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Monetary Policy and Stock Market Boom-Bust Cycles

Christiano, Lawrence J.; Ilut, Cosmin L.; Motto, Roberto; … - 2021

, a monetized version of the model which stresses sticky wages and a Taylor-rule based monetary policy naturally generates … growth into monetary policy may result in improved performance. We discuss the robustness of our analysis to alternative …

Persistent link: https://www.econbiz.de/10013316465

The Political Economy Under Monetary Union : Has the Euro Made a Difference?

Fratzscher, Marcel; Stracca, Livio - 2021

policy autonomy in several areas, such as monetary policy and fiscal policy. The paper shows that EMU has helped reduce the …Economic and Monetary Union (EMU) has transformed Europe and has created an integrated pan-European economy. Much … political economy channel of EMU as the monetary union implies that member states had to transfer or at least curtail their …

Persistent link: https://www.econbiz.de/10013316460

Monetary and Fiscal Complementarity in the Covid-19 Pandemic

Chadha, Jagjit; Corrado, Luisa; Meaning, Jack; Schuler, … - 2021

In response to the coronavirus (Covid-19) pandemic, there has been a complementary approach to monetary and fiscal … lending costs and amplified the impact of supportive fiscal policies. We then run a counterfactual analysis which suggests …

Persistent link: https://www.econbiz.de/10013210564

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

Growth Strategies and Value Creation : What Works Best for Stock Exchanges?

Hasan, Iftekhar - 2010

In recent years, demutualized stock exchanges have been increasingly engaging in M&A and alliance activities. To examine the effect of these growth strategies on exchange shareholders' value creation, we focus on 14 public stock exchanges and investigate their short-run share price responses to...

Persistent link: https://www.econbiz.de/10013143336

Learning From Experience in the Stock Market

Nakov, Anton - 2011

We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...

Persistent link: https://www.econbiz.de/10013119137

Stock Market Firm-Level Information and Real Economic Activity

Di Mauro, Filippo - 2011

We provide evidence that changes in the equity price and volatility of individual firms (measures that approximate the definition of 'granular shock' given in Gabaix, 2010) are key to improve the predictability of aggregate business cycle fluctuations in a number of countries. Specifically,...

Persistent link: https://www.econbiz.de/10013121824

The Stock Market Reaction to the 2005 Non-Tradable Share Reform in China

Beltratti, Andrea - 2011

During 2005-2006, the Chinese government implemented a reform aimed at eliminating the so-called non-tradable shares (NTS) typically held by the State or by politically connected institutional investors that were issued at the early stage of financial market development. Our analysis, based on...

Persistent link: https://www.econbiz.de/10013125357

The VIX, the Variance Premium and Stock Market Volatility

Bekaert, Geert - 2014

We decompose the squared VIX index, derived from US S&P500; options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then...

Persistent link: https://www.econbiz.de/10013054678

The Stock Market Effects of a Securities Transaction Tax : Quasi-Experimental Evidence from Italy

Cappelletti, Giuseppe - 2016

We study the effects on the stock market of a securities transaction tax (STT). In particular, we focus on the recent introduction of a STT in Italy. Indeed, a peculiarity of the Italian STT is that it only concerns stocks of corporations with a market capitalization above 500 million euros. We...

Persistent link: https://www.econbiz.de/10012984218