1,721,385 research outputs found
Does financial integration affect real exchange rate volatility and cross-country equity market returns correlation?
Full text linkExisting empirical studies show that financial integration affects the behavior of average excess returns, cross-country equity market returns (EMR) correlations and real exchange rate (RER) volatility. We employ a recently developed two-country model with recursive preferences, frictionless and complete markets and highly correlated long-run innovations to examine whether full financial integration (i.e. full risk-sharing) affects the US-Canada EMR correlation and the US RER volatility, consistently with existing empirical findings. First, full risk-sharing gives rise to a relatively high RER volatility. Second, it induces very strong positive cross-country EMR correlations. Both quantities are higher than those observed in the US-Canada asset pricing data, and increase as the risk-sharing incentive increases. In contrast, "international consumption quantities" are weakly sensitive to changes in the level of aversion to consumption and utility risk. (C) 2014 Elsevier Inc. All rights reserved
On the role of dependence in sticky price and sticky information Phillips curve: Modelling and forecasting
No full textUnderstanding the role of sticky price and sticky information for inflation dynamics is a key issue in economics. The literature has treated the two forms of stickiness as independent. This paper proposes a new dual stickiness Phillips curve based on dependence among the events of setting prices and updating information. Using US data over the period 1947Q1–2020Q1, the new model is scrutinized against a dual stickiness model without dependence, a pure sticky price model, and a pure sticky information model, through in- and out-of-sample analyses. The results show: (i) the new model outperforms the model without dependence in-sample; (ii) the dual stickiness models perform similarly out-of-sample; and (iii) the pure sticky models yield the worst forecasts. The results have some implications for policy makers and practitioners. A policy maker may consider the new model given its performance in- and out-of-sample, while a practitioner may prefer the model without dependence, given its lesser complexity and its competitive forecasting performance
Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawals
No full textThis paper investigates the effect of mortgage equity withdrawal onsaving in the US over the period 1993–2011. A multivariate timeseries analysis based on a vector error correction model (VECM)is carried out. The saving rate, mortgage equity withdrawal, netwealth, interest rates and inflation are included in the empiricalmodel. The results show that the equity withdrawal mechanismplays a relevant role in explaining the saving rate pattern
Re-examining the Decline in the US Saving Rate: The Impact of Mortgage Equity Withdrawals
No full textThis paper investigates the effect of mortgage equity withdrawal onsaving in the US over the period 1993–2011. A multivariate timeseries analysis based on a vector error correction model (VECM)is carried out. The saving rate, mortgage equity withdrawal, netwealth, interest rates and inflation are included in the empiricalmodel. The results show that the equity withdrawal mechanismplays a relevant role in explaining the saving rate pattern
Financial market integration: A complex and controversial journey
No full textIn this article, we develop a comprehensive review of the literature on financial integration (FI). More specifically, we focus on all those empirical and theoretical works aimed at, first, measuring FI levels overtime, and then examining the effects of rising FI on growth, macroeconomic stability, and risk sharing. Our literature review indicates the presence of clear-cut and unanimous empirical evidence that FI increased over the last 50 (30) years in advanced economies (emerging economies). Unfortunately, there are no equally clear-cut evidence on the implications of rising FI for economic growth, macroeconomic stability and risk sharing. Puzzlingly, and inconsistently with theoretical predictions, an extensive empirical literature finds weak, inconclusive and controversial evidence that rising FI levels have stimulated growth and risk-sharing. Our journey throughout the literature on FI indicates that the reason for the existence of such controversial and inconclusive empirical findings on the FI-growth and FI -risk sharing links is that the use of different FI measures, econometric techniques, and definitions of FI make it difficult to synthesize results and draw robust conclusions
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
A Quasi Real-Time Leading Indicator for the EU Industrial Production
No full textWe build a quasi-real-time leading indicator (LI) for the EU industrial production (EU IP). Differently from previous studies, the technique developed in this paper gives rise to an ex-ante LI that is immune to ex-post revisions in constituent variables and, thus, does not suffer from overlapping information drawbacks. Moreover, the set of variables used to construct the LI relies on a two-step dynamic and systematic statistical procedure. This approach ensures that the choice of the variables is not driven by subjective views. Our LI anticipates-on average-main recession periods in the EU industrial production by two to three months. If revised, its predictive power improves. Additional empirical analyses show that the proposed LI (i) forecasts the Great Recession period better than the ex-post LIs proposed by the OECD and the Conference Board, and (ii) captures the interest rate policy pattern rather well
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