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Transition versus physical climate risk pricing in European financial markets : a text-based approach
Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022
the industry they operate in. We find that firm level information appears to be used as a gauge for transition risk, in …
Persistent link: https://www.econbiz.de/10013271146
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Informational Contagion in the Laboratory
Cipriani, Marco - 2015
correlated fundamentals open sequentially. In both markets, subjects receive private information. Subjects in the market opening … information is only imperfectly aggregated, subjects are able to make correct inferences based on the public information coming … when it is rational to do so because they convey information …
Persistent link: https://www.econbiz.de/10013017423
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Informational Contagion in the Laboratory
Cipriani, Marco - 2015
correlated fundamentals open sequentially. In both markets, subjects receive private information. Subjects in the market opening … information is only imperfectly aggregated, subjects are able to make correct inferences based on the public information coming … when it is rational to do so because they convey information …
Persistent link: https://www.econbiz.de/10013026974
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Can central bank communication help to stabilise inflation expectations?
Jung, Alexander; Kühl, Patrick - 2021
information and news channel. A novelty of the study is its use of data from Google Analytics on ECB website traffic as proxy for … communication on the information demand of the public and ultimately on inflation expectations. Overall, this study shows that …-term professional inflation expectations. Our findings add to the theoretical evidence on the existence of an information and news …
Persistent link: https://www.econbiz.de/10012511097
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Chinese Exports and U.S. Import Prices
Mandel, Benjamin R. - 2013
This paper develops a technique to decompose price distributions into contributions from markups and marginal cost. The estimators are then used as a laboratory to measure the relationship between increasing Chinese competition and the components of U.S. import prices. The estimates suggest that...
Persistent link: https://www.econbiz.de/10013088895
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Regression-Based Estimation of Dynamic Asset Pricing Models
Adrian, Tobias - 2014
We propose regression-based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross-sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...
Persistent link: https://www.econbiz.de/10013068063
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Deconstructing the Yield Curve
Crump, Richard K. - 2019
yield curve models that commit to a parsimoniously parameterized factor structure may be omitting important information …
Persistent link: https://www.econbiz.de/10012889010
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Equity Volatility Term Premia
Van Tassel, Peter - 2020
This paper estimates the term-structure of volatility risk premia for the stock market. Realized variance term premia are increasing in systematic risk and predict variance swap returns. Implied volatility term premia are decreasing in risk initially, but then increase at a lag, predicting VIX...
Persistent link: https://www.econbiz.de/10012851215
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The Equity Risk Premium : A Review of Models
Duarte, Fernando - 2015
We estimate the equity risk premium (ERP) by combining information from twenty models. The ERP in 2012 and 2013 reached …
Persistent link: https://www.econbiz.de/10013017426
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Option-Implied Term Structures
Vogt, Erik - 2014
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator...
Persistent link: https://www.econbiz.de/10013039825