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Gesucht nach "Volatility".
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• Publikationen // 01.10.2023

  Discussion und Working Paper - `Deja vol' revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios

  question whether macroeconomic variables contain information about future stock volatility beyond that contained in past volatility. We show that forecasts of GDP and industrial production growth from the Federal [...] Professional Forecasters predict volatility in a cross-section of 49 industry portfolios. The expectation of higher growth rates is associated with lower stock volatility. Inflation forecasts predict higher [...] higher or lower stock volatility depending on the state of the economy and the stance of monetary policy. Forecasts of higher unemployment rates are good news for stocks during expansions and go along with
• Publikationen // 05.01.2021

  ZEW Discussion Paper - Career Paths in Online Labor Markets: Same, Same but Different?

  of online labor markets calls the validity of traditional career models into question. Given the volatility and digital nature of this environment, short-term employment relationships and heterogeneity of
• Publikationen // 13.11.2020

  Referierte Fachzeitschrift - Buffering volatility: Storage investments and technology-specific renewable energy support

  paper examines the suitability of regulatory (public policy) mechanisms for coping with the volatility induced by intermittent RE sources, using a numerical equilibrium model of a future wholesale
• Publikationen // 30.10.2020

  ZEW Discussion Paper - Short-Term Impacts of Carbon Offsetting on Emissions Trading Schemes: Empirical Insights from the EU Experience

  of shocks and the impact on volatility, the influence is mainly from allowances to credits. The allowance price volatility explains between 56% and 72% of the credit volatility whereas the latter explains [...] advantage of cheaper abatement opportunities enables efficiency gains, the impact on the price volatility in the emission trading schemes is unclear. We conduct an empirical analysis of the short-term
• Publikationen // 15.10.2018

  Referierte Fachzeitschrift - Dynamics of Commercial Real Estate Asset Markets, Return Volatility, and the Investment Horizon

  The term structure of return volatility is estimated for both UK and US direct and securitised commercial real estate, using vector autoregressions. In a similar manner to the general stock market, returns [...] news, which can be interpreted as an under-reaction to cash-flow news. When estimating the return volatility of direct real estate markets, long-term investors need not be concerned about the choice of the [...] the parameter value used to unsmooth appraisal-based returns, because estimates of long-term volatility are almost unaffected by this choice.
• Veranstaltungen // 09.11.2017

  A Global Account of Volatility and Structural Transformation

  In Rahmen dieses Papiers wird untersucht, inwiefern strukturelle Transformationen und sektorenspezifische Volatilität Schwankungen in globalen Konjunkturzyklen beeinflussen. Mithilfe des vorgeschlage
• Publikationen // 05.04.2017

  Referierte Fachzeitschrift - A Financially Stressed Euro Area

  Banking Crisis" factor, a "Stress" factor and a "Yield Curve" factor seems to explain the bulk of volatility in recent euro area financial sector data. Moreover, by a real-time forecasting exercise, the authors
• Publikationen // 11.01.2017

  ZEW Discussion Paper - Housing Booms and Busts and Local Fiscal Policy

  This paper examines how local governments adjust their spending, savings and taxes in response to a temporary revenue windfall generated by a housing boom and how they cope with the inevitable shortfa
• Veranstaltungen // 18.10.2012

  Credit Shocks, Monetary Policy, and Business Cycles: Evidence from a Structural Time Varying Bayesian FAVAR

  The model has time varying parameters and volatilities. I identify a number of episodes with high volatility in the common component of credit spreads. Often, though not always, these episodes coincide with
• Veranstaltungen // 22.10.2009

  Forecast Combinations across Estimation Windows

  different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks, and to the linear regression model when the slope