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SSRN Electronic Journal, 2013
I introduce a general equilibrium model with active investors and indexers. The presence of indexers causes market segmentation, and the degree of segmentation is linked to the relative wealth of indexers in the economy. Any shock to this relative wealth generates excess comovement by inducing correlated shocks to discount rates of index stocks.
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I introduce a general equilibrium model with active investors and indexers. The presence of indexers causes market segmentation, and the degree of segmentation is linked to the relative wealth of indexers in the economy. Any shock to this relative wealth generates excess comovement by inducing correlated shocks to discount rates of index stocks.
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Provincial co-movement in Chinese stock returns
Applied Financial Economics Letters, 2007Stock returns in China exhibit significant co-movement with provincial return indices after controlling for the industry effect, consistent with local co-movement findings in the United States. The magnitude of such co-movement increases with participation in trading by local investors.
Udomsak Wongchoti, Fei Wu
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Regional UK House Price Co-Movement
SSRN Electronic Journal, 2019Cyclical synchronization of home prices has important implications for monetary (and other) policies. Regional house price divergence, even over a business cycle, can inhibit labor mobility and prevent workers from moving to where they could add most to their own wages and overall growth. We study house price co-movement across the different UK regions
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CAN HERDING EXPLAIN CYCLIC CO-MOVEMENT?
International Game Theory Review, 2002Recently, co-movement and the synchronised pattern of business cycles on various scales (sectoral, national, etc.) attract growing attention among macroeconomists. This paper integrates qualitative implications of a simple endogenously-timed herding model's logic into an investment cycle model.
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International Co-Movements in Recessions
SSRN Electronic Journal, 2018Business cycle correlations are state-dependent and higher in recessions than in expansions. In this paper, I suggest a mechanism to explain why this is the case. For this purpose, I build an international real business cycle model with occasionally binding constraints on capacity utilization which can account for state-dependent cross-country ...
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The excess co‐movement of commodity prices reconsidered
Journal of Applied Econometrics, 1996This paper provides an empirical reconsideration of evidence for excess co-movement of commodity prices within the framework of univariate and multivariate GARCH(1, 1) models. Alternative formulations of zero excess co-movement are provided, and corresponding score and likelihood ratio tests are developed.
Deb, Partha +2 more
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Multiscale Frequent Co-movement Pattern Mining
2020 IEEE 36th International Conference on Data Engineering (ICDE), 2020Thanks to recent prevalence of location tracking technologies, collecting massive spatiotemporal datasets containing moving object trajectories has become possible, providing an exceptional opportunity to derive interesting insights about the behavior of moving objects such as people, animals, and vehicles.
Shahab Helmi, Farnoush Banaei-Kashani
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Co-movement in Inflation [PDF]
, 2012 Inflation rates across countries tend to exhibit a degree of co-movement. In this paper we use a panel vector autoregression (panel VAR) model to investigate possible explanations of this co-movement for the G7 economies. Shocks to commodity prices are found to be more important than common movements in real activity as a driver of 'global inflation ...
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Co-Movement between Equity and Bond Markets
SSRN Electronic Journal, 2017Abstract This study explores the co-movement between equity and bond markets and decomposes it into the equity-bond, equity, and bond co-movements. Moreover, the estimation method captures the heterogeneity between developed and emerging equity markets.
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What Explains International Interest Rate Co-Movement?
2023We show that global supply and demand shocks are important drivers of interest rate co-movement across seven advanced economies. Beyond that, local structural shocks transmit internationally via aggregate demand channels, and central banks react predominantly to domestic macroeconomic developments: unexpected monetary policy tightening decreases most ...
Camehl, Annika, von Schweinitz, Gregor
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