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House Prices, Consumption and the Role of Non-Mortgage Debt

Kartashova, Katya; Tomlin, Ben - Bank of Canada - 2013

This paper examines the relationship between house prices and consumption, through the use of debt. Using unique … and nonhousing consumption - this connection is new to the literature on house prices and consumption. We conclude that … non-housing consumption. Our results can be thought of as the establishment of a conservative lower bound for the overall …

Persistent link: https://www.econbiz.de/10010602143

An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt

Xu, Shaofeng - Bank of Canada - 2013

interest rates fall due to a global saving glut. Declining interest rates force households at prime saving ages to reallocate …

Persistent link: https://www.econbiz.de/10010640465

Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing

Chabi-Yo, Fousseni; Leisen, Dietmar; Renault, Eric - Bank of Canada - 2007

Asymmetric shocks are common in markets; securities' payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices. A three funds separation theorem...

Persistent link: https://www.econbiz.de/10005808375

International Capital Flows and Bond Risk Premia

Sierra, Jesus - Bank of Canada - 2010

This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. We run forecasting...

Persistent link: https://www.econbiz.de/10008527619

On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk

Chabi-Yo, Fousseni; Ghysels, Eric; Renault, Eric - Bank of Canada - 2008

The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called...

Persistent link: https://www.econbiz.de/10005220952

The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - Bank of Canada - 2005

The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns. The authors characterize this lower bound for any...

Persistent link: https://www.econbiz.de/10005162473

Idiosyncratic Coskewness and Equity Return Anomalies

Chabi-Yo, Fousseni; Yang, Jun - Bank of Canada - 2010

In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return. We find that there is a negative...

Persistent link: https://www.econbiz.de/10008577437

The Private Equity Premium Puzzle Revisited

Kartashova, Katya - Bank of Canada - 2011

In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors’ methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989–1998...

Persistent link: https://www.econbiz.de/10008839155

Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach

Gungor, Sermin; Luger, Richard - Bank of Canada - 2010

We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of...

Persistent link: https://www.econbiz.de/10008765828

Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances

Gungor, Sermin; Luger, Richard - Bank of Canada - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10010667177

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