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The Determinants of Stock and Bond Return Comovements
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In this article, the authors identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation, output growth and dividend payouts.Abstract:
We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and uncertainty about inflation and output as additional potential factors. Even the best-fitting economic factor model fits the dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual correlations not explained by the economic models.read more
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Rent-Sharing under Different Bargaining Regimes: Evidence from Linked Employer-Employee Data
Michael Rusinek,François Rycx +1 more
TL;DR: In this article, the authors use unique linked employer-employee data from a 2003 survey in Belgium to examine how these bargaining features affect the extent of rent-sharing, and they find that there is substantially more rent sharing in decentralized than in centralized industries, even when controlling for the endogeneity of profits, for heterogeneity among workers and firms and for differences in characteristics between bargaining regimes.
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Searching for Additional Sources of Inflation Persistence: The Micro-Price Panel Data Approach
TL;DR: In this article, the authors examined whether there is some additional persistence present in the data on micro-prices, beyond that implied by infrequent price adjustment, and found that in some product categories, particularly food, there is evidence of less sluggishness than what the standard assumptions underlying the New-Keynesian model would imply.
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Endogenous Risk in a DSGE Model with Capital-Constrained Financial Intermediaries
TL;DR: In this paper, a perturbation-based approach is proposed to implement the idea of endogenous financial risk in a standard DSGE macro-model, which is able to identify an important risk channel that derives from the risk aversion of constrained intermediaries and that contributes significantly to the overall financial and macro volatility.
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Multivariate structural time series models with dual cycles : implications for measurement of output gap and potential growth
TL;DR: In this article, the authors introduce a dual cycle model which is an extension to the multivariate trend plus cycle model with phase shifts a la Runstler, which enables hysteresis to be taken into account.
Do survey indicators let us see the business cycle? A frequency decomposition. NBB Working Papers. No. 131, 27 March 2008
TL;DR: In this paper, a frequency domain approach was used to gain insight into the correlation between survey indicators and year-on-year GDP growth, using the Baxter-King filter to split the series into three components: a short-term, a business cycle (oscillations between 18 and 96 months) and a long-term component.
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Journal ArticleDOI
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
TL;DR: In this article, a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic is presented, which does not depend on a formal model of the structure of the heteroSkewedness.
ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.
TL;DR: In this article, the parameters of an autoregression are viewed as the outcome of a discrete-state Markov process, and an algorithm for drawing such probabilistic inference in the form of a nonlinear iterative filter is presented.
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Journal ArticleDOI
Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models
TL;DR: In this article, a new class of multivariate models called dynamic conditional correlation models is proposed, which have the flexibility of univariate generalized autoregressive conditional heteroskedasticity (GARCH) models coupled with parsimonious parametric models for the correlations.