involuntary non standard employment and the economic crisis regional insights from the uk green a e and livanos i involuntary non standard employment and the economic crisis regional insights from the uk regional studies increases in unemployment and non employment in the 2008 2009 economic crisis were less marked than expected in the uk given experience of previous recessions to capture more fully the regional dimensions of economic crisis it is necessary to look also at employment using labour force survey lfs data on involuntary part time working and involuntary temporary working a measure of involuntary non standard employment ine is constructed econometric analyses reveal that there were rises in ine alongside unemployment increases in the economic crisis and that young people individuals from non white ethnic groups and those in weak regional economies were particularly at risk of ine

contagion during the greek sovereign debt crisis abstract we examine the impact of news about greece and news about a greek bailout on bank stock prices in 2010 using data for 48 european banks we identify the twenty days with extreme returns on greek sovereign bonds and categorise the news events during those days into news about greece and news about the prospects of a greek bailout we find that except for greek banks news about greece does not lead to abnormal returns while news about a bailout does even for banks without any exposure to greece or other highly indebted euro countries this finding suggests that markets consider news about the bailout to be a signal of european governments willingness in general to use public funds to combat the financial crisis sovereign bond prices of portugal ireland and spain respond to both news about greece and news about a greek bailout

inclusive growth in cities a sympathetic critique abstractthe concept of inclusive growth a concern with the pace and pattern of growth has become a new mantra in local economic development despite enthusiasm from some policy makers others argue it is a buzzword which is changing little this paper summarizes and critiques this agenda there are important unresolved issues with the concept of inclusive growth which is conceptually fuzzy and operationally problematic has only a limited evidence base and reflects an overconfidence in local government s ability to create or shape growth yet while imperfect an inclusive growth model is better than one which simply ignores distributional concerns

the fed and the stock market an identification based on intraday futures data this article develops a new identification procedure to estimate the contemporaneous relation between monetary policy and the stock market within a vector autoregression var framework the approach combines high frequency data from the futures market with the var methodology to circumvent exclusion restrictions and achieve identification our analysis casts doubt on var models imposing a recursive structure between innovations in policy rates and stock returns we find that a tightening in policy rates has a negative impact on stock prices and that the federal reserve fed has responded significantly to movements in the stock market estimates are robust to various model specifications

asymmetric effects of federal funds target rate changes on s p100 stock returns volatilities and correlations we study the effects of fomc announcements of federal funds target rate decisions on individual stock returns volatilities and correlations at the intraday level for all three characteristics we find that the stock market responds differently to positive and negative target rate surprises first the average response to positive surprises that is bad news for stocks is larger second in case of bad news the mere occurrence of a surprise matters most whereas for good news its magnitude is more important these new insights are possible due to the use of high frequency intraday data

the impact of fomc statements on the volatility of asset prices this article examines the impact of federal open market committee fomc statements on asset prices statements are found to have a much more pronounced impact on the volatility of asset prices than interest rate surprises they influence primarily stock returns intermediate and long term yields whereas short term rates are driven both by statements and by interest rate surprises we also find that the regime shift of may 1999 has improved the effectiveness of monetary policy as reflected in an overall reduction in market volatility during the most recent regime in addition markets are equally well prepared for the upcoming rate decision in both regimes but the process of adjustment depends on whether a statement was issued in the old regime or not when a statement is issued price adjustments are very similar across both periods whereas if no statement is issued then the rate of adjustment towards the new value is more gradual and occurs throughout the entire intermeeting period

price formation and liquidity in the u s treasury market the response to public information the arrival of public information in the u s treasury market sets off a two stage adjustment process for prices trading volume and bid ask spreads in a brief first stage the release of a major macroeconomic announcement induces a sharp and nearly instantaneous price change with a reduction in trading volume demonstrating that price reactions to public information do not require trading the spread widens dramatically at announcement evidently driven by inventory control concerns in a prolonged second stage trading volume surges price volatility persists and spreads remain moderately wide as investors trade to reconcile residual differences in their private views how do financial markets form prices and provide liquidity when information arrives efforts to address this issue have led to an extensive microstructure literature on equity markets and to a lesser extent on the foreign exchange fx market relatively little work has focused on the u s treasury market however in spite of its importance in its own right and the advantages it offers as an alternative testing ground for microstructure hypotheses

reprint of central bank collateral frameworks abstract this paper seeks to inform about a feature of monetary policy that is largely overlooked yet occupies a central role in modern monetary and financial systems namely central bank collateral frameworks their importance can be understood by the observation that the money at the core of these systems central bank money is injected into the economy on terms not defined in a market but by the collateral frameworks and interest rate policies of central banks using the collateral framework of the eurosystem as a basis of illustration and case study the paper brings to light the functioning reach and impact of collateral frameworks a theme that emerges is that collateral frameworks may have distortive effects on financial markets and the wider economy they can for example bias the private provision of real liquidity and thereby also the allocation of resources in the economy as well as contribute to financial instability evidence is presented that the collateral framework in the euro area promotes risky and illiquid collateral and more generally impairs market forces and discipline the paper also emphasizes the important role of ratings and government guarantees in the eurosystem s collateral framework

stock prices and economic news this paper examines the daily response of stock prices to announcements about the money supply inflation real economic activity and the discountrate except for the discount rate survey data on market participants expectations of these announcements are used to identify the unexpected component of the announcements in order to test the efficient markets hypothesis that only the unexpected part of any announcement the surprise moves stock prices the empirical results support this hypothesis and indicate further that surprises related to monetary policy significantly affect stock prices there is only limited evidence of an impact from inflation surprises and no evidence of an impact from real activity surprises on the announcement days there is also only weak evidence of stock price responses to surprises beyond the announcement day this abstract was borrowed from another version of this item

deutsche mark dollar volatility intraday activity patterns macroeconomic announcements and longer run dependencies this paper provides a detailed characterization of the volatility in the deutsche mark dollar foreign exchange market using an annual sample of five minute returns the approach captures the intraday activity patterns the macroeconomic announcements and the volatility persistence arch known from daily returns the different features are separately quantified and shown to account for a substantial fraction of return variability both at the intraday and daily level the implications of the results for the interpretation of the fundamental driving forces behind the volatility process is also discussed the efficient market hypothesis contends that financial asset prices provide rational assessments of fundamental values and future payoffs by implication price changes should reflect the arrival and processing of all relevant new information however the proportion of return variability that can be ascribed to public news announcements is low for example cutler poterba and summers 1989 find that even the largest daily price changes in the stock market generally cannot be associated with any significant economic news 1 moreover proxies for the flow of public information e g the number of news items released by reuter s news service berry and hiowe 1994 or dow jones company mitchell and mulherin 1994 explain little of the overall variation thus if private information is ruled out proponents of rational price formation have to assert the existence of important news items

another theorem on using market demands to determine willingness to pay for non traded goods abstract this paper contains a proof of the following theorem let e1 and e1 denote an agent s expenditures on two groups of goods which are substitutes and complements to a non traded good suppose that both the agent s income and the quantity of the non traded good provided him have a positive effect on these two amounts then these effects can be used to place upper and lower bounds on the agent s marginal willingness to pay for the non traded good

growth still is good for the poor incomes in the poorest two quintiles on average increase at the same rate as overall average incomes this is because in a global dataset spanning 118 countries over the past four decades changes in the share of income of the poorest quintiles are generally small and uncorrelated with changes in average income the variation in changes in quintile shares is also small relative to the variation in growth in average incomes implying that the latter accounts for most of the variation in income growth in the poorest quintiles these findings hold across most regions and time periods and when conditioning on a variety of country level factors that may matter for growth and inequality changes this evidence confirms the central importance of economic growth for poverty reduction and illustrates the difficulty of identifying specific macroeconomic policies that are significantly associated with the relative growth rates of those in the poorest quintiles

response of hourly stock prices and trading volume to economic news this paper examines hourly stock returns and trading volume response to announcements about the money supply consumer price index cpi producer price index industrial production and the unemployment rate the empirical results indicate that surprises in announcements about money supply and cpi are significantly associated with stock price changes the announcements of the other three variables do not affect stock prices significantly trading volume is not affected by any of the five economic variable announcements indicating that market participants do not differ substanti ally in the interpretations of the effects of announcements the spee d of adjustment analysis indicates that the effect of information on stock prices is reflected in a short period of one hour or so copyright 1988 by the university of chicago

events that shook the market tick data on the standard and poor s 500 stock index s p 500 futures contract and newswire searches are used to match events to large 1 to 5 minute stock price changes sixty nine events that led to large stock price changes are identified between 1982 and 1999 53 of which are directly or indirectly related to monetary policy many large stock price changes have no events associated with them

shock effects on stocks bonds and exchange rates abstract tick data and newswire searches are used to find events that led to large and rapid price changes in a stock future a bond future and three exchange rate futures knowledge of these events may be useful in future work they have the advantages that they are truly surprises and that the sign of their effect on each financial instrument is known the events are used in this study to analyze the effects of three types of events monetary price and real on the five instruments

asset pricing in large information networks we study asset pricing in economies with large information networks we focus on networks that are sparse and have power law degree distributions in line with empirical studies of large scale social networks our theoretical framework yields a rich set of novel asset pricing implications we derive closed form expressions for price volatility profitability and trading volume as functions of the network topology we also study agent welfare and show that the network that optimizes total welfare is typically a uniform one with an intermediate degree of connectedness

poverty reduction without economic growth explaining brazil s poverty dynamics 1985 2004 brazil s slow pace of poverty reduction over the last two decades reflects both low growth and a low growth elasticity of poverty reduction using gdp data disaggregated by state and sector for a twenty year period this paper finds considerable variation in the poverty reducing effectiveness of growth across sectors across space and over time growth in the services sector was substantially more poverty reducing than was growth in either agriculture or industry growth in industry had very different effects on poverty across different states and its impact varied with initial conditions related to human development and worker empowerment the determinants of poverty reduction changed around 1994 positive growth rates and a greater absolute elasticity with respect to agricultural growth contributed to faster poverty reduction but because there was so little of it economic growth played a relatively small role in accounting for brazil s poverty reduction between 1985 and 2004 the taming of hyperinflation in 1994 and substantial expansions in social security and social assistance transfers beginning in 1988 accounted for a larger share of the overall reduction in poverty

institutional investors and stock market volatility statement of responsibility on t p reads xavier gabaix parameswaran gopikrishnan vasiliki plerou h eugene stanley

extreme us stock market fluctuations in the wake of 9 11 we apply extreme value analysis to us sectoral stock indices in order to assess whether tail risk measures like value at risk and extremal linkages were significantly altered by 9 11 we test whether semi parametric quantile estimates of downside risk and upward potential have increased after 9 11 the same methodology allows one to estimate probabilities of joint booms and busts for pairs of sectoral indices or for a sectoral index and a market portfolio the latter probabilities measure the sectoral response to macro shocks during periods of financial stress so called tail s taking 9 11 as the sample midpoint we find that tail s often increase in a statistically and economically significant way this might be due to perceived risk of new terrorist attacks copyright 2008 john wiley sons ltd

volatility in an era of reduced uncertainty lessons from pax britannica abstract although it has been well established that financial volatility is related to news and macroeconomic shocks less emphasis has been placed on the importance of underlying economic and political stability in this paper we study the behavior of consol returns since 1729 and identify a greater than 50 decline in volatility from the end of the napoleonic wars in 1815 until the first world war news events and macroeconomic variables cannot account for this extended period of reduced volatility underlying political stability under pax britannica seems to be a more likely explanation

central bank collateral frameworks abstract this paper seeks to inform about a feature of monetary policy that is largely overlooked yet occupies a central role in modern monetary and financial systems namely central bank collateral frameworks their importance can be understood by the observation that the money at the core of these systems central bank money is injected into the economy on terms not defined in a market but by the collateral frameworks and interest rate policies of central banks using the collateral framework of the eurosystem as a basis of illustration and case study the paper brings to light the functioning reach and impact of collateral frameworks a theme that emerges is that collateral frameworks may have distortive effects on financial markets and the wider economy they can for example bias the private provision of real liquidity and thereby also the allocation of resources in the economy as well as contribute to financial instability evidence is presented that the collateral framework in the euro area promotes risky and illiquid collateral and more generally impairs market forces and discipline the paper also emphasizes the important role of ratings and government guarantees in the eurosystem s collateral framework

intraday volatility in the stock index and stock index futures markets we examine the intraday relationship between returns and returns volatility in the stock index and stock index futures markets our results indicate a strong intermarket dependence in the volatility of the cash and futures returns price innovations that originate in either the stock or futures markets can predict the future volatility in the other market we show that this relationship persists even during periods in which the dependence in the returns themselves appears to weaken the findings are robust to controlling for potential market frictions such as asynchronous trading in the stock index our results have implications for understanding the pattern of information flows between the two markets article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

macroeconomic cycles and the stock market s reaction to monetary policy abstract this paper examines cyclical variation in the effect of fed policy on the stock market we find a much stronger response of stock returns to unexpected changes in the federal funds target rate in recession and in tight credit market conditions using firm level data we also show that firms that face financial constraints are more affected by monetary shocks in tight credit conditions than the relatively unconstrained firms overall the results are consistent with the credit channel of monetary policy transmission

an empirical analysis of stock and bond market liquidity this article explores cross market liquidity dynamics by estimating a vector autoregressive model for liquidity bid ask spread and depth returns volatility and order flow in the stock and treasury bond markets innovations to stock and bond market liquidity and volatility are significantly correlated implying that common factors drive liquidity and volatility in these markets volatility shocks are informative in predicting shifts in liquidity during crisis periods monetary expansions are associated with increased liquidity moreover money flows to government bond funds forecast bond market liquidity the results establish a link between macro liquidity or money flows and micro or transactions liquidity a number of important theorems in finance rely on the ability of investors to trade any amount of a security without affecting the price however there exist several frictions 1 such as trading costs short sale restrictions and circuit breakers that impact price formation the influence of market imperfections on security pricing has long been recognized liquidity in particular has attracted a lot of attention from traders regulators

testing equity market efficiency around terrorist attacks this article uses the nine major bombings since 1998 that have been attributed to al qaida to examine market efficiency including a test of rumours that investors traded with advance knowledge of attacks analysis of these related but individually unexpected events confirms markets are semi strong efficient it now takes well under a trading day to fully price in a completely unexpected attack on balance markets also proved strongly efficient with no conclusive evidence of insider trading

the economics of options implied inflation probability density functions recently a market in options based on cpi in ation in ation caps and oors has emerged in the us this paper uses quotes on these derivatives to construct probability densities for in ation we study how these pdfs respond to news announcements and nd that the implied odds of de ation are sensitive to certain macroeconomic news releases we compare the option implied probability densities with those obtained by time series methods and use this information to construct empirical pricing kernels the options implied densities assign considerably more mass to extreme in ation outcomes either de ation or high in ation than do their time series counterparts this yields a u shaped empirical pricing kernel with investors having high marginal utility in states of the world characterized by either de ation or high in ation

a transaction data study of weekly and intradaily patterns in stock returns abstract weekly and intradaily patterns in common stock prices are examined using transaction data for large firms negative monday close to close returns accrue between the friday close and the monday open for smaller firms they accrue primarily during the monday trading day for all firms significant weekday differences in intraday returns accrue during the first 45 minutes after the market opens on monday mornings prices drop while on the other weekday mornings they rise otherwise the pattern of intraday returns is similar on all weekdays most notable is an increase in prices on the last trade of the day

information and the equity premium we determine how better information aects the average equity premium in a standard representative agent exchange economy perfect information obviously eliminates the equity premium and we show that a particular kind of information about the level of future consumption always lowers the average equity premium surprisingly information must sometimes raise the average equity premium no matter what the preferences of the representative agent information purely about the volatility either of consumption or the marginal utility of consumption raises the equity premium for a wide class of preferences moreover information can raise the average equity premium by an arbitrarily large percentage while still matching important magnitudes such as average growth and the risk free rate we consider two dierent economies a two period economy with arbitrary preferences for the representative agent and an infinite horizon economy with standard additive separable ces utility with independent growth rates through time