scholarly journals Stock returns are not always from the same distribution: Evidence from the Great Recession

2020 ◽  
Vol 17 (3) ◽  
pp. 189-204
Author(s):  
Nektarios A. Michail ◽  
Marina Magidou
Keyword(s):  
Stock Returns ◽  
Great Recession ◽  
Rejection Rate ◽  
Forecast Horizon ◽  
Macroeconomic Variables ◽  
The Great Recession ◽  
Optimal Weights ◽  
Kolmogorov Smirnov ◽  
Von Mises ◽  
Continuous Trading

Portfolio allocation strategies, and notably the mean-variance approach, use past returns to assign optimal weights. Even though both past and expected returns should come from the same distribution, a formal test of whether this holds in practice has not been conducted yet. Thus, the study examines if the daily returns of 242 companies with continuous trading in the S&P index come from the same distribution using the Kolmogorov-Smirnov, Cramér-Von Mises, and Wilcoxon rank-sum tests. The tests suggest that generally stock returns do come from the same distribution. However, the hypothesis is rejected during the Great Recession, with the rejection rate increasing as the forecast horizon increased. The rejection rate, using an array of macroeconomic variables, is found to record high levels of persistence. Although macroeconomic variables were not found to be statistically significant determinants of the rejection rate, market distress has a small but significant effect.

scholarly journals Quality of Life, Health and the Great Recession in Spain: Why Older People Matter?

2021 ◽  
Vol 18 (4) ◽  
pp. 2028
Author(s):  
Carla Blázquez-Fernández ◽  
David Cantarero-Prieto ◽  
Marta Pascual-Sáez
Keyword(s):  
Quality Of Life ◽  
Older People ◽  
Great Recession ◽  
Household Income ◽  
Macroeconomic Variables ◽  
Crisis Period ◽  
The Great Recession ◽  
Health Aging ◽  
Logistic Regressions

The financial crisis of 2008 precipitated the “Great Recession”. In this scenario, we took Spain as a country of study, because although it experienced significant negative shocks associated with macroeconomic variables (GDP or unemployment), its welfare indicators have been marked by limited changes. This study used data from waves 2 and 4 (years 2006–2007 and 2010–2012, respectively) of the Survey on Health, Aging and Retirement in Europe (SHARE). Specifically, through logistic regressions we have analysed the effects of socioeconomic, demographic, health and “Great Recession” factors on the quality of life (QoL) of elders in Spain. Although QoL did not change too much during the “Great Recession”, the results confirmed the importance of several factors (such as chronicity) that affect the satisfaction with the QoL among the older people. In this regard, statistically significant effects were obtained for individual exposure to recession. Therefore, a decrease in household income in the crisis period with respect to the pre-crisis period would increase by 44% the probability of reporting a low QoL (OR = 1.44; 95% CI: 1.00–2.07). Furthermore, gender differences were observed. Health and socioeconomic variables are the most significant when determining individual QoL. Therefore, when creating policies, establishing multidisciplinary collaborations is essential.

scholarly journals Inflation in the Great Recession and New Keynesian Models

2015 ◽  
Vol 7 (1) ◽  
pp. 168-196 ◽  
Author(s):  
Marco Del Negro ◽  
Marc P. Giannoni ◽  
Frank Schorfheide
Keyword(s):  
Monetary Policy ◽  
Great Recession ◽  
Economic Activity ◽  
Financial Frictions ◽  
New Keynesian ◽  
Dsge Models ◽  
Dsge Model ◽  
Macroeconomic Variables ◽  
The Great Recession ◽  
New Keynesian Models

Several prominent economists have argued that existing DSGE models cannot properly account for the evolution of key macroeconomic variables during and following the recent Great Recession. We challenge this argument by showing that a standard DSGE model with financial frictions available prior to the recent crisis successfully predicts a sharp contraction in economic activity along with a protracted but relatively modest decline in inflation, following the rise in financial stress in 2008:IV. The model does so even though inflation remains very dependent on the evolution of economic activity and of monetary policy. (JEL E12, E31, E32, E37, E44, E52, G01)

scholarly journals Tőkeáttételi ciklus vizsgálata a Nagy Recesszióban: Az Amerikai Egyesült Államok gazdaságában végbemenő hitelciklus felépülésének empirikus vizsgálata = Leverage cycle in the Great Recession: An empirical study of the credit cycle in the United States

2021 ◽  
Vol 16 (2) ◽  
pp. 128-151
Author(s):  
Nándor László Flór ◽  
Géza Sebestyén
Keyword(s):  
Great Recession ◽  
Empirical Studies ◽  
Linear Method ◽  
The United States ◽  
Economic Sectors ◽  
Macroeconomic Variables ◽  
The Great Recession ◽  
Us Economy ◽  
Credit Cycle ◽  
The Impact

Jelen cikk egyes makrogazdasági változók hatását vizsgálja a tőkeáttételi ciklus felépülésében az Amerikai Egyesült Államok gazdaságában 1990 és 2015 között. A tőkeáttétel –ahogyan azt a Nagy Recesszió is bebizonyította –sérülékennyé teszi a gazdaságot, amiszélsőséges esetben katasztrófához vezet. A tőkeáttétel a gazdaság egészéhez hasonlóan ciklikusan alakul, ezért ahitelállomány felépülésénekmegértése kritikus.A hitelezésre ható tényezők és más kutatások eredményeinek összefoglalását követően acikkkísérletet tesz arra, hogygazdaságiszektorok szintjén vizsgálja meg,mely változók játszanak fontos szerepet ajelenség mögött.A vizsgálatok elvégzéséhez a szerzők a többváltozós lineáris módszert választottákannak kiderítésére, mennyire mutat egységes képet a gazdaságon belül a tőkeáttétel felépülése.Az elemzés nem terjedki a háztartási hitelezésre, kizárólag a nagyvállalati szegmens folyamataira koncentrál. A szerzők arra amegállapításajutottak, hogy megéri a makrogazdasági változókszerepét iparági szinten vizsgálni, mivel az egyes szektorok esetében eltérő változókbizonyultak szignifikánsnakaz empirikus vizsgálatokalapján. = This article examines the impact of macroeconomic variables over the leverage cycle in the US economy between 1990 and 2015. Leverage –as demonstrated by the Great Recession –makes the whole economy vulnerable, leading to a catastrophe in extreme cases. As in the case of the economy as a whole, leverage is cyclical, so understanding the recovery of the loan portfolio is crucial. After summarizing the results of factors affecting lending and other researches, the article attempts to investigate at the level of economic sectors, which variables play key roles behind this phenomenon. To carry out the examinations, the authors chose the multivariate linear method to find out the general characteristics of the leverage cycle within the economy. The analysis does not include the household lending activity, it concentrates solely on the processes of the large corporate segment. The authors have come to the conclusion that it is worth considering the role of macroeconomic variables at industry level as different variables have proved to be significant on the basis of empirical studies.

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