Search Results - subject:"Time‐varying risk"

Stock market wealth and the real economy : a local labor market approach

Chodorow-Reich, Gabriel; Nenov, Plamen T.; Simsek, Alp - 2019

Persistent link: https://www.econbiz.de/10012180597

Testing the Expectations Hypothesis with Survey Forecasts: The Impacts of Consumer Sentiment and the Zero Lower Bound in an I(2) CVAR

Stillwagon, Josh - Department of Economics, Trinity College - 2014

Monthly interest rate forecasts from nearly 50 major financial institutions are used to examine the expectations hypothesis at the short end of the term structure for the Canadian T-bill market and Libor markets in the US, UK, and Switzerland. Using CVARs, the term premium is found to move...

Persistent link: https://www.econbiz.de/10011204530

Precautionary Volatility and Asset Prices

Chen, Andrew Y. - Federal Reserve Board (Board of Governors of the … - 2014

Many theories of asset prices assume time-varying uncertainty in order to generate time-varying risk premia. This paper …

Persistent link: https://www.econbiz.de/10010892301

An Incomplete Markets Explanation to the UIP Puzzle

Rabitsch, Katrin - Vienna University of Economics and Business, Department … - 2014

time-varying risk premium. Nevertheless, most modern open economy DSGE models imply a (near) perfect interest rate parity … motives because they face international liquidity constraints, the presence of which successfully generates a time-varying … risk premium: the country that has accumulated debt after experiencing relative worse times has stronger precautionary …

Persistent link: https://www.econbiz.de/10010757223

An incomplete markets explanation to the UIP puzzle

Rabitsch, Katrin - 2014

Persistent link: https://www.econbiz.de/10010361326

Disaster risk in a New Keynesian model

Brede, Maren - 2013

This paper develops a simple New Keynesian model incorporating a small time-varying probability that the economy is struck by a disaster in the future. The model's main prediction is that a small increase in the disaster probability causes a recession in the economy, speci cally due to limited...

Persistent link: https://www.econbiz.de/10010318761

Seasonal asset allocation: Evidence from mutual fund flows

Kamstra, Mark J.; Kramer, Lisa A.; Levi, Maurice D.; … - 2013

Over the past 30 years, mutual funds have become the dominant vehicle through which individual investors prepare for retirement via defined contribution plans. Further, money market mutual funds, which hold $2.7 trillion as of September 2013, are now a major part of the cash economy in the U.S....

Persistent link: https://www.econbiz.de/10010327643

Testing the preferred-habitat theory: The role of time-varying risk aversion

Strohsal, Till - 2013

This paper examines the preferred-habitat theory under time-varying risk aversion. The predicted positive relation …

Persistent link: https://www.econbiz.de/10010331133

House Prices, Expectations, and Time-Varying Fundamentals

Gelain, Paolo; Lansing, Kevin J. - 2013

. We allow for time-varying risk aversion (via external habit formation) and time-varying persistence and volatility in the …

Persistent link: https://www.econbiz.de/10012143817

Learning, Rare Disasters, and Asset Prices

Lu, Yang; Siemer, Michael - Federal Reserve Board (Board of Governors of the … - 2013

In this paper, we examine how learning about disaster risk affects asset pricing in an endowment economy. We extend the literature on rare disasters by allowing for two sources of uncertainty: (1) the lack of historical data results in unknown parameters for the disaster process, and (2) the...

Persistent link: https://www.econbiz.de/10010728883