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Forward Interest Rates as Indicators of Inflation Expectations

Söderlind, Paul - C.E.P.R. Discussion Papers - 1995

Forward interest rates have become popular indicators of inflation expectations. The usefulness of this indicator … depends on the relative volatility and the correlation of inflation expectations and expected real interest rates. This paper … expected real interest rate add to the inflation expectations is balanced by a tendency for expected real interest rates and …

Persistent link: https://www.econbiz.de/10005067661

Can Fundamentals Explain Cross-Country Correlations of Asset Returns

Restoy Lozano, Fernando; Rodríguez, Rosa - C.E.P.R. Discussion Papers - 1998

In the last few years, the empirical literature has documented that existing correlations between national returns are higher than correlations between the national growth rates of fundamental variables. In this paper we study the ability of intertemporal asset pricing models to explain...

Persistent link: https://www.econbiz.de/10005792129

Risk, Uncertainty and Asset Prices

Bekaert, Geert; Engstrom, Eric; Xing, Yuhang - C.E.P.R. Discussion Papers - 2006

We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices and risk premiums. Theoretically, we introduce persistent...

Persistent link: https://www.econbiz.de/10005124333

Stock and Bond Returns with Moody Investors

Bekaert, Geert; Engstrom, Eric; Grenadier, Steve - C.E.P.R. Discussion Papers - 2004

We present a tractable, linear model for the simultaneous pricing of stock and bond returns that incorporates stochastic risk aversion. In this model, analytic solutions for endogenous stock and bond prices and returns are readily calculated. After estimating the parameters of the model by GMM,...

Persistent link: https://www.econbiz.de/10005136629

Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals

Bekaert, Geert; Engstrom, Eric - C.E.P.R. Discussion Papers - 2010

We introduce a "bad environment-good environment" technology for consumption growth in a consumption-based asset pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic time-varying volatility, skewness and kurtosis in fundamentals while...

Persistent link: https://www.econbiz.de/10008784728

Carry

Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013

Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...

Persistent link: https://www.econbiz.de/10011083673

Stock and Bond Returns with Moody Investors

Bekaert, Geert; Engstrom, Eric; Grenadier, Steve - C.E.P.R. Discussion Papers - 2006

Persistent link: https://www.econbiz.de/10005661851

Macroeconomics and the Term Structure

Gürkaynak, Refet S.; Wright, Jonathan - C.E.P.R. Discussion Papers - 2010

ongoing, inflation uncertainty seems to play a large role. Finally, while modern finance theory prices bonds and other assets …

Persistent link: https://www.econbiz.de/10008642882

Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis

Rose, Andrew K; Spiegel, Mark - C.E.P.R. Discussion Papers - 2011

While the global financial crisis was centered in the United States, it led to a surprising appreciation in the dollar, suggesting global dollar illiquidity. In response, the Federal Reserve partnered with other central banks to inject dollars into the international financial system. Empirical...

Persistent link: https://www.econbiz.de/10009293988

Stories of the Twentieth Century for the Twenty-First

Gourinchas, Pierre-Olivier; Obstfeld, Maurice - C.E.P.R. Discussion Papers - 2011

A key precursor of twentieth-century financial crises in emerging and advanced economies alike was the rapid buildup of leverage. Those emerging economies that avoided leverage booms during the 2000s also were most likely to avoid the worst effects of the twenty-first century’s first global...

Persistent link: https://www.econbiz.de/10009201122

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