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Business-Cycle Variation in Macroeconomic Uncertainty and the Cross-Section of Expected Returns : Evidence for Scale-Dependent Risks
Xyngis, Georgios - 2017
A single factor that captures assets' exposure to business-cycle variation in macroeconomic uncertainty can explain the level and cross-sectional differences of asset returns. Specifically, based on portfolio-level tests I demonstrate that fluctuations in uncertainty with persistence ranging...
Persistent link: https://www.econbiz.de/10014133052
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The origins and effects of macroeconomic uncertainty
Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896
We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...
Persistent link: https://www.econbiz.de/10014362538
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Durability of output and expected stock returns
Gomes, João (contributor); Kogan, Leonid (contributor);  … - 2007 - Rev.
"The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk. Using the NIPA input-output tables, we construct portfolios of durable-good, nondurable-good,...
Persistent link: https://www.econbiz.de/10003726989
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What do asset prices have to say about risk appetite and uncertainty?
Bekaert, Geert; Hoerova, Marie; Scheicher, Martin - 2009
Implied volatility indices should have information about risk parameters, once they are cleansed of the influence of … normal volatility dynamics and macroeconomic uncertainty. Building on intuition from the dynamic asset pricing literature, we … while controlling for realized volatility, expectations about the macroeconomic outlook, and interest rates. We apply this …
Persistent link: https://www.econbiz.de/10003832589
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Durability of output and expected stock returns
Gomes, João; Kogan, Leonid; Yogo, Motohiro - 2007
The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk. Using the NIPA input-output tables, we construct portfolios of durable-good, nondurable-good,...
Persistent link: https://www.econbiz.de/10003449724
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Wage rigidity : a solution to several asset pricing puzzles
Favilukis, Jack; Lin, Xiaoji - 2012
In standard production models wage volatility is far too high and equity volatility is far too low. A simple … and (ii) higher equity volatility. Furthermore, the model produces several other hard to explain features of financial … data: (iii) high Sharpe ratios, (iv) low and smooth interest rates, (v) time-varying equity volatility and premium, (vi) a …
Persistent link: https://www.econbiz.de/10009625907
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Decomposing risk in dynamic stochastic general equilibrium : conference paper
Lan, Hong; Meyer-Gohde, Alexander - 2014 - This version: December 19, 2013
We analyze the theoretical moments of a nonlinear approximation to real business cycle model with stochastic volatility … and recursive preferences. We find that the conditional heteroskedasticity of stochastic volatility operationalizes a time … differing orders of approximation, enabling us to identify the common channel through which stochastic volatility in isolation …
Persistent link: https://www.econbiz.de/10010487749
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Wage Rigidity : A Solution to Several Asset Pricing Puzzles
Favilukis, Jack Y - 2012
financial data: (iii) high Sharpe Ratios, (iv) low and smooth interest rates, (v) time-varying equity volatility and premium …
Persistent link: https://www.econbiz.de/10013115072
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Bayesian Estimation of a Dynamic Asset Pricing Model with Long-Run Risk
Rooj, Debasis - 2011
In this paper, I build a Dynamic Stochastic General Equilibrium (DSGE) model and estimate it using Bayesian Markov Chain Monte Carlo (MCMC) methods. I use the results in order to examine how asset prices and macroeconomic quantities respond to the di erent shocks in the economy. Fluctuations in...
Persistent link: https://www.econbiz.de/10013121340
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Wage Rigidity : A Solution to Several Asset Pricing Puzzles
Lin, Xiaoji - 2012
financial data: (iii) high Sharpe Ratios, (iv) low and smooth interest rates, (v) time-varying equity volatility and premium …
Persistent link: https://www.econbiz.de/10013109010