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Contagion from Market Price Impact : A Price-at-Risk Perspective

Fukker, Gábor; Kaijser, Michiel; Mingarelli, Luca; … - 2022

holdings under a severe stress scenario. As a result, we show how the bias of more homogeneous estimation techniques, commonly …

Persistent link: https://www.econbiz.de/10013403723

Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model

Delle Monache, Davide - 2020

estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship … between the price dividend ratio, expected stock returns and expected dividend growth in the US since 1880. We find a … significant increase in the long-run equilibrium value of the price dividend ratio over time, associated with a fall in the long …

Persistent link: https://www.econbiz.de/10012842441

Booms and Busts in China’s Stock Market : Estimates Based on Fundamentals

Bondt, Gabe J. de; Peltonen, Tuomo; Santabárbara, Daniel - 2021

This paper empirically models China’s stock prices using conventional fundamentals: corporate earnings, risk-free interest rate, and a proxy for equity risk premium. It uses the estimated longrun stock price misalignments to date booms and busts, and analyses equity market reforms and excess...

Persistent link: https://www.econbiz.de/10013316212

The Predictive Content of Sectoral Stock Prices : A US-Euro Area Comparison

Andersson, Magnus - 2011

This paper examines the out‐of‐sample forecast performance of sectoral stock market indicators for real GDP, private …

Persistent link: https://www.econbiz.de/10013125196

Contagion from market price impact: A price-at-risk perspective

Fukker, Gábor; Kaijser, Michiel; Mingarelli, Luca; … - 2022

holdings under a severe stress scenario. As a result, we show how the bias of more homogeneous estimation techniques, commonly …

Persistent link: https://www.econbiz.de/10014278196

The Uncovered Return Parity Condition

Cappiello, Lorenzo; De Santis, Roberto A. - 2021

This paper proposes an equilibrium relationship between expected exchange rate changes and differentials in expected returns on risky assets. We show that when expected returns on a risky asset in a certain economy are higher than the returns that are expected from investing in a risky asset in...

Persistent link: https://www.econbiz.de/10013316864

A High Frequency Assessment of the ECB Securities Markets Programme

Ghysels, Eric - 2014

Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the...

Persistent link: https://www.econbiz.de/10013059119

Assessing Asset Purchases within the ECB’s Securities Markets Programme

Eser, Fabian - 2013

We assess the yield impact of asset purchases within the ECB's Securities Markets Programme in five euro area sovereign bond markets during 2010-11. Identification is non-trivial and based on time series panel data regression on predetermined purchases and control covariates. In addition to...

Persistent link: https://www.econbiz.de/10013077031

Competition Among High-Frequency Traders, and Market Quality

Breckenfelder, Johannes - 2019

We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...

Persistent link: https://www.econbiz.de/10012868588

Putting the New Keynesian DSGE Model to the Real-Time Forecasting Test

Kolasa, Marcin - 2009

Dynamic stochastic general equilibrium models have recently become standard tools for policy-oriented analyses. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real-time forecasts from a richly-specified DSGE model to those from...

Persistent link: https://www.econbiz.de/10013155104