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Persistent link: https://www.econbiz.de/10001235783
We consider the patterns in the predictability of interest rates expectations hypothesis (EH), and attempt to account for them with affine models. We make the following points: (i) Discrepancies in the data from the EH take a particularly simple form with forward rates: as theory suggests, the...
Persistent link: https://www.econbiz.de/10012472439
We consider the patterns in the predictability of interest rates expectations hypothesis (EH), and attempt to account for them with affine models. We make the following points: (i) Discrepancies in the data from the EH take a particularly simple form with forward rates: as theory suggests, the...
Persistent link: https://www.econbiz.de/10012763624
Persistent link: https://www.econbiz.de/10001524436
Persistent link: https://www.econbiz.de/10012167279
We construct a unique and comprehensive data set of 19 real-time daily macroeconomic indicators for 11 Eurozone countries, for the 5/11/2009{4/25/2013 period. We use this new data set to characterize the time-varying dependence of the cross-section of sovereign credit default swap (CDS) spreads...
Persistent link: https://www.econbiz.de/10012053541
What are the economic determinants of the level and volatility of the second moments of stock and bond returns? We address this central question via the Campbell-Shiller (Campbell and Shiller, 1988) decomposition, with news constructed using survey forecasts. Risk premium news explains most of...
Persistent link: https://www.econbiz.de/10013008226