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Pástor, Luboš; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2011

We study the pricing of political uncertainty in a general equilibrium model of government policy choice. We find that political uncertainty commands a risk premium whose magnitude is larger in poorer economic conditions. Political uncertainty reduces the value of the implicit put protection...

Persistent link: https://www.econbiz.de/10009320399

Predicting Turning Points in the UK Inflation Cycle

Artis, Michael J - C.E.P.R. Discussion Papers - 1994

We set out a reference chronology for annual UK inflation, identifying nine complete cycles between 1958 and 1990. Inflation over this period is asymmetric, falling more quickly than it rises. Leading indicators are also proposed, with composite shorter and longer leading indicators constructed....

Persistent link: https://www.econbiz.de/10005789113

Investment Shocks and Business Cycles

Justiniano, Alejandro; Primiceri, Giorgio E; … - C.E.P.R. Discussion Papers - 2008

Shocks to the marginal efficiency of investment are the most important drivers of business cycle fluctuations in US output and hours. Moreover, these disturbances drive prices higher in expansions, like a textbook demand shock. We reach these conclusions by estimating a DSGE model with several...

Persistent link: https://www.econbiz.de/10005791592

Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information

Darsinos, T.; Satchell, S.E. - Faculty of Economics, University of Cambridge - 2001

Bayesian statistical methods are naturally oriented towards pooling in a rigorous way information from separate sources … volatility or options prices. We develop a formal Bayesian framework where we can merge the backward looking information as … forecasting options prices out of sample (i.e. one-day ahead) our Bayesian estimators outperform standard forecasts that use …

Persistent link: https://www.econbiz.de/10005783847

Bayesian Estimation of Risk-Premia in an APT Context

Darsinos, T.; Satchell, S.E. - Faculty of Economics, University of Cambridge - 2003

Bayesian methodology for estimating factor risk premia and hence equity risk premia for both traded and non-traded factors …

Persistent link: https://www.econbiz.de/10005650522

Learning in Financial Markets

Pástor, Luboš; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2009

We survey the recent literature on learning in financial markets. Our main theme is that many financial market phenomena that appear puzzling at first sight are easier to understand once we recognize that parameters in financial models are uncertain and subject to learning. We discuss phenomena...

Persistent link: https://www.econbiz.de/10005661697