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Extracting market expectations from yield curves augmented by money market interest rates: the case of Japan

Nagano, Teppei; Baba, Naohiko - 2008

March 2006. We use (i) the swap yield curves augmented by OIS interest rates (OIS/Swap), and (ii) the JGB yield curve … for each factor between OIS/Swap and FBTB/JGB, and find that the former has a more dominant role of price discovery for …

Persistent link: https://www.econbiz.de/10011605026

Asset pricing with uncertain betas: A long-term perspective

Gollier, Christian - 2013

How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...

Persistent link: https://www.econbiz.de/10010291514

Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes

Gollier, Christian - 2012

Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...

Persistent link: https://www.econbiz.de/10010291529

An extended macro-finance model with financial factors

Dewachter, Hans; Iania, Leonardo - 2010

This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...

Persistent link: https://www.econbiz.de/10010266074

Assessing the compensation for volatility risk implicit in interest rate derivatives

Fornari, Fabio - 2008

Volatilities implied from interest rate swaptions are used to assess the size and the sign of the compensation for volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of the volatility risk premium rests on a simple model...

Persistent link: https://www.econbiz.de/10011604905

An Empirical Comparison of Default Swap Pricing Models

Houweling, Patrick; Vorst, Ton - 2002

swap premiums. We find that the model workswell for investment grade credit default swaps, but only if we use swap or repo …

Persistent link: https://www.econbiz.de/10010325053

An empirical analysis of factors driving the swap spread

Asgharian, Hossein; Karlsson, Sonnie - 2008

In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … the Mortgage Backed Security holders have strong impacts on the US swap spread. …

Persistent link: https://www.econbiz.de/10010323750

Spatial risk premium on weather derivatives and hedging weather exposure in electricity

Härdle, Wolfgang Karl; Osipenko, Maria - 2011

Due to dependency of energy demand on temperature, weather derivatives enable the effective hedging of temperature related fluctuations. However, temperature varies in space and time and therefore the contingent weather derivatives also vary. The spatial derivative price distribution involves a...

Persistent link: https://www.econbiz.de/10010319196

Risk premiums in the German day-ahead electricity market

Viehmann, Johannes - 2009

This paper conducts an empirical analysis of risk premiums in the German day-ahead Electricity Wholesale Market. We compare hourly price data of the European Energy Exchange (EEX) auction and of the continuous over-the-counter (OTC) market taking place prior to EEX. As OTC price data are not...

Persistent link: https://www.econbiz.de/10010270392

Risk premia in general equilibrium

Posch, Olaf - 2010

This paper shows that non-linearities imposed by a neoclassical production function alone can generate time-varying and asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications improve substantially when we allow for...

Persistent link: https://www.econbiz.de/10010270538