Similar Search Results

Barro, Robert J. - 2016

, including the average equity premium and the volatility of equity returns. We construct a model with RE (temporary and permanent … parts) and LRR (including stochastic volatility) and estimate this model with long-term data on aggregate consumption for 42 … country- specific events. LRR reflects gradual and evolving processes that influence long-run growth rates and volatility. A …

Persistent link: https://www.econbiz.de/10013001224

A Utility Based Comparison of Some Models of Exchange Rate Volatility

West, Kenneth D.; Edison, Hali J.; Cho, Dongchul - 2022

When estimates of variances are used to make asset allocation decisions, underestimates of population variances lead to lower expected utility than equivalent overestimates: a utility based criterion is asymmetric, unlike standard criteria such as mean squared error. To illustrate how to...

Persistent link: https://www.econbiz.de/10013322146

Why Has U.S. Inflation Become Harder to Forecast?

Stock, James H. - 2010

inflation process is well described by an unobserved component trend-cycle model with stochastic volatility or, equivalently, an …

Persistent link: https://www.econbiz.de/10012761277

International Adjustment Under the Classical Gold Standard : Evidence for the U.S. And Britain, 1879-1914

Calomiris, Charles W.; Hubbard, R. Glenn - 2021

Links between disturbances in financial markets and those in real activity have long been the focus of studies of economic fluctuations during the period prior to World War I. We emphasize that domestic autonomy was substantially limited by internationally integrated markets for goods and...

Persistent link: https://www.econbiz.de/10013219714

Temporary Shocks and Persistent Effects in the Urban System : Evidence from British Cities after the U.S. Civil War

Hanlon, William Walker - 2021

-specific shock to the British cotton textile industry caused by the U.S. Civil War (1861-1865), which dramatically reduced supplies … compare patterns in these cotton towns to other English cities. I find that the shock had a persistent negative effect on the … that the shock to cotton textiles was transmitted to other local firms, leading to increased bankruptcies and long …

Persistent link: https://www.econbiz.de/10013224364

Multivariate Refression Models for Paned Data

Chamberlain, Gary - 2010

Under stationarity, the heterogeneous stoahastic processes are the non-ergodic ones. We show that if a distributed lag is of finite order, then its coefficients are unconditional means of the underlying random coefficients. This result is applied to linear transformations of the process. The...

Persistent link: https://www.econbiz.de/10012760070

Factors that Fit the Time Series and Cross-Section of Stock Returns

Lettau, Martin - 2018

We propose a new method for estimating latent asset pricing factors that fit the time-series and cross-section of expected returns. Our estimator generalizes Principal Component Analysis (PCA) by including a penalty on the pricing error in expected returns. We show that our estimator strongly...

Persistent link: https://www.econbiz.de/10012913794

Long-Run Bulls and Bears

Albuquerque, Rui A. - 2015

A central challenge in asset pricing is the weak connection between stock returns and observable economic fundamentals. We provide evidence that this connection is stronger than previously thought. We use a modified version of the Bry-Boschan algorithm to identify long-run swings in the stock...

Persistent link: https://www.econbiz.de/10013030069

Monetary Policy and the Stock Market : Time-Series Evidence

Neuhierl, Andreas - 2016

The slope factor is constructed from changes in federal funds futures of different horizons and predicts stock returns at the weekly frequency: faster policy easing positively predicts returns. It contains information about the speed of future monetary policy tightening and loosening, and...

Persistent link: https://www.econbiz.de/10012979350

Taper Tantrums : QE, its Aftermath and Emerging Market Capital Flows

Chari, Anusha - 2017

This paper provides a novel perspective on the impact of U.S. unconventional monetary policy (UMP) on emerging market capital flows and asset prices. Using high-frequency Treasury futures data to identify U.S. monetary policy shocks, we find, through the lens of an affine term structure model,...

Persistent link: https://www.econbiz.de/10012954922