Similar Search Results

Investment shocks and the relative price of investment

Justiniano, Alejandro; Primiceri, Giorgio E.; … - 2009

investment-specific technology shock, affects the transformation of consumption into investment goods and is identified with the …

Persistent link: https://www.econbiz.de/10003948199

Business cycle fluctuations and the distribution of consumption

De Giorgi, Giacomo; Gambetti, Luca - 2015

This paper sheds new light on the interactions between business cycles and the consumption distribution. We use … Consumer Expenditure Survey data and a factor model to characterize the cyclical dynamics of the consumption distribution. We … first establish that our approach is able to closely match business cycle fluctuations of consumption from the National …

Persistent link: https://www.econbiz.de/10010488288

International shocks and domestic prices : how large are strategic complementarities?

Amiti, Mary; Itskhoki, Oleg; Konings, Jozef - 2016

How strong are strategic complementarities in price setting across firms? In this paper, we provide a direct empirical estimate of firms' price responses to changes in prices of their competitors. We develop a general framework and an empirical identification strategy to estimate the...

Persistent link: https://www.econbiz.de/10011446483

Estimation of cross-country differences in industry production functions

Harrigan, James - 1998

Persistent link: https://www.econbiz.de/10000977754

A three-factor econometric model of the US term structure

Gong, Frank Fangxiong; Remolona, Eli M. - 1997

Persistent link: https://www.econbiz.de/10000982514

Option-implied probability distributions and currency excess returns

Malz, Allan Martin - 1997

Persistent link: https://www.econbiz.de/10000975267

Are apparent findings of nonlinearity due to structural instability in economic time series?

Koop, Gary; Potter, Simon M. - 1999

Persistent link: https://www.econbiz.de/10001398335

Market liquidity after the financial crisis

Adrian, Tobias; Fleming, Michael J.; Shachar, Or; Vogt, Erik - 2017 - Revised June 2017

This paper examines market liquidity in the post-crisis era in light of concerns that regulatory changes might have reduced dealers' ability and willingness to make markets. We begin with a discussion of the broader trading environment, including an overview of regulations and their potential...

Persistent link: https://www.econbiz.de/10011547707

Dealer balance sheets and bond liquidity provision

Adrian, Tobias; Boyarchenko, Nina; Shachar, Or - 2017 - Revised March 2017

Do regulations decrease dealer ability to intermediate trades? Using a unique data set of dealer-bond-level transactions, we link changes in liquidity of individual U.S. corporate bonds to dealers’ transaction activity and balance sheet constraints. We show that, prior to the financial crisis,...

Persistent link: https://www.econbiz.de/10011576274

Intraday market making with overnight inventory costs

Adrian, Tobias; Capponi, Agostino; Vogt, Erik; Zhang, … - 2016

The share of market making conducted by high-frequency trading (HFT) firms has been rising steadily. A distinguishing feature of HFTs is that they trade intraday, ending the day flat. To shed light on the economics of HFTs, and in a departure from existing market-making theories, we model an HFT...

Persistent link: https://www.econbiz.de/10011568504