Search Results - subject:"Time‐varying risk"

Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates

Guidolin, Massimo; Thornton, Daniel L. - European Central Bank - 2008

Despite its important role in monetary policy and finance, the expectations hypothesis (EH) of the term structure of interest rates has received virtually no empirical support. The empirical failure of the EH was attributed to a variety of econometric biases associated with the single-equation...

Persistent link: https://www.econbiz.de/10005079102

Establishing the Presence of a Risk Premium in the Cocoa Futures Market: An Econometric Analysis

Armah, Stephen E. - Agricultural and Applied Economics Association - AAEA - 2008

Previous attempts at identifying and estimating a time-varying risk premium in the cocoa futures market yielded … conflicting results. Using a longer series that includes the most recent cash and futures data, the existence of a time-varying … risk premium in the cocoa futures market is re-investigated using LM ARCH tests and a Quadratic ARCH in Mean Error …

Persistent link: https://www.econbiz.de/10005804671

An empirical analysis of the Mexican term structure of interest rates

Cortés Espada, Josué Fernando; Ramos-Francia, Manuel; … - 2008

We study the dynamics of the term-structure of interest rates in Mexico. Specifically, we investigate time variation in bond risk premia and the common factors that have influenced the behavior of the yield curve. We find that term-premia in government bonds appear to be time-varying. We then...

Persistent link: https://www.econbiz.de/10010322581

Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution

Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2008

In this paper we derive an approximate analytical solution to the optimal consumption and portfolio choice problem of an infinitely-lived investor with power utility defined over the difference between consumption and an external habit. The investor is assumed to have access to two tradable...

Persistent link: https://www.econbiz.de/10005114115

Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates

Guidolin, Massimo; Thornton, Daniel L. - 2008

Persistent link: https://www.econbiz.de/10011605023

Market efficiency in Indian soybean futures markets

Ranganathan, Thiagu; Ananthakumar, Usha - In: International Journal of Emerging Markets 9 (2014) 4, pp. 520-534

used to test the short-run market efficiency and unbiasedness of the contract by allowing for a time-varying risk premium … not rejected based on the forecasts. Originality/value – This is the first paper to consider time-varying risk premium … soybean contract is unbiased in the long run, but there are short-run market inefficiencies and also a presence of a time-varying …

Persistent link: https://www.econbiz.de/10014789110

House prices, expectations, and time-varying fundamentals

Gelain, Paolo; Lansing, Kevin J. - In: Journal of Empirical Finance 29 (2014) C, pp. 3-25

compare the model predictions to survey evidence on the return expectations of real-world housing investors. We allow for time-varying … risk aversion (via external habit formation) and time-varying persistence and volatility in the stochastic process for rent …

Persistent link: https://www.econbiz.de/10011116270

Counter-cyclical risk aversion

Kim, Kun Ho - In: Journal of Empirical Finance 29 (2014) C, pp. 384-401

The paper proposes a consistent estimator of time-varying risk aversion in consumption-based CAPM. Based on the Epstein …

Persistent link: https://www.econbiz.de/10011116279

Housing and relative risk aversion

Zanetti, Francesco - In: Economics Letters 123 (2014) 1, pp. 23-25

relative risk aversion. In addition, housing may generate state-dependent, time-varying risk aversion. …

Persistent link: https://www.econbiz.de/10010743713

Time-varying exchange rate exposure and exchange rate risk pricing in the Canadian Equity Market

Al-Shboul, Mohammad; Anwar, Sajid - In: Economic Modelling 37 (2014) C, pp. 451-463

This paper aims to extend the existing literature on foreign exchange rate risk pricing. Unlike the existing studies on Canada, we use six alternative bilateral and one multilateral exchange rate proxies. Furthermore, using both a two-factor and a three-factor capital asset pricing model (CAPM),...

Persistent link: https://www.econbiz.de/10010744019