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Bid-to-Cover and Yield Changes Around Public Debt Auctions in the Euro Area

Beetsma, Roel - 2017

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

Persistent link: https://www.econbiz.de/10012956251

On the Inflation Risks Embedded in Sovereign Bond Yields

Camba-Méndez, Gonzalo - 2020

The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging inflation risks from the perspective of a well diversified...

Persistent link: https://www.econbiz.de/10012830326

Richer Earnings Dynamics, Consumption and Portfolio Choice Over the Life Cycle

Gálvez, Julio; Paz Pardo, Gonzalo - 2023

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that allowing for these rich features of earnings dynamics, in the context of a structurally estimated life-cycle portfolio choice model, helps to rationalize the limited participation...

Persistent link: https://www.econbiz.de/10014348942

International stock return comovements

Bekaert, Geert; Hodrick, Robert J.; Zhang, Xiaoyan - 2008

We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston- ouwenhorst (1994) model. We...

Persistent link: https://www.econbiz.de/10011604977

Bid-to-cover and yield changes around public debt auctions in the euro area

Beetsma, Roel; Giuliodori, Massimo; Hanson, Jesper; de … - 2017

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

Persistent link: https://www.econbiz.de/10011804371

A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions

de Vincent-Humphreys, Rupert - 2011

This paper presents a set of probability density functions for Euribor outturns in three months' time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over ten...

Persistent link: https://www.econbiz.de/10013132237

Asset Returns Under Model Uncertainty : Evidence From the Euro Area, the US and the UK

Sousa, João - 2013

The goal of this paper is to analyze predictability of future asset returns in the context of model uncertainty. Using data for the euro area, the US and the UK, we show that one can improve the forecasts of stock returns using a model averaging approach, and there is a large amount of model...

Persistent link: https://www.econbiz.de/10013078196

Consumption Volatility Risk and the Inversion of the Yield Curve

Grasso, Adriana - 2018

-varying consumption volatility risk is essential for obtaining the inversion of the real curve and allows to price the average level and …

Persistent link: https://www.econbiz.de/10012921898

Sovereign Credit Ratings, Market Volatility, and Financial Gains

Afonso, António - 2014

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …

Persistent link: https://www.econbiz.de/10013057674

The Predictive Content of Sectoral Stock Prices : A US-Euro Area Comparison

Andersson, Magnus - 2011

This paper examines the out‐of‐sample forecast performance of sectoral stock market indicators for real GDP, private consumption and investment growth up to 4 quarters ahead in the US and the Euro Area. Our findings are that the predictive content of sectoral stock market indicators: i) is...

Persistent link: https://www.econbiz.de/10013125196