Essays about: "Comovement"
Showing result 1 - 5 of 8 essays containing the word Comovement.
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1. Interpreting Sensitivity
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The standard interpretation of aggregate excess sensitivity is that it represents the economy share of non-Ricardian households. However, household level evidence suggests that excess sensitivity can also be explained by the comovement of consumption and income over the lifetime, which occurs due to retirement and changes in household size. READ MORE
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2. Excess Comovement by Index Events: An Extension to the Swedish Stock Market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Using momentum and fundamental changes as control variables for stocks subject to index events have shown to disprove previous evidence of excess comovement (Chen et al, 2016, Kasch and Sarkar, 2014, Von Drathen, 2014). This thesis examines if the control variables disprove excess comovement, to the same extent, when examining an index on another stock market outside the U. READ MORE
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3. The Implications of Increased Passive Investment: A Theoretical Approach
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : In this thesis, a theoretical model is constructed to assess potential implications of increased passive investment on capital market efficiency and stability. A population of active and passive investors is simulated in an artificial asset market to examine how the share of passive investment affects pricing efficiency, volatility, and comovement between assets. READ MORE
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4. Segmenting Observed Time Series Using Comovement and Complexity Measures
University essay from KTH/Matematisk statistikAbstract : Society depends on unbiased, efficient and replicable measurement tools to tell us more truthfully what is happening when our senses would otherwise fool us. A new approach is made to consistently detect the start and end of historic recessions as defined by the US Federal Reserve. READ MORE
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5. Optimal Monetary Policy, Macroprudential Instruments, and the Credit Cycle
University essay from Uppsala universitet/Nationalekonomiska institutionenAbstract : I study optimal monetary and macroprudential policies in a New Keynesian DSGE framework with leverageconstrainedbanks. In particular, I assess the desirability of alternative operational policy rules when theeconomy is hit by mortgage default shocks and show that their implications for inflation dynamics and policytrade-offs depend on whether the shocks originate in the household sector or in the entrepreneurial sector ofthe economy. READ MORE
