Search Results - subject:"Time‐varying risk" - EconBiz

The present-value model of the exchange rate with a persistently time-varying risk premium : evidence from the Dollar-yen rate

Shimizu, Makoto - In: Open economies review 31 (2020) 5, pp. 1037-1059

Persistent link: https://www.econbiz.de/10012417779

Natural disasters and risk aversion

Bourdeau-Brien, Michael; Kryzanowski, Lawrence - In: Journal of economic behavior & organization : JEBO 177 (2020), pp. 818-835

Persistent link: https://www.econbiz.de/10012437720

Lumpy investment and expected stock returns

Im, Hyun Joong; Park, Heungju - In: Economics letters 193 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012509065

Blomkvist, Magnus; Vulanovic, Milos - In: Economics letters 197 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012511149

Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates

de Vries, Casper; Wang, Xuedong - 2015

The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...

Persistent link: https://www.econbiz.de/10011288414

Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates

De Vries, Casper; Wang, Xuedong - 2015

The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...

Persistent link: https://www.econbiz.de/10011307087

Turnover Premium, Foreign Institutional Ownership, and Time-Varying Risk Premium in Taiwan Equity Markets

Chen, Ying-Jen; Lee, Jen-Sin - In: Journal of Reviews on Global Economics 4 (2015), pp. 8-20

rate, such as market capitalization, book-to-market ratio and 6-month past returns, respectively. Time-varying risk premium …

Persistent link: https://www.econbiz.de/10011185173

Inflation, endogenous market segmentation and the term structure of interest rates

Vries, Casper G. de; Wang, Xuedong - 2015

The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...

Persistent link: https://www.econbiz.de/10011288797

Cash flow and risk premium dynamics in an equilibrium asset-pricing model with recursive preferences

Doh, Taeyoung; Wu, Shu - 2015

Persistent link: https://www.econbiz.de/10011484545

Inflation, endogenous market segmentation and the term structure of interest rates

Vries, Casper G. de; Wang, Xuedong - 2015

The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...

Persistent link: https://www.econbiz.de/10010532587

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