Showing 1 - 10 of 446
We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...
Persistent link: https://www.econbiz.de/10011605442
Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and time separable preferences strongly improves empirical performance. Learning causes momentum and mean reversion of returns and thereby excess volatility, persistence of...
Persistent link: https://www.econbiz.de/10011604908
We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...
Persistent link: https://www.econbiz.de/10013119137
Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and time separable preferences strongly improves empirical performance. Learning causes momentum and mean reversion of returns and thereby excess volatility, persistence of...
Persistent link: https://www.econbiz.de/10012766646
This paper presents an event-study methodology that combines market data and survey-based probabilities to infer the full effect of a policy decision, as seen through the lens of financial markets. The market reaction to an event's outcome reflects its surprise or announcement effect, and...
Persistent link: https://www.econbiz.de/10015199444
We examine the existence of physical and transition climate risk premia in euro area equity markets. To do so, we develop two novel physical and transition risk indicators, based on text analysis, which are then used to gauge the presence of climate risk premia. Results suggest that climate risk...
Persistent link: https://www.econbiz.de/10013368007
Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after...
Persistent link: https://www.econbiz.de/10014278305
The green bond market has increased rapidly in recent years amid growing concerns about climate change and wider environmental issues. However, whether green bonds provide cheaper funding to issuers by trading at a premium, so-called greenium, is still an open discussion. This paper provides...
Persistent link: https://www.econbiz.de/10014278432
This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the euro area. Using proprietary data on purchases of public sector securities implemented by the Eurosystem, the paper examines the flow effects of asset purchase programmes on...
Persistent link: https://www.econbiz.de/10014543595
The European Union plays a prominent role in climate regulations initiatives, this commitment likely implies that climate risk premiums look different in Europe compared to the rest of the world. This paper examines the pricing implications of climate risks in euro area corporate bond markets,...
Persistent link: https://www.econbiz.de/10014543646