Search results for "Econometric"

FISCAL POLICY AND ASSET PRICES

2011

We assess the role played by fiscal policy in explaining the dynamics of asset markets. Using a panel of ten industrialized countries, we show that a positive fiscal shock has a negative impact in both stock and housing prices. However, while stock prices immediately adjust to the shock and the effect of fiscal policy is temporary, housing prices gradually and persistently fall. As a result, the attempts of fiscal policy to mitigate stock price developments may severely de-stabilize housing markets. The empirical findings also point to: (i) a contractionary effect of fiscal policy on output in line with the existence of crowding-out effects; (ii) a weakening of the effectiveness of fiscal p…

Does Shariah compliance make interest rate sensitivity of Islamic equities lower? An industry level analysis under different market states

2018

This paper examines the sensitivity of the Dow Jones Islamic market index and its corresponding industry equity indices to changes in the level, slope and curvature of the U.S. term structure of in...

Main driving factors of the interest rate-stock market Granger causality

2017

Abstract This paper investigates the causal relationship between changes in the 10-year Treasury bond yield and the S&P 500 stock return in the United Sates with emphasis on time variation, stress factors and smooth regime transition. First, the time-varying Granger causality test proposed by Lu et al. (2014) is applied. Then a two-regime multifactor smooth transition regression model with a single transition variable representing a wide range of macroeconomic and financial variables is estimated in order to identify the key explanatory factors governing the causal relationship. The results show a significant bidirectional causal relationship over most of the study period, mainly due to the…

A Spatiotemporal Solution for the Simultaneous Sale Price and Time-on-the-Market Problem

2015

There exists an important methodological challenge when dealing with sale price and time-on-the-market variables because both variables are simultaneously determined and related to the motivation of the sellers and buyers. Exploiting the fact that transactions occur over space and time, we propose a two-stage approach based on instrumental variables (IV) built from information collected from previous transactions. The unidirectional temporal property and the fact that other transactions are exogenous from the perspective of a single buyer or seller are exploited to evaluate the effect of the sale price on time-on-the-market, and the effect of time-on-the-market on the sale price. Based on 2…

Stock market and exchange rate information in the Taylor rule : Evidence from OECD countries

2017

We analyze the effects of stock market and exchange rate information in a forward-looking Taylor rule for monthly data from 14 OECD countries during the years 1999–2016. Especially the stock market information in the form of dividend but also the currency market information in the form of real exchange rate are revealed to be relevant in Taylor rule for many of the countries examined by helping to strengthen the role of inflation and real economic activity deviations in the policy rule. In many cases the rule also seems to be opportunistic, i.e., the inflation target has been time-varying. peerReviewed

Entre indemnisation et effort de reclassement Quel compromis social lors des restructurations ?

2012

National audience; Alors que l’évolution des cadres normatifs va tendanciellement dans le sens d’un dialogue social renforcé, l’observation récente des phénomènes de restructuration en France semble indiquer une recrudescence de la conflictualité. Ce constat, pour autant qu’il soit valide, est porteur de questionnements : le recours au rapport de force constitue-t-il une stratégie préférable à l’identification de solutions négociées ? Peut-on faire un lien entre la forme prise par l’interaction sociale à l’occasion des restructurations et le type de mesures envisagées dans les compromis sociaux ?

The Rise in Inequality after Pandemics: Can Fiscal Support Play a Mitigating Role?

2021

Abstract Major epidemics of the last two decades (SARS, H1N1, MERS, Ebola, and Zika) have been followed by increases in inequality [Furceri et al. (2020), COVID Economics, 12, 138–157]. In this article, we show that the extent of fiscal consolidation in the years following the onset of these pandemics has played an important role in determining the extent of the increase in inequality. Episodes marked by extreme austerity—measured using either the government’s fiscal balance, health expenditures, or redistribution—have been associated with an increase in the Gini measure of inequality three times as large as in episodes where fiscal policy has been more supportive. We survey the evidence th…

Green Versus Radical Right as the New Political Divide? The European Parliament Election 2019 in Germany

2020

COVID‐19 and tourism: What can we learn from the past?

2020

Abstract The impact of the COVID‐19 crisis on tourism flows is without precedent in terms of speed and severity. In this paper, we try to infer a possible future scenario for the tourism sector, evaluating the medium‐term effects of past pandemics on tourist arrivals. We find that pandemics lead to a persistent decline in tourist arrivals, with the effects being larger in developing and emerging countries. Interestingly, the effects are heterogeneous across countries and episodes, and depend on several economic conditions such as the overall health system performance, the severity of the shock, and the uncertainty induced by the pandemic event.

Offshoring and Sequential Production Chains: A General-Equilibrium Analysis

2021

The Canadian journal of economics = Revue canadienne d'économique (2021). doi:10.1111/caje.12506