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Author : Paramsothy Silvapulle
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 ( download)
Download or read book Business Cycle Asymmetry and the Stock Market written by Paramsothy Silvapulle and published by . This book was released on 1997 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dale L. Domian
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Business Cycle Asymmetry and the Stock Market written by Dale L. Domian and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We present and estimate models of an asymmetric relationship between CRSP stock index returns and the U.S. unemployment rate. Based on the Akaike Information Criterion, conventional linear time series models are improved by allowing asymmetric responses. Our results show that negative stock returns are quickly followed by sharp increases in unemployment, while more gradual unemployment declines follow positive stock returns. According to our forecasting model, the unemployment rate rises by 1.12 percentage points during the 12 months after a 10 percent stock decline. Because macroeconomics forecasters have been unable to reliably predict downturns, these findings may provide a useful contribution.
Author : Ms.Valerie Cerra
Publisher : International Monetary Fund
ISBN 13 : 1513536990
Total Pages : 50 pages
Book Rating : 4.5/5 (135 download)
Download or read book Hysteresis and Business Cycles written by Ms.Valerie Cerra and published by International Monetary Fund. This book was released on 2020-05-29 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditionally, economic growth and business cycles have been treated independently. However, the dependence of GDP levels on its history of shocks, what economists refer to as “hysteresis,” argues for unifying the analysis of growth and cycles. In this paper, we review the recent empirical and theoretical literature that motivate this paradigm shift. The renewed interest in hysteresis has been sparked by the persistence of the Global Financial Crisis and fears of a slow recovery from the Covid-19 crisis. The findings of the recent literature have far-reaching conceptual and policy implications. In recessions, monetary and fiscal policies need to be more active to avoid the permanent scars of a downturn. And in good times, running a high-pressure economy could have permanent positive effects.
Author : Edgar Lawrence Smith
Publisher :
ISBN 13 :
Total Pages : 232 pages
Book Rating : 4.:/5 (8 download)
Download or read book Common Stocks and Business Cycles written by Edgar Lawrence Smith and published by . This book was released on 1959 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Daniel E. Sichel
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (223 download)
Download or read book Business Cycle Asymmetry written by Daniel E. Sichel and published by . This book was released on 1987 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert J. Gordon
Publisher : University of Chicago Press
ISBN 13 : 0226304590
Total Pages : 882 pages
Book Rating : 4.2/5 (263 download)
Download or read book The American Business Cycle written by Robert J. Gordon and published by University of Chicago Press. This book was released on 2007-11-01 with total page 882 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent decades the American economy has experienced the worst peace-time inflation in its history and the highest unemployment rate since the Great Depression. These circumstances have prompted renewed interest in the concept of business cycles, which Joseph Schumpeter suggested are "like the beat of the heart, of the essence of the organism that displays them." In The American Business Cycle, some of the most prominent macroeconomics in the United States focuses on the questions, To what extent are business cycles propelled by external shocks? How have post-1946 cycles differed from earlier cycles? And, what are the major factors that contribute to business cycles? They extend their investigation in some areas as far back as 1875 to afford a deeper understanding of both economic history and the most recent economic fluctuations. Seven papers address specific aspects of economic activity: consumption, investment, inventory change, fiscal policy, monetary behavior, open economy, and the labor market. Five papers focus on aggregate economic activity. In a number of cases, the papers present findings that challenge widely accepted models and assumptions. In addition to its substantive findings, The American Business Cycle includes an appendix containing both the first published history of the NBER business-cycle dating chronology and many previously unpublished historical data series.
Author : Peter N. Smith
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Asymmetric Effect of the Business Cycle on the Relation between Stock Market Returns and Their Volatility written by Peter N. Smith and published by . This book was released on 2008 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the relation between US stock market returns and the US business cycle for the period 1960 - 2003 using a new methodology that allows us to estimate a time-varying equity premium. We identify two channels in the transmission mechanism. One is through the mean of stock returns via the equity risk premium, and the other is through the volatility of returns. We confirm previous findings based on simple correlation analysis that the relation is asymmetric with downturns in the business cycle having a greater negative impact on stock returns than the positive effect of upturns. We also obtain a new result, that demand and supply shocks affect stock returns differently. Our model of the relation between returns and their volatility is derived from the stochastic discount factor model of asset pricing which encompasses CAPM, consumption CAPM and Merton's (1973) inter-temporal CAPM. It is implemented using a multi-variate GARCH-in-mean model with a time-varying conditional heteroskedasticity and correlation structure.
Author : Ed Easterling
Publisher :
ISBN 13 :
Total Pages : 302 pages
Book Rating : 4.3/5 ( download)
Download or read book Unexpected Returns written by Ed Easterling and published by . This book was released on 2005 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Before you read any how-to investment books or seek financial advice, read Unexpected Returns, the essential resource for investors and investment professionals who want to understand how and why the financial markets are not the same now as they were in the 1980s and 1990s. In addition to explaining the fundamentals, this book takes you on a graphic journey through the seasons of the market, tying together economics and finance to explain the stock market's cycles. Using comprehensive full-color charts and graphs, it offers an in-depth exploration of what has changed over the past five years - and what you can do about it to avoid disappointment with your investments. This unique combination of investment science and investment art will enable you to differentiate between irrational hope and a rational view of the current financial markets. Based on years of meticulous research, it provides the sensible conclusions that will drive your future investment choices and give you the confidence to rely on your investment outlook, whatever your financial strategy. Book jacket.
Author : Gabriel Pérez-Quirós
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (466 download)
Download or read book Business Cycle Asymmetries in Stock Returns written by Gabriel Pérez-Quirós and published by . This book was released on 2001 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gabriel Perez-Quiros
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (18 download)
Download or read book Business Cycle Asymmetric in Stock Returns written by Gabriel Perez-Quiros and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James Morley
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (13 download)
Download or read book Is Business Cycle Asymmetry Intrinsic in Industrialized Economies? written by James Morley and published by . This book was released on 2018 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider a model-averaged forecast-based estimate of the output gap to measure economic slack in ten industrialized economies. Our measure takes changes in the long-run growth rate into account and, by addressing model uncertainty using equal weights on different forecast-based estimates, is robust to different assumptions about the underlying structure of the economy. For all ten countries in the sample, we find that the estimated output gap has much larger negative movements during recessions than positive movements in expansions, suggesting business cycle asymmetry is an intrinsic characteristic of industrialized economies. Furthermore, the estimated output gap is always strongly negatively correlated with future output growth and unemployment and positively correlated with capacity utilization. It also implies a convex Phillips Curve in many cases. The model-averaged output gap is reliable in real time in the sense of being subject to relatively small revisions.
Author : Chang-Jin Kim
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (318 download)
Download or read book Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations written by Chang-Jin Kim and published by . This book was released on 2000 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper investigates the nature of business cycle asymmetry using a dynamic factor model of output, investment, and consumption. We first identify a common stochastic trend and a common transitory component by embedding the permanent income hypothesis within a simple growth model. We then investigate two types of asymmetry commonly identified in U.S. business cycle dynamics: (1) Infrequent negative permanent shocks, modeled as shifts in the growth rate of the common stochastic trend and (2) infrequent negative transitory shocks, modeled as "plucking" deviations from the common stochastic trend. Tests of marginal significance suggest both types of asymmetry were present in post-war recessions, although the shifts in trend are less severe than the received literature suggests."
Author : Marcelle Chauvet
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (129 download)
Download or read book Stock Market Fluctuations and the Business Cycle written by Marcelle Chauvet and published by . This book was released on 2001 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the dynamic relationship between stock market fluctuations and the business cycle. Presumably, stock market movements reflect positions taken by market participants based on their assessment about the current state of the economy. Given the forward-looking behavior of stock market investors, this paper explores the possibility of predicting business cycle turning points using promptly available financial variables. Stock market fluctuations and business cycles are represented by nonlinear dynamic factors at the monthly frequency. The proposed model generates predictions of business cycle turning points using the business cycle factor, and anticipation of these predicted turns using the stock market factor. The findings indicate that the extracted stock market factor is found to be a leading indicator of the state of the business cycle and can be used to anticipate its turning points in real time.
Author : Domenico Ferraro
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book The Scarring Effect of Asymmetric Business Cycles written by Domenico Ferraro and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Business cycle fluctuations in the U.S. employment-to-population ratio are asymmetric: deviations below trend (troughs) are larger than deviations above trend (peaks). This asymmetry has a "scarring effect," which reduces the average level of the employment-to-population ratio around which the economy fluctuates. To quantify such a scar, we formulate an equilibrium business cycle model featuring frictional unemployment and a labor force participation choice that produces the observed labor market asymmetry in the face of symmetric business cycle shocks. We quantify that the employment-to-population ratio would be 0.3 percentage points higher in the absence of cyclical fluctuations. Further, by dampening business cycles, counter-cyclical stabilization policy reduces the job loss by 70%.
Download or read book Consumption Asymmetry and the Stock Market written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William Robert Turner
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (134 download)
Download or read book The Magnifying Impact of the Business Cycle Upon the Course and Direction of Stock Market Prices written by William Robert Turner and published by . This book was released on 1986 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Carl Lönnbark
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (93 download)
Download or read book Asymmetry with Respect to the Memory in Stock Market Volatilities written by Carl Lönnbark and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
