| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4153 |
| DP4153 Efficiency Wages, Urban Unemployment and Housing Consumption | |
| Yves Zenou | |
| 发表日期 | 2003-12-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | This paper studies time-series dependence in the direction of stock prices by modelling the (instantaneous) probability that a bull or bear market terminates as a function of its age and a set of underlying state variables such as interest rates. A random walk model is rejected both for bull and bear markets. Although it fits the data better, a GARCH model is also found to be inconsistent with the very long bull markets observed in the data. The strongest effect of increasing interest rates is found to be a lower bear market hazard rate and hence a higher chance of continued declines in stock prices. |
| 主题 | Financial Economics |
| 关键词 | Hazard model Survival rate Interest rate effect |
| URL | https://cepr.org/publications/dp4153 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533124 |
| 推荐引用方式 GB/T 7714 | Yves Zenou. DP4153 Efficiency Wages, Urban Unemployment and Housing Consumption. 2003. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Yves Zenou]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Yves Zenou]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Yves Zenou]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
