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Did the decline in inflation rates from 2012 to 2015 and the low levels of market-based inflation expectations lead to de …-anchored inflation dynamics in the euro area? This paper is the first time-varying event study to investigate the reaction of inflation …-linked swap (ILS) rates – a market-based measure of inflation expectations – to macroeconomic surprises in the euro area. Compared …
Persistent link: https://www.econbiz.de/10012963920
paper studies a simple real business cycle model with a small, exogenously time-varying risk of disaster, and shows that it … can replicate several important facts documented in the literature. In the model, an increase in disaster risk leads to a …A large empirical literature suggests that risk premia on stocks or corporate bonds are large and countercyclical. This …
Persistent link: https://www.econbiz.de/10013102105
for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected inflation … namely saving on the embedded inflation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium …
Persistent link: https://www.econbiz.de/10012830326
risk premia embodied in financial instruments. We first provide some stylized facts about the term structure of inflation … compensation, inflation expectations and inflation risk premia in the euro area bond market. Latent factor models like ours fit … perceived asymmetries in inflation risks help interpret the dynamics of long-term inflation risk premia, even after controlling …
Persistent link: https://www.econbiz.de/10013316233
Capital Asset Pricing Model à la Merton (1973), with inflation as an independent source of risk, for France and Germany. Our …This paper studies the role of inflation in the determination of financial asset prices. We estimate an Intertemporal … the convergence process towards the single currency might have affected the role of inflation in the pricing of financial …
Persistent link: https://www.econbiz.de/10011604482
-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …
Persistent link: https://www.econbiz.de/10013106056
We compare the degree of anchoring of inflation expectations in the euro area, the United States and the United Kingdom …, focusing on the post-crisis period. First of all, we estimate a set of measures of average and tail correlation using inflation … de-anchoring risk during the last quarter of 2014; while showing a significant reduction after the peak, our de …
Persistent link: https://www.econbiz.de/10012963938
We propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In … our framework the agent is subject to time-varying macroeconomic risk and interest rates at all maturities depend on her … risk perception which shape saving propensities over time. In bad times, when risk is perceived to be higher in the short …
Persistent link: https://www.econbiz.de/10012921898
risk premia embodied in financial instruments. We first provide some stylized facts about the term structure of inflation … compensation, inflation expectations and inflation risk premia in the euro area bond market. Latent factor models like ours fit … perceived asymmetries in inflation risks help interpret the dynamics of long-term inflation risk premia, even after controlling …
Persistent link: https://www.econbiz.de/10011605208
stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …. The effect of monetary policy on risk aversion is also apparent in regressions using high frequency data …
Persistent link: https://www.econbiz.de/10013080094