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Trend-Cycle Decomposition of Output and Euro Area Inflation Forecasts : A Real-Time Approach Based on Model Combination

Guérin, Pierre - 2011

, or including a Phillips curve. We then pool the estimates using three weighting schemes. We compute both ex-post and real-time … estimates in real time. Our measures help forecasting inflation over most of our evaluation sample (2001-2010) but fail …

Persistent link: https://www.econbiz.de/10013120226

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

Delle Monache, Davide - 2020

In this paper we develop a general framework to analyze state space models with time-varying system matrices where time … estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship … 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

Stock Return Comovement When Investors are Distracted : More, and More Homogeneous

Ehrmann, Michael - 2020

This paper tests whether fluctuations in investors' attention affect stock return comovement with national and global markets, and which stocks are most affected. We measure fluctuations in investor attention using 59 high-profile soccer matches played during stock market trading hours at the...

Persistent link: https://www.econbiz.de/10012833580

Finance and Diversification

Manganelli, Simone - 2010

We study how financial market efficiency affects a measure of diversification of output across industrial sectors borrowed from the portfolio allocation literature. Using data on sector-level value added for a wide cross section of countries and for various levels of disaggregation, we construct...

Persistent link: https://www.econbiz.de/10013136834

Investment Funds, Risk-Taking, and Monetary Policy in the Euro Area

Giuzio, Margherita; Kaufmann, Christoph; Ryan, Ellen; … - 2021

expansionary monetary policy, this dynamic may give rise to a build-up in liquidity risk over time, leaving the fund sector less …

Persistent link: https://www.econbiz.de/10013324210

On the Inflation Risks Embedded in Sovereign Bond Yields

Camba-Méndez, Gonzalo - 2020

so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging … inflation risks from the perspective of a well diversified portfolio. This allows to disentangle the time-varying compensation …

Persistent link: https://www.econbiz.de/10012830326

A Sensitivities Based CoVaR Approach to Assets Commonality and its Application to SSM Banks

Del Vecchio, Leonardo; Giglio, Carla; Shaw, Frances; … - 2022

One important source of systemic risk can arise from asset commonality among ﬁnancial institutions. This indirect interconnection may occur when ﬁnancial institutions invest in similar or correlated assets and is also described as overlapping portfolios. In this work, we propose a...

Persistent link: https://www.econbiz.de/10014239684

International stock return comovements

Bekaert, Geert; Hodrick, Robert J.; Zhang, Xiaoyan - 2008

We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston- ouwenhorst (1994) model. We...

Persistent link: https://www.econbiz.de/10011604977

Insurers’ Investment Strategies : Pro- or Countercyclical?

Rousová, Linda; Giuzio, Margherita - 2021

Traditionally, insurers are seen as stabilisers of financial markets that act countercyclically by buying assets whose price falls. Recent studies challenge this view by providing empirical evidence of procyclicality. This paper sheds new light on the underlying reasons for these opposing views....

Persistent link: https://www.econbiz.de/10013315359

Richer Earnings Dynamics, Consumption and Portfolio Choice Over the Life Cycle

Gálvez, Julio; Paz Pardo, Gonzalo - 2023

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that allowing for these rich features of earnings dynamics, in the context of a structurally estimated life-cycle portfolio choice model, helps to rationalize the limited participation...

Persistent link: https://www.econbiz.de/10014348942