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Intermediary Asset Pricing and the Financial Crisis
He, Zhiguo - 2018
"Intermediary asset pricing'' understands asset prices and risk premia through the lens of frictions in financial intermediation. Perhaps motivated by phenomena in the financial crisis, intermediary asset pricing has been one of the fastest growing areas of research in finance. This article...
Persistent link: https://www.econbiz.de/10012924463
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The Term Structure of Equity Risk Premia
Bansal, Ravi - 2019
We use traded equity dividend strips from U.S., Europe, and Japan from 2004-2017 to study the slope of the term structure of equity dividend risk premia. In the data, a robust finding is that the term structure of dividend risk premia (growth rates) is positively (negatively) sloped in...
Persistent link: https://www.econbiz.de/10012889957
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Term Structures of Asset Prices and Returns
Backus, David K. - 2016
), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity …
Persistent link: https://www.econbiz.de/10012994905
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The Effect of Conventional and Unconventional Monetary Policy Rules on Inflation Expectations : Theory and Evidence
Farmer, Roger E. A. - 2012
This paper has three parts. Part 1 constructs a classical economic model of inflation, augmented by a complete set of … core monetary model explains the history of inflation after WWII and Part 3 provides evidence to show that the … unconventional monetary policy, followed in the wake of the 2008 financial crisis, was effective in stabilizing inflation …
Persistent link: https://www.econbiz.de/10013107515
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Intermediary Asset Pricing
He, Zhiguo; Krishnamurthy, Arvind - 2021
We present a model to study the dynamics of risk premia during crises in asset markets where the marginal investor is a financial intermediary. Intermediaries face a constraint on raising equity capital. When the constraint binds, so that intermediaries' equity capital is scarce, risk premia...
Persistent link: https://www.econbiz.de/10013244400
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Expected Returns, Yield Spreads, and Asset Pricing Tests
Campello, Murillo; Chen, Long; Zhang, Lu - 2021
We use yield spreads to construct ex-ante returns on corporate securities, and then use the ex-ante returns in asset pricing assets. Differently from the standard approach, our tests do not use ex-post average returns as a proxy for expected returns. We find that the market beta plays a much...
Persistent link: https://www.econbiz.de/10013311894
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Monetary Policy Surprises, Credit Costs and Economic Activity
Gertler, Mark - 2014
external instruments produce responses in output and inflation consistent with both textbook theory and conventional monetary …
Persistent link: https://www.econbiz.de/10013052498
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Risk-Free Interest Rates
van Binsbergen, Jules H. - 2019
We estimate risk-free interest rates unaffected by convenience yields on safe assets. We infer them from risky asset prices without relying on any specific model of risk. We obtain a term structure of convenience yields with maturities up to 2.5 years at a minutely frequency. The convenience...
Persistent link: https://www.econbiz.de/10012864808
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An Empirical Analysis of the Swaption Cube
Trolle, Anders B. - 2010
important factor in the USD market, and inflation beliefs the most important factor in the EUR market. This is consistent with …
Persistent link: https://www.econbiz.de/10013135764
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No-Arbitrage Taylor Rules
Ang, Andrew - 2010
-looking Taylor rules. We find that inflation and output gap account for over half of the variation of time-varying excess bond …
Persistent link: https://www.econbiz.de/10012759788