Results 141 to 150 of about 1,779,916 (322)

Predicting the Number of Suicides in Japan Using Internet Search Queries: Vector Autoregression Time Series Model. [PDF]

JMIR Public Health Surveill, 2021
Taira K, Hosokawa R, Hosokawa R, Itatani T, Fujita S.   +4 more
europepmc   +1 more source

Illuminating OTC markets: The impact of public disclosures on trading dynamics

Journal of Financial Research, EarlyView.
Abstract In this article, we examine market reactions to US Securities and Exchange Commission (SEC) disclosures in the US over‐the‐counter (OTC) equity market, where public information is often scarce. We find that OTC securities exhibit stronger and more persistent responses to disclosures than exchange‐traded securities, highlighting investors ...
Travis Box, Ryan Davis
wiley   +1 more source

Dynamic Economic Relationships Among U.S. Soy Product Markets: Using a Cointegrated Vector Autoregression Approach with Directed Acyclic Graphs

This paper applies a combined methodology of a recently developed directed acyclic graph (DAG) analysis with Johansen and Juselius' methods of the cointegrated vector autoregression (VAR) model to a monthly U.S.
Rogowsky, Robert A., Babula, Ronald A., Bessler, David A.   +2 more
core  

Financial Fragility and the Fiscal Multiplier

Journal of Money, Credit and Banking, EarlyView.
Abstract We show that undercapitalized banks with large holdings of government bonds subject to sovereign default risk lead to a new crowding‐out channel: deficit‐financed fiscal stimuli lead to higher bond yields, triggering capital losses for the banks. Banks then cut back loans, which reduces fiscal multipliers.
CHRISTIAAN VAN DER KWAAK, SWEDER VAN WIJNBERGEN   +1 more
wiley   +1 more source

Heterogeneity in Manufacturing Growth Risk

Journal of Money, Credit and Banking, EarlyView.
Abstract We analyze differences in output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multilevel quantile regression approach, we find that industries exhibit heterogeneous increases of downside risk in times of tight financial conditions, while upside potential remains stable.
DAAN OPSCHOOR, DICK VAN DIJK, PHILIP HANS FRANSES   +2 more
wiley   +1 more source

Taylor Rule Deviations Across Horizons: A Practical Tool for Monetary Policy

Journal of Money, Credit and Banking, EarlyView.
Abstract We propose “Taylor rule yields” across horizons for the United States. Applying the standard Taylor rule to expected paths of inflation and the output gap, we construct a sequence of short‐term rates under neutral monetary policy stances, whose average defines the Taylor rule yield at each horizon.
MASAZUMI HATTORI, TOMOHIDE MINEYAMA, JOUCHI NAKAJIMA   +2 more
wiley   +1 more source

EGG PRICES REVISITED

Recent egg price quotes are evaluated in a vector autoregression. The results indicate that empirical relationships observed over the period 1975-1976 differ from those observed over the period 1979-1982.Demand and Price Analysis,
Schrader, Lee F., Bessler, David A., Preston, Warren P.   +2 more
core  

Risk spillovers between the financial market and macroeconomic sectors under mixed-frequency information: A frequency domain perspective

International Review of Economics & Finance
We construct the Mixed-Frequency Vector Autoregression of Frequency Domain Decomposition model, labeled as MF-VAR-FDD, to investigates the risk spillovers between financial market and the macroeconomic sectors.
Mengting Li, Xiaofu Ma, Junsheng Jia, Chen Zhu   +3 more
doaj   +1 more source

Another Look at the (Ir)Relevance of Long‐Run Risks for Equity Risk Premia

Journal of Money, Credit and Banking, EarlyView.
Abstract I investigate the empirical asset pricing implications of a three‐factor macro model that extends the baseline consumption model Consumption Capital Asset Pricing Model (CCAPM) by adding the innovations in expected long‐run consumption growth (consumption growth news) and expected long‐run consumption variance (variance news) as risk factors ...
PAULO MAIO
wiley   +1 more source

Analysis of co-explosive processes [PDF]

A vector autoregressive model allowing for unit roots as well as explosive characteristic roots is developed. The Granger-Johansen representation shows that this results in processes with two common features: a random walk and an explosively growing ...
Bent Nielsen
core