Stock volatility during the Great Depression was two to three timesWhat would building permit activity tell us today?
higher than any other period in American financial history. The period has been labelled a "volatility puzzle" because scholars have been unable to provide a convincing explanation for the dramatic rise in stock volatility (Schwert, 1989). We investigate the volatility puzzle during the period 1928-1938 using a new series of building permits, a forward-looking measure of economic activity. Our results suggest that the largest stock volatility spike in American history can be predicted by an increase in the volatility of building permit growth. Markets appear to have factored in a forthcoming economic disaster.
Monday, July 3, 2017
Can the observations of building permit activity explain the stock mr
From a new NBER working paper
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From two graduates of the Suffolk University PhD program in Economics I had the pleasure of knowing and working with over the years. Here...
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Stock market woes raise a nagging fear: Is a recession near?
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OVERVIEW The unemployment rate rose slightly to 3.9 percent in December with payrolls expanding by 312,000 jobs, according to the Bureau ...