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Interpreting the great moderation: Changes in the volatility of economic activity at the macro and micro levels

Davis, Steven J.; Kahn, James A. - 2008

We review evidence on the Great Moderation together with evidence about volatility trends at the micro level to develop … a potential explanation for the decline in aggregate volatility since the 1980s and its consequences. The key elements … are declines in firm-level volatility and aggregate volatility-most dramatically in the durable goods sector-but with no …

Persistent link: https://www.econbiz.de/10010283570

Brokers and business cycles: Does financial market volatility cause real fluctuations?

Döpke, Jörg; Pierdzioch, Christian - 1998

This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data … the future stance of the business cycle and on the volatility of industrial production. The results of our empirical … investigation lead us to reject the hypothesis that financial market volatility causes the cycle or real volatility. …

Persistent link: https://www.econbiz.de/10010275423

Der Informationsgehalt von Derivaten für die Geldpolitik: Implizite Volatilitäten und Wahrscheinlichkeiten

Neuhaus, Holger - 1995

There is much discussion about derivatives at central banks. The main focus is on questions about the impact of the growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy measures. Irrespective ofthe answers, the information...

Persistent link: https://www.econbiz.de/10010478816

The information content of derivatives for monetary policy: Implied volatilities and probabilities

Neuhaus, Holger - 1995

Persistent link: https://www.econbiz.de/10010478817

Geldpolitik in den USA - die Fed in der Zinsfalle?

Illing, Gerhard - In: ifo Schnelldienst 57 (2004) 06, pp. 31-37

Seit dem Einbruch der Aktienmärkte Anfang 2000 hat die Fed durch massive Liquiditätszufuhr versucht, die amerikanische Wirtschaft zu stabilisieren. Ein wesentliches Motiv war die Befürchtung, die amerikanische Wirtschaft könne in eine Liquiditätsfalle geraten. Motiviert von der...

Persistent link: https://www.econbiz.de/10011692142

Asymmetric response to monetary policy surprises at the long-end of the yield curve

Demiralp, Selva; Yilmaz, Kamil - 2009

This paper provides a dynamic analysis of the responsiveness of asset markets to monetary policy path revisions. In an era of increased transparency and gradualism in policy making, one might expect an increased response to path revisions in asset markets as the policy actions become more...

Persistent link: https://www.econbiz.de/10010277266

IMF surveillance and financial markets: A political economy analysis

Fratzscher, Marcel; Reynaud, Julien - 2010

The International Monetary Fund (IMF) is in the process of re-inventing itself with bilateral and multilateral surveillance emerging as a key function. The paper analyses how IMF surveillance announcements may be influenced by political power that member countries exert at the IMF. First, we...

Persistent link: https://www.econbiz.de/10010270537

Modelling high-frequency volatility and liquidity using multiplicative error models

Hautsch, Nikolaus; Jeleskovic, Vahidin - 2008

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …

Persistent link: https://www.econbiz.de/10010263738

Asymmetry in volatility: A comparison of developed and transition stock markets

Wdowiński, Piotr; Malecka, Marta - 2010

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

Persistent link: https://www.econbiz.de/10010270556

Quantifying high-frequency market reactions to real-time news sentiment announcements

Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …

Persistent link: https://www.econbiz.de/10010270815