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  1. The signaling effects of fiscal announcements
    Author: Melosi, Leonardo; Morita, Hiroshi; Rogantini Picco, Anna; Zanetti, Francesco
    Published: August 2024
    Publisher:  CESifo, Munich, Germany

    Announcing a large fiscal stimulus may signal the government’s pessimism about the severity of a recession to the private sector, impairing the stabilizing effects of the policy. Using a theoretical model, we show that these signaling effects occur... more

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    Announcing a large fiscal stimulus may signal the government’s pessimism about the severity of a recession to the private sector, impairing the stabilizing effects of the policy. Using a theoretical model, we show that these signaling effects occur when the stimulus exceeds expectations and are more noticeable during periods of high economic uncertainty. Analysis of a new dataset of daily stock prices and fiscal news in Japan supports these predictions. We introduce a method to identify fiscal news with different degrees of signaling effects and find that such effects weaken or, in extreme cases, even completely undermine the stabilizing impact of fiscal policy.

     
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    Language: English
    Media type: Book
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    hdl: 10419/305554
    Series: CESifo working papers ; 11312 (2024)
    Subjects: fiscal policy; macroeconomic stabilization; macroeconomic uncertainty; stock prices; Japan; asymmetric information
    Scope: 1 Online-Ressource (circa 75 Seiten), Illustrationen
  2. The signaling effects of fiscal announcements
    Author: Melosi, Leonardo; Morita, Hiroshi; Rogantini Picco, Anna; Zanetti, Francesco
    Published: [2024]
    Publisher:  University of Warwick, Department of Economics, Coventry, United Kingdom

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    Series: Warwick economics research papers ; no: 1512 (August 2024)
    Subjects: fiscal policy; macroeconomic stabilization; macroeconomic uncertainty; stock prices; Japan; asymmetric information
    Scope: 1 Online-Ressource (circa 74 Seiten), Illustrationen
  3. The dynamic impact of FX interventions on financial markets
    Author: Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias
    Published: 2019
    Publisher:  Verein für Socialpolitik, [Leipzig]

    Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with... more

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    Evidence on the effectiveness of FX interventions in the prevailing higher frequency approaches leaves a gap at horizons going beyond a few days. This is addressed by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Using Japanese data, we find that FX interventions significantly affect exchange rates, although the effect is smaller than in emerging markets, and this impact persists for up to a year. There is no major effect on interest rates, but stock prices increase in line with currency devaluation, in particular those of large (exporting) firms. The results qualitatively hold for US and UK interventions.

     
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    hdl: 10419/203504
    Series: Array ; Array
    Subjects: Foreign exchange intervention; structural VAR; exchange rates; interest rates; stock prices
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  4. The multifaceted impact of US trade policy on financial markets
    Author: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Published: 2021
    Publisher:  DIW Berlin, German Institute for Economic Research, Berlin

    We study the multifaceted effects of trade policy shocks on financial markets using a structural vector autoregression identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock... more

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    We study the multifaceted effects of trade policy shocks on financial markets using a structural vector autoregression identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively. They increase market uncertainty, lower US interest rates, and lead to an appreciation of the US -Dollar. The effects are significant for several weeks or quarters. Decomposing the trade policy shocks further suggests that trade policy uncertainty dominates tariff level effects. Chinese trade policy shocks against the US further hurt US stocks.

     
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    hdl: 10419/259822
    Edition: This (updated) version: May 2022
    Series: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1956
    Subjects: Außenwirtschaftspolitik; Aktienmarkt; Wechselkurs; Zins; Wirkungsanalyse; VAR-Modell; USA; China; Trade policy shock; structural VAR; stock prices; exchange rates; interest rates; heteroskedasticity
    Scope: 1 Online-Ressource (circa 76 Seiten), Illustrationen
  5. Covid-19 pandemic and performance of economic sectors in Vietnam
    Author: Pham Uyen; Vo Thi Le Uyen; Pham Van Chung; Cezera, Stéphane; Nguyen, Manh-Hung
    Published: February 2022
    Publisher:  [Toulouse School of Economics], [Toulouse]

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    Series: Working papers / Toulouse School of Economics ; no 1304
    Subjects: Covid-19 Pandemic; M-GARCH model; Vietnamese economic sectors; stock prices
    Scope: 1 Online-Ressource (circa 10 Seiten)
  6. Q-monetary transmission
    Author: Jeenas, Priit; Lagos, Ricardo
    Published: Maig 2022
    Publisher:  Universitat Pompeu Fabra, Department of Economics and Business, Barcelona

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    Series: Economics working paper series ; no. 1839
    Subjects: monetary transmission; stock prices; Tobin’s q; investment; capital structure
    Scope: 1 Online-Ressource (circa 104 Seiten), Illustrationen
    Notes:

    Richtiger Name des Verfassers: Priit Jeenas
  7. Q-monetary transmission
    Author: Jeenas, Priit; Lagos, Ricardo
    Published: [2022]
    Publisher:  BSE, Barcelona School of Economics, [Barcelona]

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    Series: BSE working paper ; 1348 (May 2022)
    Subjects: monetary transmission; stock prices; Tobin’s q; investment; capital structure
    Scope: 1 Online-Ressource (circa 104 Seiten), Illustrationen
  8. Stock price anchoring
    Author: Disli, Mustafa; Inghelbrecht, Koen; Schoors, Koen; Stieperaere, Hannes
    Published: 2019
    Publisher:  Ghent University, Faculty of Economics and Business Administration, Ghent

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    Source: Union catalogues
    Language: English
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    Series: Working paper / Faculty of Economics and Business Administration ; 966 (2019)
    Subjects: Anchoring effect; heuristics; anomaly; firm value; stock prices
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  9. The dynamic impact of FX interventions on financial markets
    Author: Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias
    Published: [2019]
    Publisher:  Collaborative Research Center Transregio 190, Munich, Germany

    Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an... more

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    Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Applying this approach to the most important, freely floating currencies, we find that FX intervention shocks significantly affect exchange rates and that this impact persists for months. We show for Japan and the US that interest rates tend to fall in response to sales of the domestic currency, whereas stock prices of large (exporting) firms increase after devaluation of the domestic currency.

     
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    Language: English
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    hdl: 10419/222102
    Series: Discussion paper / Rationality & Competition, CRC TRR 190 ; no. 205 (December 4, 2019)
    Subjects: Foreign exchange intervention; structural VAR; exchange rates; interest rates; stock prices
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  10. Stock market wealth and the real economy
    a local labor market approach
    Author: Chodorow-Reich, Gabriel; Nenov, Plamen T.; Simsek, Alp
    Published: 12 July 2019
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Series: Array ; DP13856
    Subjects: stock prices; consumption wealth effect; marginal propensity to consume; employment; wages; regional heterogeneity; time-varying risk premium; nominal rigidities; monetary policy
    Scope: 1 Online-Ressource (circa 112 Seiten)
  11. The dynamic impact of FX interventions on financial markets
    Author: Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias
    Published: 2020
    Publisher:  DIW Berlin, German Institute for Economic Research, Berlin

    Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an... more

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    Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely floating currencies, that FX intervention shocks significantly affect exchange rates and that this impact persists for months. The signaling channel dominates the portfolio channel. Moreover, interest rates tend to fall in response to sales of the domestic currency, whereas stock prices of large (exporting) firms increase after devaluation of the domestic currency.

     
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    hdl: 10419/218975
    Series: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1854
    Subjects: Foreign exchange intervention; structural VAR; exchange rates; interest rates; stock prices
    Scope: 1 Online-Ressource (circa 64 Seiten), Illustrationen
  12. TFP news, stock market booms and the business cycle
    revisiting the evidence with VEC models
    Author: Di Casola, Paola; Sichlimiris, Spyridon
    Published: March 2020
    Publisher:  Sveriges Riksbank, Stockholm

    Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus... more

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    Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter the TFP measure and change the model specification, we can recover the news shock through their identification. However, the news shock leads to a stock market boom with a negligible impact on economic activity. Our findings are in line with studies that identify news shocks without relying on VEC models.

     
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    hdl: 10419/232591
    Series: Sveriges Riksbank working paper series ; 388
    Subjects: cointegration; technology news shocks; stock prices; TFP; VEC model; SVAR
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  13. Stock price related financial fragility and growth patterns
    Author: Aßmuth, Pascal
    Published: 2020
    Publisher:  [Kiel Inst. for the World Economy], [Kiel]

    The total output of an economy usually follows cyclical movements which are accompanied by similar movements in stock prices. The common explanation relies on the demand side. It points out that stock market wealth drives consumption which triggers... more

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    The total output of an economy usually follows cyclical movements which are accompanied by similar movements in stock prices. The common explanation relies on the demand side. It points out that stock market wealth drives consumption which triggers production afterwards. This paper focuses on influences via the supply side of the economy. The aim of the paper is to explore channels where stock price patterns influence the amount of credit taken by firms. The author examines trend and volatility cycles on the stock market. There are three channels addressed: the stock market valuation as piece of information for the assessment of a firm’s creditworthiness, the influence on restructuring prospects in times of financial distress and the stock market related remuneration of the top management affecting capital demand. The author ask to which extent a channel may contribute to the stock price - output relation when there is mutual feedback. A model à la Delli Gatti et al. (A new approach to business fluctuations: heterogeneous interacting agents, scaling laws and financial fragility, 2005) drives the results. Firms take credit to finance their production which determines their financial fragility. If their stochastic revenue is too low, they are bankrupt and leave the economy. The capital loss hurts the bank’s equity base and future credit supply is diminished. This causes business cycles. Results show that if the bank assesses creditworthiness according to the stock price then idiosyncratic stock price fluctuations have only a slight effect as they disturb selection and hinder growth. If stock market optimism matters for bankruptcy ruling the level of stock owners’ influence does not matter. If optimism is wide spread among stock investors however, investment behaviour is also correlated through the stock prices and this results in huge real economy cycles without any long-term growth. If volatility is considered in the decision of managers they act more prudently and this fosters growth.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/215926
    Series: Economics ; vol. 14, 2020-10
    Subjects: Heterogeneous agents models; financial fragility; stock prices; business cycles
    Scope: 1 Online-Ressource (34 Seiten), Illustrationen
  14. The dynamic impact of FX interventions on financial markets
    Author: Menkhoff, Lukas; Rieth, Malte; Heidland, Tobias
    Published: 03/2020
    Publisher:  Kiel Institute for the World Economy, Kiel

    Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an... more

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    Staats- und Universitätsbibliothek Bremen
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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely floating currencies, that FX intervention shocks significantly affect exchange rates and that this impact persists for months. The signaling channel dominates the portfolio channel. Moreover, interest rates tend to fall in response to sales of the domestic currency, whereas stock prices of large (exporting) firms increase after devaluation of the domestic currency.

     
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    Other identifier:
    hdl: 10419/215399
    Series: Kiel working paper ; no. 2151 (March 2020)
    Subjects: Foreign exchange intervention; structural VAR; exchange rates; interest rates; stock prices
    Scope: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  15. Company valuation with trading multiples
    theoretical background and evidenced-based strategies on maximizing accuracy
    Author: Deglmann, Florian
    Published: [2019]

    Diese Dissertationsschrift hat die in der Praxis beliebte Unternehmensbewertung mit Multiplikatoren börsennotierter Vergleichsunternehmen zum Gegenstand. Um wissenschaftlicher Kritik an Ermessensspielräumen der Methode entgegenzutreten, werden... more

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    Diese Dissertationsschrift hat die in der Praxis beliebte Unternehmensbewertung mit Multiplikatoren börsennotierter Vergleichsunternehmen zum Gegenstand. Um wissenschaftlicher Kritik an Ermessensspielräumen der Methode entgegenzutreten, werden <<intrinsische Multiplikatoren>> vorgestellt, die eine Verknüpfung mit Fundamentalbewertungen erlauben. Ferner wird ein Adjustierungsmodell eingeführt, welches unternehmensspezifische Eigenschaften mit möglichen Bewertungsimplikationen, wie etwa Minderheitenanteile oder Pensionsverpflichtungen, abbildet. Die <<Gesetzmässigkeit des einen Preises>> wird als zentrales Wirkprinzip identifiziert und der Standpunkt vertreten, dass die Berechnung eines Bewertungsmultiplikators über den Median der auf Basis von Industriezugehörigkeit ausgewählten Vergleichsunternehmensmultiplikatoren geeignet ist. Empirische Daten einer kombinierten Stichprobe börsennotierter europäischer und U.S.-amerikanischer Unternehmen werden über einen Zeitraum vom 22 Halbjahren erhoben. Es zeigt sich, erstens, dass die Präzision von Multiplikatorbewertungen von der Auswahl des Bewertungstreibers abhängt; mit einem Median absoluter Bewertungsfehler von 18,5% erzielt das Kurs-Gewinn-Verhältnis (<<KGV>>) das beste Ergebnis von 13 untersuchten Multiplikatortypen und zudem auch hinsichtlich praktisch relevanter intrinsischer Bewertungsalternativen (DDM, DCF); dies lässt auf eine möglichen <<Feedbackschleifen>>-Korridor zwischen KGV und Aktienkurs schliessen. Multiplikatoren, welche auf Rechnungslegungsgrössen basieren, zeichnen sich ferner durch höhere Genauigkeit aus, als Multiplikatoren, die auf Cashflow abstellen; die Rechnungsabgrenzung scheint sich mithin positiv auf Repräsentationsfähigkeit von (einperiodigen) Bewertungstreibern für das wirtschaftliche Potenzial eines Unternehmens auszuwirken, was für Multiplikatorbewertung konzeptionell bedeutsam ist. Multiplikatortypen, welche in inkonsistenter We This dissertation is concerned with company valuation using the practically popular trading multiple approach. To counterbalance dogmatic criticism regarding the concept's arbitrary nature, <<intrinsic multiples" are introduced, which provide an analytical connection between multiples and fundamental valuation. Furthermore, I propose an adjustment framework to appropriately reflect firm-specific economic properties such as minority interest or net pension liabilities in multiple valuation. The "Law of One Price" is identified as key governing principle of multiple valuation and it is argued that industry peer selection combined with valuation multiple aggregation through the median of peer pricing multiples is generally appropriate. Evidence is obtained from a combined European and U.S. sample of publicly traded firms spanning 22 half-years. First, I find that accuracy of multiple types varies greatly and thus the right valuation driver choice is important; with median absolute valuation errors of just 18.5%, price/earnings (P/E) performs strongest among 13 multiple types studied, notably also relative to practically relevant intrinsic valuation alternatives (DDM, DCF); this might support the existence of a "feedback loop" corridor between price and P/E. Accounting-based multiple types outperform their cash flow-based counterparts, suggesting accruals positively affect the ability of single-period valuation drivers to represent a firm's future economic potential, which is conceptually crucial for trading multiples. Multiple types inconsistently introducing additional features (such as return-indiscriminate growth) or ignoring value-relevant aspects (such as profitability) suffer from biases consistent with intuition. Second, my results suggest that there are merits of adjusting enterprise value multiples (median error reduction of up to 0.89%-pts) on the basis of the proposed framework, whilst results for equity va

     
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  16. The multifaceted impact of US trade policy on financial markets
    Author: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Published: September 24, 2020
    Publisher:  Verein für Socialpolitik, [Köln]

    We study the multifaceted effects and persistence of trade policy shocks on financial markets in a structural vector autoregression. The model is identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US... more

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    We study the multifaceted effects and persistence of trade policy shocks on financial markets in a structural vector autoregression. The model is identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively overall, increasing market uncertainty, lowering interest rates, and leading to an appreciation of the US-Dollar. The effects are significant for several weeks or quarters. These effects reveal elements of both relative price shocks and uncertainty shocks of which the latter may be more important. Chinese trade policy shocks against the US further hurt US stocks.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/224529
    Series: Jahrestagung 2020 / Verein für Socialpolitik ; 34
    Subjects: Außenwirtschaftspolitik; Aktienmarkt; Wechselkurs; Zins; Wirkungsanalyse; VAR-Modell; USA; China; Trade policy shock; structural VAR; stock prices; exchange rates; interest rates; heteroskedasticity
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  17. Winners and losers from sovereign debt inflows
    Author: Broner, Fernando; Martin, Alberto; Pandolfi, Lorenzo; Williams, Tomas
    Published: May 2020
    Publisher:  CSEF, Centre for Studies in Economics and Finance, Department of Economics, University of Naples, Naples, Italy

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    Series: Working paper / CSEF, Centre for Studies in Economics and Finance, University of Naples ; no. 562
    Subjects: Öffentliche Schulden; Öffentliche Anleihe; Schock; Wechselkurs; Ankündigungseffekt; Kapitalmarktrendite; Schwellenländer; Kolumbien; Tschechien; Mexiko; Nigeria; Rumänien; Südafrika; Sovereign debt; capital inflows; exchange rate; government bond yields; stock prices; emerging markets
    Scope: 1 Online-Ressource (circa 65 Seiten), Illustrationen
  18. Hang in there
    stock market reactions to withdrawals of COVID-19 stimulus measures
    Author: Chan-Lau, Jorge A.; Zhao, Yunhui
    Published: December 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    The COVID-19 pandemic prompted unprecedented economic stimulus worldwide. We empirically examine the impact of a withdrawal of fiscal stimulus policies on the stock markets. After constructing a database of withdrawal events, we use event study... more

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    Orient-Institut Beirut
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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Universitätsbibliothek Braunschweig
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    The COVID-19 pandemic prompted unprecedented economic stimulus worldwide. We empirically examine the impact of a withdrawal of fiscal stimulus policies on the stock markets. After constructing a database of withdrawal events, we use event study analysis and cross-country regressions to assess the difference between the pre- and post-event stock price returns. We find that markets react negatively to premature withdrawals-defined as withdrawals at a time when the daily COVID cases are high relative to their historical average-likely reflecting concerns about the withdrawal impact on the prospects for economic recovery. The design of a successful exit strategy from COVID-19 policy responses should account for these concerns

     
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  19. The multifaceted impact of US trade policy on financial markets
    Author: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Published: 2021
    Publisher:  DIW Berlin, German Institute for Economic Research, Berlin

    We study the multifaceted effects and persistence of trade policy shocks on financial markets in a structural vector autoregression. The model is identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 14
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    We study the multifaceted effects and persistence of trade policy shocks on financial markets in a structural vector autoregression. The model is identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively, increasing market uncertainty, lowering interest rates, and leading to an appreciation of the US-Dollar. The effects are significant for several weeks or quarters. Regarding shock types, we reveal a dominating trade policy uncertainty shock and a weaker level shock. Chinese trade policy shocks against the US further hurt US stocks.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/235764
    Series: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1956
    Subjects: Außenwirtschaftspolitik; Aktienmarkt; Wechselkurs; Zins; Wirkungsanalyse; VAR-Modell; USA; China; Trade policy shock; structural VAR; stock prices; exchange rates; interest rates; heteroskedasticity
    Scope: 1 Online-Ressource (circa 78 Seiten), Illustrationen
  20. Sectorial holdings and stock prices
    the household-bank nexus
    Author: Lamas, Matías; Martínez-Miera, David
    Published: 2021
    Publisher:  Banco de España, Madrid

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 2130
    Subjects: household ownership; stock prices; equity issuance; banks; non-fi nancialcorporations; liquidity provision; informational asymmetries
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  21. Quantitative easing during the COVID-19 pandemic
    a cross-country study
    Author: Stefański, Maciej
    Published: June 2023
    Publisher:  Warsaw School of Economics, Collegium of Economic Analysis, [Warsaw]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 20.500.12182/1091
    Series: Collegium of Economic Analysis working paper series ; number: 088 (2023)
    Subjects: unconventional monetary policy; large-scale asset purchases; QE; GDP; inflation; stock prices; government bond yields; credibility; comparative study
    Scope: 1 Online-Ressource (circa 81 Seiten), Illustrationen
  22. Evaluating the portfolio rebalancing hypothesis in the presence of the international goods market
    Author: McKinnon, Kate
    Published: 2019
    Publisher:  Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, [Canberra]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CAMA working paper ; 2019, 85 (November 2019)
    Subjects: Exchange rates; commodity prices; stock prices; commodity currencies
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  23. The Chinese and the big three credit rating agencies
    their impact on stock prices
    Author: Chodnicka-Jaworska, Patrycja; Jaworski, Piotr
    Published: [2019]
    Publisher:  University of Warsaw, Faculty of Management Press, Warsaw, Poland

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: UW Faculty of Management working paper series ; 2019, no 2 (February 2019)
    Subjects: stock prices; abnormal rates of return; credit rating
    Scope: 1 Online-Ressource (circa 29 Seiten)
  24. Exchange rates and asset prices
    heterogeneous agents at work
    Author: Piccillo, Giulia
    Published: 2013
    Publisher:  CESifo, München

    This paper merges two branches of the literature. On one hand we study a heterogeneous agents framework to model exchange rates and stock prices. On the other hand we model the relationship between these two series through a DSGE model. Investors... more

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    Staats- und Universitätsbibliothek Bremen
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    This paper merges two branches of the literature. On one hand we study a heterogeneous agents framework to model exchange rates and stock prices. On the other hand we model the relationship between these two series through a DSGE model. Investors choose one of two rules to form their expectations. One rule is based on an open economy model, which reacts to the information from the financial markets. The second rule follows a backward looking approach. We find that when DSGE agents misinterpret the information coming from the financial markets as exogenous productivity shocks they unknowingly amplify the volatility of these markets. The simulated series replicate the stylized facts of real data. We also estimate the DSGE and chartists expectations, and we find that our DSGE agents make output forecasts that are not qualitatively different than the DSGE forecasts from the recent Bayesian literature.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/77716
    RVK Categories: QB 910
    Series: Array ; 4257
    Subjects: heterogeneous agents; DSGE; exchange rates; stock prices
    Scope: Online-Ressource (29 S.), graph. Darst.
  25. The multifaceted impact of US trade policy on financial markets
    Author: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Published: 2022
    Publisher:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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