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
Blog Archive
-
▼
2017
(99)
-
▼
July
(14)
- Comment on the BEA report on Massachusetts GDP state
- Why people are getting the hell out of the Northea...
- The value of the mortgage interest deduction is ov...
- MA Employment Situation: Urate: 4.3 percent -- 1...
- Currently reading: Dani Rodrik's ECONOMICS RULES: ...
- Retail urgent care: It helps
- New Working Paper: The Employment Effects of Minim...
- Mercatus Center: Massachusetts fiscal situation at...
- Economist Dani Rodrik: Populism should not be a su...
- Men and Republicans Are the Best Tippers - Bloomberg
- Analysis of US EMPSIT U-Rate 4.4%; Jobs added: 220...
- Debate: Is Adam Smith the Father of Economics and ...
- 2. Minimum Wage Increases, Wages, and Low-Wage Em...
- Can the observations of building permit activity e...
-
▼
July
(14)
Indicators
Test