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Members Research Papers

CONTAGION OR FLIGHT-TO-QUALITY PHENOMENA IN STOCK AND BOND RETURNS

Keywords: 
Contagion, Markov-switching, Non-linearities, Regime Changes, Stock-Bond Correlation
Version Date: 
Feb 2012
Author/s: 
Apostolos Thomadakis
Abstract: 

In this paper, I study the correlation between stock and bond returns. We can define flight-to-quality from stocks to bonds as the decrease in the correlation between the two assets in falling stock markets periods (bear state), since the two assets returns move in the opposite direction.

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Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns

JEL codes: 
C32, E44, G10
Keywords: 
Contagion, Markov-switching, Non-linearities, Regime Changes, Stock-Bond Correlation
Version Date: 
Feb 2012
Author/s: 
Apostolos Thomadakis
Abstract: 

In this paper, I study the correlation between stock and bond returns. We can define flight-to-quality from stocks to bonds as the decrease in the correlation between the two assets in falling stock markets periods (bear state), since the two assets returns move in the opposite direction.

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Sticky Prices: A New Monetarist Approach

JEL codes: 
E31, E42, E52
Version Date: 
Jan 2012
Author/s: 
Allen Head, Lucy Qian Liu, Guido Menzio, Randall Wright
Abstract: 

Why do some sellers set nominal prices that apparently do not respond to changes in
the aggregate price level? In many models, prices are sticky by assumption; here it
is a result. We use search theory, with two consequences: prices are set in dollars,
since money is the medium of exchange; and equilibrium implies a nondegenerate

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Bayesian Doubly Adaptive Elastic-Net Lasso for VAR Shrinkage

JEL codes: 
C11, C32, C53
Keywords: 
Bayesian inference, VAR, Lasso, Adaptive
Version Date: 
Jan 2012
Author/s: 
Deborah Gefang
Abstract: 

We develop a novel Bayesian doubly adaptive elastic-net Lasso (DAELasso) approach for
VAR shrinkage. DAELasso achieves data selection and coefficients shrinkage in a data based manner.
It constructively deals with the explanatory variables that tend to be highly collinear by encouraging

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Prior Selection for Vector Autoregressions

Version Date: 
Dec 2011
Author/s: 
Domenico Giannone, Michele Lenza, Giorgio Primiceri
Abstract: 

Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts, particularly for models with many variables.

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Money in the production function: a new Keynesian DSGE perspective

JEL codes: 
E23, E31, E52
Keywords: 
Bayesian estimation, Money in the production function, DSGE
Version Date: 
Dec 2011
Author/s: 
Jonathan Benchimol
Abstract: 

This paper proposes a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model where real money balances enter the production function. By using a Bayesian analysis, our model shows that money is not an omitted input to the production process and rejects the decreasing returns to scale hypothesis.

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How Do Credit Supply Shocks Propagate Internationally? A GVAR approach

JEL codes: 
F15, F36, F41
Keywords: 
international business cycles, sign restrictions, credit supply shocks, global VAR, trade and financial integration
Version Date: 
Dec 2011
Author/s: 
Sandra Eickmeier
Abstract: 

We study how credit supply shocks in the US, the euro area and Japan are transmitted to other economies. We use the recently-developed GVAR approach to model financial variables jointly with macroeconomic variables in 33 countries for the period 1983-2009.

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Aggregate Hours Worked in OECD Countries: New Measurement and Implications for Business Cycles

JEL codes: 
E32, F41, J20
Keywords: 
Hours Worked, Great Recession, Labor Wedge
Version Date: 
Dec 2011
Author/s: 
Andrea Raffo
Abstract: 

We build a dataset of quarterly hours worked for 14 OECD countries. We document that hours are as volatile as output, that a large fraction of labor adjustment takes place along the intensive margin, and that

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The British opt-out from the European Monetary Union: empirical evidence from monetary policy rules

JEL codes: 
E32, E52
Keywords: 
Taylor rule; European monetary integration; Regime switching models; Interest rate smoothing.
Version Date: 
Nov 2011
Author/s: 
Stefano D'Addona
Abstract: 

We analyze the current state of the monetary integration in Europe focusing on the UK position regarding the European Monetary
Union. The interest rates decisions of the European Central Bank
and the Bank of England are compared through different specifications of the Taylor Rule.

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Institutions and Business Cycles

JEL codes: 
E32
Keywords: 
business cycles, Synchronization, Institutions, nonparametric analysis
Version Date: 
Nov 2011
Author/s: 
Sumru Altug
Abstract: 

This paper investigates the relationship between the main features of business cycles and the institutional and structural characteristics of countries of up to 62 industrial, emerging and formerly centrally planned economies from all continents. We derive the business cycle characteristics using the nonparametric Harding-Pagan approach.

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