1,720,960 research outputs found
Non-Macro-Based Google Searches, Uncertainty, and Real Economic Activity
Full text linkWe propose a set of novel non-macro-based uncertainty indicators that rely on the frequency of Google searches (NM-GSIs) for the following health-, environmental-, security-, and political-related topics: “Symptom” “Pollution” “Terrorism” and “Election”. By means of VAR investigations, we document that an intensification of people interest in non-macro-based topics harms the US real economic activity. In particular, NM-GSI shocks generate (i) a significant drop in consumer credit and (ii) a mild decrease (increase) in production (unemployment) levels. Noteworthy, rising non-macro-based uncertainty is found to have stronger influence on the outstanding level of consumer credit than rising macro-based uncertainty. Our findings suggest that increasing interest in specific non-macro-based topics might be associated with raising people's anxiety. A battery of robustness checks confirms our main findings
Fleeting extinction? Unraveling the persistence of noise traders in financial markets with learning and replacement
No full textWe describe an agent-based model of a financial market where agents can learn whether to buy costly information on returns, to use noise as if it were information, or to disregard any signals. We show that while learning alone drives all noise traders to extinction in stationary populations, allowing for small rates of replacement of existing agents with new ones suffices to generate substantial levels of persistent noise trading, with the equilibrium share of agents using irrelevant news reaching double digits. Remarkably, the presence of noise traders, when replacement is realistically considered, inflates the share of agents who use costly information relative to the benchmark scenario without replacement
The Equity Premium Puzzle: An Application of an Agent-Based Evolutionary Model
Full text linkWe describe an agent-based model of a financial market with a stock and a bond. Agents compete in repeated rounds, decide whether to acquire costly information and can pick one of 16 strategies to allocate their investments, under evolutionary pressure driven by the comparison of the realized short-term revenues from trading. We show that, while in- formed traders survive in some cases, the equilibrium shares are strongly biased in favor of strategies that make little use of information and sys- tematically overestimate the riskiness of the stock. As a consequence, the majority of the population ends up in buying fewer stocks than would be otherwise expected or deemed rational.
This evolutionary dynamics offers a novel way to explain the equity pre- mium puzzle first described by Mehra and Prescott (The equity pre- mium: A puzzle. Journal of Monetary Economics 1985), according to which it’s hard to find reasons for the widespread lack of investment in risky assets. Evolution based on a straightforward comparison of rev- enues is a simple and cognitively appealing avenue to reach a population of traders using (over-)cautious strategies to curb the risk of long-term “financial extinction”. Simulations run in NetLogo also demonstrate that very little information may be used in noisy markets or when the cost of information is substantial
Immigration, Uncertainty, and Macroeconomic Dynamics
No full textThis paper examines the macroeconomic effects of rising migration uncertainty in four advanced economies (i.e. US, UK, Germany and France). Migration uncertainty is first captured by the Migration Policy Uncertainty (MPUI) and the Migration Fear (MFI) news‐based indexes developed by Baker et al. (Immigration fears and policy uncertainty, 2015), and then by a novel Google Trend Migration Uncertainty Index (GTMU) based on the frequency of Internet searches for the term ‘immigration’. VAR investigations suggest that the macroeconomic implications of rising migration uncertainty differ across countries. Moreover, news‐based and Google search‐based migration fear shocks generate different macroeconomic effects. For instance, in the US (France), MPUI, MFI and GTMU shocks all improve (undermine) production and labour market conditions in the medium run. For Germany and the UK, mixed evidence is found, suggesting that increasing media attention on migration phenomena and rising population's interest in migration‐related issues influence people's mood differently. The observed heterogeneity in the macroeconomic effects of rising migration uncertainty can be explained by cross‐country gaps in (a) the level of labour market rigidity, (b) the degree of people's happiness and life satisfaction and (c) the percentage of graduates.This paper examines the macroeconomic effects of rising migration uncertainty in four advanced economies (i.e. US, UK, Germany and France). Migration uncertainty is first captured by the Migration Policy Uncertainty (MPUI) and the Migration Fear (MFI) news-based indexes developed by Baker et al. (Immigration fears and policy uncertainty, 2015), and then by a novel Google Trend Migration Uncertainty Index (GTMU) based on the frequency of Internet searches for the term ‘immigration’. VAR investigations suggest that the macroeconomic implications of rising migration uncertainty differ across countries. Moreover, news-based and Google search-based migration fear shocks generate different macroeconomic effects. For instance, in the US (France), MPUI, MFI and GTMU shocks all improve (undermine) production and labour market conditions in the medium run. For Germany and the UK, mixed evidence is found, suggesting that increasing media attention on migration phenomena and rising population's interest in migration-related issues influence people's mood differently. The observed heterogeneity in the macroeconomic effects of rising migration uncertainty can be explained by cross-country gaps in (a) the level of labour market rigidity, (b) the degree of people's happiness and life satisfaction and (c) the percentage of graduates
Global risks, the macroeconomy, and asset prices
No full textWe propose a novel index of global risks awareness (GRAI) based on the most concerning risks—classified in five categories (economic, environmental, geopolitical, societal, and technological)—reported by the World Economic Forum (WEF) according to the potential impact and likelihood occurrence. The degree of public concern toward these risks is captured by Google search volumes on topics having the same or similar wording of that one of the WEF Global Risk Report. The dynamics of our GRAI exhibits several spillover episodes and indicates that concerns on the five different categories of global risks are—on average—highly interconnected. We further examine the interconnection between global risks perceptions and the macroeconomy and find that concerns on economic-, geopolitical-, and societal-related risks are net shock transmitters, whereas the macroeconomic variables are largely net receivers. Finally, we perform standard cross-sectional asset pricing tests and provide evidence that rising interconnection among global risks awareness commands a positive and statistically significant risk premium
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Generating unemployment expectations of the “man in the street”
Full text linkWhy are unemployment expectations of the “man in the street” markedly different from professional forecasts? We present an agent-based model to explain this disconnection using boundedly rational agents with different levels of education
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
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