Showing 1 - 10 of 200
This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED … most susceptible to positive volatility spillovers from both the FED and ECB in terms of magnitude. Positive volatility … about ten. By contrast, we find that EME stock markets are subject to negative volatility spillovers. Moreover, we find only …
Persistent link: https://www.econbiz.de/10012958440
We assess whether the euro had an impact first on the degree of integration of European financial markets, and, second, on the euro area term structure. We propose two methodologies to measure integration: one relies on time-varying GARCH correlations, and the other one on a regression...
Persistent link: https://www.econbiz.de/10011604644
This paper empirically analyzes the political, institutional and economic sources of public deficit volatility. Using … show that higher public deficit volatility is typically associated with higher levels of political instability and less … democracy. In addition, public deficit volatility tends to be magnified for small countries, in the outcome of hyper …
Persistent link: https://www.econbiz.de/10011605088
aggregate output across industrial sectors which minimize the economy’s long-term volatility for a given level of long …
Persistent link: https://www.econbiz.de/10011605305
. It shows that similar press releases generate less market volatility, but that more substantial textual changes after a … sequence of very similar statements lead to much larger volatility …
Persistent link: https://www.econbiz.de/10012962430
We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions traders demand more liquidity...
Persistent link: https://www.econbiz.de/10012963014
following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …
Persistent link: https://www.econbiz.de/10012956251
We provide a new theory of expectations-driven business cycles in which consumers' learning from prices dramatically alters the effects of aggregate shocks. Learning from prices causes changes in aggregate productivity to shift aggregate beliefs, generating positive price-quantity comovement....
Persistent link: https://www.econbiz.de/10012956266
-varying consumption volatility risk is essential for obtaining the inversion of the real curve and allows to price the average level and …
Persistent link: https://www.econbiz.de/10012921898
We assess the quantitative implications of collateral re-use on leverage, volatility, and welfare within an infinite … used to back more transactions. Re-use thus contributes to the buildup of leverage and significantly increases volatility … in financial markets. When introducing limits on re-use, we find that volatility is strictly decreasing as these limits …
Persistent link: https://www.econbiz.de/10012906352