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, investment, and asset prices over time, as well as perceived policy risk. Quite generally, perceived risk abates as current …. The approach thus provides a measure of the evolution over time of perceived political risk from market prices. We next … compute option prices under the process generated by the model's hazard rate of policy reversal plus an additional market risk …
Persistent link: https://www.econbiz.de/10005656360
This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for … domestic welfare through two channels. First, by reducing export income volatility and allowing for a smoother consumption path …
Persistent link: https://www.econbiz.de/10008577805
. We show that falling risk premia on Spanish housing and non-residential capital, a loosening of collateral constraints …
Persistent link: https://www.econbiz.de/10011083472
persist for some time. Thus, belief dynamics are a source of apparent excess volatility relative to a rational expectations …
Persistent link: https://www.econbiz.de/10009201120
We test for the pricing of exchange rate and foreign inflation risk in equities. Our tests are motivated by the … Adler and Dumas (1983). Both exchange rate and foreign inflation risk factors can explain part of the within-country cross …-sectional variation in returns. Our results have important implications for hedging exchange rate risk. They also demonstrate that home …
Persistent link: https://www.econbiz.de/10005504518
generalized version of the uncovered interest rate parity and expectations hypothesis in favor of models with varying risk premia …, and volatility risks, its performance presents a challenge to asset pricing models. …
Persistent link: https://www.econbiz.de/10011083673
internationally complete financial markets, risk sharing is limited and the equilibrium allocation may be inefficient, depending on … partially circumvent the segmentation, allowing for efficient risk sharing. …
Persistent link: https://www.econbiz.de/10005662013
This Paper develops a continuous-time two-sector model to study the economic effects of an import quota during the period of time over which it is imposed. One of the sectors is protected by a quota, which in our set-up manifests itself as an integral constraint on the flow of imports of the...
Persistent link: https://www.econbiz.de/10005662103
This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information...
Persistent link: https://www.econbiz.de/10005791707
-short portfolio strategy yields 12-15 percent annualized, after risk adjustment. …
Persistent link: https://www.econbiz.de/10008854544