Sökning: "Comovement"

Visar resultat 1 - 5 av 8 uppsatser innehållade ordet Comovement.

  1. 1. Interpreting Sensitivity

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Charlie Nilsson; [2023]
    Nyckelord :excess sensitivity; comovement; non-Ricardian households; liquidity constraints; retirement puzzle; Business and Economics;

    Sammanfattning : 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. LÄS MER

  3. 2. Excess Comovement by Index Events: An Extension to the Swedish Stock Market

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Hampus Adebäck; Eric Schagerlund; [2020]
    Nyckelord :Excess comovement; Index effect; Momentum; Matching stocks; OMXSB;

    Sammanfattning : 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. LÄS MER

  4. 3. The Implications of Increased Passive Investment: A Theoretical Approach

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Henrik Taro Hansson; Lisa-Maria Jonsson; [2020]
    Nyckelord :Passive Investment; Capital Markets; Market Efficiency; Asset Market Simulation;

    Sammanfattning : 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. LÄS MER

  5. 4. Segmenting Observed Time Series Using Comovement and Complexity Measures

    Master-uppsats, KTH/Matematisk statistik

    Författare :Lee Norgren; [2019]
    Nyckelord :Time Series; Correlation; Baur Comovement; Kolmogorov Complexity; Tidsserie; Korrelation; Baur Comovement; Kolmogorovkomplexitet;

    Sammanfattning : 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. LÄS MER

  7. 5. Optimal Monetary Policy, Macroprudential Instruments, and the Credit Cycle

    Master-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Camilo Marchesini; [2019]
    Nyckelord :Monetary policy; macroprudential regulation; banking; financial frictions;

    Sammanfattning : 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. LÄS MER