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Interest Rate Volatility, Capital Controls, and Contagion

Edwards, Sebastian - 2021

Current debates on globalization have tended to focus on financial market volatility and contagion. In fact, many … whether there has been volatility contagion from Mexico to the two South American nations. The results obtained from the … estimation of augmented GARCH equations indicate, quite strongly, that while there has been volatility contagion from Mexico to …

Persistent link: https://www.econbiz.de/10013223060

Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets

Diebold, Francis X. - 2010

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

Persistent link: https://www.econbiz.de/10012759516

Exchange Rates and Local Labor Markets

Goldberg, Linda S.; Tracy, Joseph S. - 2000

We document the consequences of real exchange rate movements for the employment, hours, and hourly earnings of workers in manufacturing industries across individual states. Exchange rates have statistically significant wage and employment implications in these local labor markets. The importance...

Persistent link: https://www.econbiz.de/10014193865

Nonlinearities and the Macroeconomic Effects of Oil Prices

Hamilton, James D. - 2010

This paper reviews some of the literature on the macroeconomic effects of oil price shocks with a particular focus on possible nonlinearities in the relation and recent new results obtained by Kilian and Vigfusson (2009)

Persistent link: https://www.econbiz.de/10013141004

Dynamic Models of R&D, Innovation and Productivity : Panel Data Evidence for Dutch and French Manufacturing

Raymond, Wladimir - 2014

This paper introduces dynamics in the R&D-to-innovation and innovation-to-productivity relationships, which have mostly been estimated on cross-sectional data. It considers four nonlinear dynamic simultaneous equations models that include individual effects and idiosyncratic errors correlated...

Persistent link: https://www.econbiz.de/10013063857

Is the Macroeconomy Locally Unstable and Why Should We Care?

Beaudry, Paul - 2016

In most modern macroeconomic models, the steady state (or balanced growth path) of the system is a local attractor, in the sense that, in the absence of shocks, the economy would converge to the steady state. In this paper, we examine whether the time series behavior of macroeconomic aggregates...

Persistent link: https://www.econbiz.de/10012991676

Agro-Ecosystem Productivity and the Dynamic Response to Shocks

Chavas, Jean-Paul - 2016

This paper investigates the nonlinear dynamic response to shocks, relying on a threshold quantile autoregression (TQAR) model as a flexible representation of stochastic dynamics. The TQAR model can identify zones of stability/instability and characterize resilience and traps. Resilience means...

Persistent link: https://www.econbiz.de/10012983434

Putting the Cycle Back into Business Cycle Analysis

Beaudry, Paul - 2016

This paper begins by re-examining the spectral properties of several cyclically sensitive variables such as hours worked, unemployment and capacity utilization. For each of these series, we document the presence of an important peak in the spectral density at a periodicity of approximately 36-40...

Persistent link: https://www.econbiz.de/10012979357

Solution Methods for Models with Rare Disasters

Fernández-Villaverde, Jesús - 2016

This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with rare disasters along the line of those proposed by Rietz (1988), Barro (2006}, Gabaix (2012), and Gourio (2012). DSGE models with rare disasters require...

Persistent link: https://www.econbiz.de/10012998933

Do Firms in Countries with Poor Protection of Investor Rights Hold More Cash?

Pinkowitz, Lee - 2012

Managers make different decisions in countries with poor protection of investor rights and poor financial development. One possible explanation is that shareholder-wealth maximizing managers face different tradeoffs in such countries (the tradeoff theory). Alternatively, firms in such countries...

Persistent link: https://www.econbiz.de/10012755812