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The pitfalls in inferring risk from financial market data

Bliss, Robert R. (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001658371

Constrained Discretion and Central Bank Transparency

Bianchi, Francesco; Melosi, Leonardo - Federal Reserve Bank of Chicago - 2014

We develop and estimate a general equilibrium model in which monetary policy can deviate from active inflation stabilization and agents face uncertainty about the nature of these deviations. When observing a deviation, agents conduct Bayesian learning to infer its likely duration. Under...

Persistent link: https://www.econbiz.de/10011099910

Modeling the Evolution of Expectations and Uncertainty in General Equilibrium

Bianchi, Francesco; Melosi, Leonardo - Federal Reserve Bank of Chicago - 2013

We develop methods to solve general equilibrium models in which forward-looking agents are subject to waves of pessimism, optimism, and uncertainty that turn out to critically affect macroeconomic outcomes. Agents in the model are fully rational, conduct Bayesian learning, and they know that...

Persistent link: https://www.econbiz.de/10010739554

Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates

Ajello, Andrea; Benzoni, Luca; Chyruk, Olena - Federal Reserve Bank of Chicago - 2012

term structures of risk-free rates. In our framework, distinct core, food, and energy price series combine into a measure … inflation-indexed bond market. Finally, we find a pronounced declining pattern in the inflation risk premium that illustrates … the changing nature of inflation risk in nominal Treasuries. …

Persistent link: https://www.econbiz.de/10011093790

Inflation Uncertainty and Disagreement in Bond Risk Premia

D'Amico, Stefania; Orphanides, Athanasios - Federal Reserve Bank of Chicago - 2014

-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …

Persistent link: https://www.econbiz.de/10011119883

Momentum Trading, Return Chasing and Predictable Crashes

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - Federal Reserve Bank of Chicago - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and … earned abnormally high risk-adjusted returns —a three factor alpha of 1 percent per month between 1927 and 2012 and 0 … remain invested in momentum even when the crash risk is known to be high when (1) he competes for funds from return and (2 …

Persistent link: https://www.econbiz.de/10011119888

Human Capital and Long-Run Labor Income Risk

Benzoni, Luca; Chyruk, Olena - Federal Reserve Bank of Chicago - 2013

This review article examines the role of labor income risk in determining the value of a person’s human capital. We … to assess the value and risk of pension promises. Finally, we discuss how to enrich the environment with heterogeneity in …

Persistent link: https://www.econbiz.de/10010735414

Bubbles and Leverage: A Simple and Unified Approach

Bogusz, Theodore; Bogusz, Theodore - Federal Reserve Bank of Chicago - 2013

In this paper, we lay out a simple framework that captures much of what the theoretical literature has to say about the role of credit in systemically important asset booms and busts. In addition, we suggest ways in which to incorporate physical investment in the bubble asset as well as monetary...

Persistent link: https://www.econbiz.de/10010735415

Cash-in-the-Market Pricing in a Model with Money and Over-the-Counter Financial Markets

Mattesini, Fabrizio; Nosal, Ed - Federal Reserve Bank of Chicago - 2011

Entrepreneurs need cash to finance their real investments. Since cash is costly to hold, entrepreneurs will underinvest. If entrepreneurs can access financial markets prior to learning about an investment opportunity, they can sell some of their less liquid assets for cash and, as a result,...

Persistent link: https://www.econbiz.de/10010735677

The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors

D'Amico, Stefania; Fan, Roger; Kitzul, Yuriy - Federal Reserve Bank of Chicago - 2013

In the repo market, forward agreements are security-specific (i.e., there are no deliverable substitutes), which makes it an ideal place to measure the value of fluctuations in a security's available supply. In this study, we quantify the scarcity value of Treasury collateral by estimating the...

Persistent link: https://www.econbiz.de/10010735678