https://www.econbiz.de/10011604731
finds that common shocks – key crisis events as well as changes to global liquidity and risk – have exerted a large effect …, country risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that …
Persistent link: https://www.econbiz.de/10011605410
This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over … estimating how risk sharing has evolved since the start of the EMU, and in particular during the recent crisis. Our results …
Persistent link: https://www.econbiz.de/10012920112
particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other … funds has affected the probability of fund failure. We find that risk spillover is significantly related to the failure … within the same investment style are adversely affected through both channels of risk spillover. In addition, we find that …
Persistent link: https://www.econbiz.de/10013154957