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Pricing protest : the response of financial markets to social unrest
Barrett, Philip; Bondar, Mariia; Chen, Sophia; … - 2021
Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....
Persistent link: https://www.econbiz.de/10012518928
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Stock Market Response to Unexpected Macroeconomic News : The Australian Evidence
Sadeghi, Mahdi - 1992
This paper provides empirical evidence on the relationship between unexpected changes in macroeconomic variables and Australian stock returns over the period 1980-1991. The results suggest that stock returns are positively correlated with any surprise news in the current account deficit, the...
Persistent link: https://www.econbiz.de/10014396377
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Hang in there : stock market reactions to withdrawals of COVID-19 stimulus measures
Chan-Lau, Jorge A.; Zhao, Yunhui - 2020
The COVID-19 pandemic prompted unprecedented economic stimulus worldwide. We empirically examine the impact of a withdrawal of fiscal stimulus policies on the stock markets. After constructing a database of withdrawal events, we use event study analysis and cross-country regressions to assess...
Persistent link: https://www.econbiz.de/10012486103
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Macroeconomic News and Stock Returns in the United States and Germany
Funke, Norbert - 2002
Using daily data for the January 1997 to June 2002 period, we analyze the impact of a broad set of macroeconomic news on stock prices in the United States and Germany. With GARCH specifications we test five hypotheses and find that news on real economic activity has a significant impact on stock...
Persistent link: https://www.econbiz.de/10014399615
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In search of lost time : examining the duration of sudden stops in capital flows
David, Antonio C.; Gonçalves, Carlos Eduardo Soares - 2019
This paper investigates what factors affect the duration of sudden stops in capital flows using quarterly data for a … sudden stop state by between 50 to 80 percent. Flexible exchange rate regimes significantly shorten the duration of output … decelerations following sudden stops by over 30 percent. Positive variations in terms of trade also abbreviate the duration of …
Persistent link: https://www.econbiz.de/10012154578
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Can Institutional Reform Reduce Job Destruction and Unemployment Duration? : Yes it Can
Pérez Ruiz, Esther - 2012
We read search theory's unemployment equilibrium condition as an Iso-Unemployment Curve(IUC).The IUC is the locus of … along the curve reveals its preferences over the destruction-duration mix, while its distance from the origin indicates the …
Persistent link: https://www.econbiz.de/10014412162
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Search Unemployment with Advance Notice
Garibaldi, Pietro - 1998
This paper proposes and solves a search model in which job separation requires mandatory notice. When jobs are subject to idiosyncratic uncertainty, firms would issue advance notice even with good business conditions. We show that such precautionary policy is not pursued if it entails...
Persistent link: https://www.econbiz.de/10014400716
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Responses of the Stock Market to Macroeconomic Announcements Across Economic States
Hu, Frederick Zu-liu - 1998
Is the stock market responsive to macroeconomic news? This paper employs the daily returns of the Dow Jones Industrial Index, the S&P 500 index, the Russell 1000 index, and the Russell 2000 index to examine stock market reactions to a broad list of macroeconomic announcements, including money...
Persistent link: https://www.econbiz.de/10014401312
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Learning, Monetary Policy and Asset Prices
2015 - Airaudo, Marco ; Nistic�, Salvatore ; Zanna, Luis-Felipe ed
We explore the stability properties of interest rate rules granting an explicit response to stock prices in a New-Keynesian DSGE model populated by Blanchard-Yaari non-Ricardian households. The constant turnover between long-time stock holders and asset-poor newcomers generates a financial...
Persistent link: https://www.econbiz.de/10014411926
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Why Does Bad News Increase Volatility and Decrease Leverage?
Fostel, Ana - 2010
The literature on leverage until now shows how an increase in volatility reduces leverage. However, in order to explain pro-cyclical leverage it assumes that bad news increases volatility. This paper suggests a reason why bad news is more often than not associated with higher future volatility....
Persistent link: https://www.econbiz.de/10014395754