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Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis

Antonakakis, Nikolaos; Vergos, Konstantinos - 2012

In this paper we examine the linkages of government bond yield spreads (BYS) between Euro zone countries over the …

Persistent link: https://www.econbiz.de/10015235050

Using sentiment surveys to predict GDP growth and stock returns

Guzman, Giselle C. - 2008

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10015230635

A Coronavirus Asset Pricing Model: The Role of Skewness

Delis, Manthos; Savva, Christos; Theodossiou, Panayiotis - 2020

We study an equilibrium risk and return model to explore the effects of the coronavirus crisis and associated skewness …. We derive the moment and equilibrium equations, specifying skew-ness price of risk as an additive component of the effect … risk, more negative even than the subprime crisis. …

Persistent link: https://www.econbiz.de/10015212364

Public debt dynamics and nonlinear effects on economic growth : evidence from Rwanda

Rutayisire, J.Musoni - 2021

The purpose of this paper is to contribute to existing literature by investigating the nonlinear impact of public debt on economic growth, as well as the long and short run relationship between economic growth and its determinants in Rwanda. To this end, a quadratic polynomial function in debt...

Persistent link: https://www.econbiz.de/10015261323

A Frequency-Domain Approach to Dynamic Macroeconomic Models

Tan, Fei - 2018

This article is concerned with frequency-domain analysis of dynamic linear models under the hypothesis of rational expectations. We develop a unified framework for conveniently solving and estimating these models. Unlike existing strategies, our starting point is to obtain the model solution...

Persistent link: https://www.econbiz.de/10015262300

A simulation model of public debt sustainability

Albu, Lucian-Liviu - 2008

There is a long period since the problem of public debt sustainability captures the attention of economists. However, there is no unanimity concerning an adequate unique sustainability indicator or function generally accepted. Just in this line of elaborating new models and improving...

Persistent link: https://www.econbiz.de/10015269942

The debt trap: a two-compartment train wreck

Artzrouni, Marc; Tramontana, Fabio - 2013

We aim to shed light on the debate among policy-makers trying to find prescriptions that will take troubled economies out of their debt trap. We do this with a highly stylized two-compartment dynamic model consisting of the stocks of money in Government and Society. The dynamics of the system...

Persistent link: https://www.econbiz.de/10015237420

The debt trap: a two-compartment train wreck.and how to avoid it

Artzrouni, Marc; Tramontana, Fabio - 2013

We explore sustainable paths out of a debt trap with a highly stylized two-sector differential equations model for the stocks of money in Government and Society. The model fits the data for the U.S. between 1981 and 2012 with a coefficient of correlation of 0.996. The solutions provide detailed...

Persistent link: https://www.econbiz.de/10015238997

Sovereign Bond-Baked Securities in EMU:Do they mean accrued safety in the European sovereign debt market or simply a way to ‘privatize’ public debt?

Costa Cabral, Nazaré - 2020

The aim of this article is to verify whether the creation of safe assets (sovereign bond-backed securities, SBBS …) proposed in 2012 by the so-called group of ‘euro-nomics’ is a way to promote financial safety and risk-sharing in the EMU. In …

Persistent link: https://www.econbiz.de/10015215059

How to end to the debt crisis in one month

Punabantu, Siize - 2011

The modern economic theory implemented today is inherently flawed. Unfortunately these flaws are not apparent in contemporary economic theory which is built on the idea that scarcity is an ever present condition; an approach referred to as scarce resource theory (SRT) in operating level...

Persistent link: https://www.econbiz.de/10015228009