Now showing items 31-40 of 243
The Information Content of Monetary Statistics for the Great Recession
Evidence from Germany
Abstract: This paper introduces a Divisia monetary aggregate for Germany and explores its information content for the Great Recession. Divisia money and the corresponding simple sum aggregate are highly correlated in normal ...
How Do Financial Cycles Interact?
Evidence from the US and the UK
Are financial cycles an international phenomenon, and, if so, how do financial cycles interact? This letter provides new evidence for the US and the UK. Considering the properties of the data in both the time and the ...
Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents ...
Rethinking stock market integration
Globalization, valuation and convergence
This paper aims to study the extent of integration among developed and emerg- ing stock markets in the onset of globalization through the formulation of a uni?ed conceptual framework that synthesizes the stock valuation ...
The 'Celtic Crisis'
Guarantees, transparency, and systemic liquidity risk
Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and stave off bank runs. However, as the experiences of some European countries, most notably Ireland, ...
Decomposing Risk in Dynamic Stochastic General Equilibrium
We analyze the theoretical moments of a nonlinear approximation to a model of business cycles and asset pricing with stochastic volatility and recursive preferences. We find that heteroskedastic volatility operationalizes ...
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results from Jacod (2008) are ...
Bank Lending Relationships and the Use of Performance-Sensitive Debt
We show that performance-sensitive debt (PSD) is used to reduce hold-up problems in repeated lending relationships. Using a large sample of bank loans, we find a more frequent use of PSD if hold-up is more likely, e.g. if ...