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Market sentiment, financial fragility, and economic activity: The role of corporate securities issuance

Dieckelmann, Daniel - 2021

Using new quarterly U.S. data for the past 120 years, I show that sudden reversals in equity and credit market sentiment approximated by several measures of corporate securities issuance are highly predictive of banking crises and recessions. Deviations in equity issuance from historical...

Persistent link: https://www.econbiz.de/10012432076

The relative volatility of commodity prices: A reappraisal

Arezki, Rabah; Lederman, Daniel; Zhao, Hongyan - 2011

This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in … evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. The literature tends … to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and …

Persistent link: https://www.econbiz.de/10010280809

Classifying US business cycles 1948 to 1997: Meyer/Weinberg revisited

Heilemann, Ullrich; Münch, Heinz Josef - 2002

Persistent link: https://www.econbiz.de/10010316634

A dynamic factor analysis of business cycle on firm-level data

Alessi, Lucia; Barigozzi, Matteo; Capasso, Marco - 2006

We use the Generalized Dynamic Factor Model proposed by Forni et al. [2000] in order to study the dynamics of the rate of growth of output and investment and establish stylized facts of business cycles. By using quarterly firm level data relative to 660 US firms for 20 years, we investigate the...

Persistent link: https://www.econbiz.de/10010328598

The effect of changes in reserve requirements during the 1930s: the evidence from a comparison of member and nonmember banks

Cargill, Thomas F.; Mayer, Thomas - 2003

The differential response of cash reserves of member banks and nonmember banks not subject to the 1936-37 increase in reserve requirements is estimated to determine whether the 1937-38 recession was caused by the increase in reserve requirements. We identify 17 states that maintained constant...

Persistent link: https://www.econbiz.de/10010265639

A banking explanation of the US velocity of money: 1919 - 2004

Benk, Szilárd; Gillman, Max; Kejak, Michal - 2009

velocity volatility at both business cycle and long run frequencies. With filtered velocity turning negative, starting during …

Persistent link: https://www.econbiz.de/10010288749

Estimating large-scale factor models for economic activity in Germany: Do they outperform simpler models?

Dreger, Christian; Schumacher, Christian - 2002

This paper discusses a large-scale factor model for the German economy. Following the recent literature, a data set of 121 time series is used via principal component analysis to determine the factors, which enter a dynamic model for German GDP. The model is compared with alternative univariate...

Persistent link: https://www.econbiz.de/10010295521

Forecasting German GDP using alternative factor models based on large datasets

Schumacher, Christian - 2005

This paper discusses the forecasting performance of alternative factor models based on a large panel of quarterly time series for the german economy. One model extracts factors by static principals components analysis, the other is based on dynamic principal components obtained using frequency...

Persistent link: https://www.econbiz.de/10010295769

Konsumentenvertrauen in Deutschland: Methode und Ergebnisse des TCB-IW-Verbrauchervertrauens

Bardt, Hubertus; Grömling, Michael; Niendorf, Paul; … - In: IW-Trends - Vierteljahresschrift zur empirischen … 46 (2019) 2, pp. 43-61

Der Private Konsum ist die größte Komponente des Bruttoinlandsprodukts. Selbst in einer in hohem Ausmaß exportorientierten Volkswirtschaft wie Deutschland ist die gegenwärtige Konsumdynamik für die Mehrheit der Unternehmen wichtig oder sogar sehr wichtig. Mit dem Ziel einer besseren und...

Persistent link: https://www.econbiz.de/10012143325

Cross-sectional heterogeneity and the persistence of aggregate fluctuations

Michelacci, Claudio - 1998

A well-known fact in the time series of aggregate output is the persistence of shocks. This paper argues that the empirical relation between the expected growth rate of a firm and its size provides a microfoundation of aggregate persistence. In fact, the empirical evidence claims that small...

Persistent link: https://www.econbiz.de/10011608446