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type="main" <title type="main">ABSTRACT</title> <p>Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the...</p>
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Theories of financial frictions in international capital markets suggest that financial intermediaries' balance sheet constraints amplify fundamental shocks. We present empirical evidence for such theories by decomposing the U.S. dollar risk premium into components associated with macroeconomic...
Persistent link: https://www.econbiz.de/10008864985
This paper generalizes the Heckscher-Ohlin trade theory summarized in Samuelson's [Samuelson, P.A., 1949, International Factor Price Equalization Once Again, The Economic Journal 59, 181-197.] calculus treatment to the domain of non-differentiable technologies characterized by discrete...
Persistent link: https://www.econbiz.de/10005161148
This article shows that the risk-bearing capacity of U.S. securities broker-dealers is an important determinant of risk premia in commodity derivatives markets where broker-dealers serve as counterparties to producers and consumers seeking to hedge commodity price risk. I capture the limits of...
Persistent link: https://www.econbiz.de/10010690225
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In this paper we seek to produce forecasts of commodity price movements that can systematically improve on naive statistical benchmarks, and revisit the forecasting performance of changes in commodity currencies as efficient predictors of commodity prices, a view emphasized in the recent...
Persistent link: https://www.econbiz.de/10008548798
In this paper we seek to produce forecasts of commodity price movements that can systematically improve on naive statistical benchmarks, and revisit the forecasting performance of changes in commodity currencies as efficient predictors of commodity prices, a view emphasized in the recent...
Persistent link: https://www.econbiz.de/10008530384
Persistent link: https://www.econbiz.de/10008580927