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Asset Pricing with Uncertain Betas: A Long-Term Perspective
Gollier, Christian - CESifo - 2013
How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...
Persistent link: https://www.econbiz.de/10010877682
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Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes
Gollier, Christian - CESifo - 2012
Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...
Persistent link: https://www.econbiz.de/10010603851
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The Consumption-Based Determinants of the Term Structure of Discount Rates
Gollier, Christian - CESifo - 2005
The efficient rate of return of a zero-coupon bond with maturity <i>t</i> is determined by our expectations about the …
Persistent link: https://www.econbiz.de/10005094448
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ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds
Trebesch, Christoph; Zettelmeyer, Jeromin - CESifo - 2014
Greek government bond market in mid-2010 and use a unique new dataset to show, for the first time, what type of bonds the … ECB bought. We then explore the short-term effects of ECB purchases at the bond-level. The results show a large impact of … bought. This is consistent with theories of “local supply effects” in segmented or illiquid bond markets. …
Persistent link: https://www.econbiz.de/10010756163
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How Should the Distant Future be Discounted when Discount Rates are Uncertain?
Gollier, Christian; Weitzman, Martin L. - CESifo - 2009
It is not immediately clear how to discount distant-future events, like climate change, when the distant-future discount rate itself is uncertain. The so-called “Weitzman-Gollier puzzle” is the fact that two seemingly symmetric and equally plausible ways of dealing with uncertain future...
Persistent link: https://www.econbiz.de/10008534029
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Common Trends and Common Cycles among Interest Rates of the G7-Countries
Lindenberg, Nannette; Westermann, Frank - CESifo - 2009
In this paper we re-investigate the comovements of interest rates in the G7-countries. We propose a structured modus operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration, serial correlation common feature and codependence...
Persistent link: https://www.econbiz.de/10005405925
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Asset Pricing Implications of a New Keynesian Model: A Note
Heer, Burkhard; Klarl, Torben; Maussner, Alfred - CESifo - 2012
De Paoli, Scott, and Weeken [2010, Asset pricing implications of a New Keynesian model. Journal of Economic Dynamics and Control 34, 2056-73] study equity and bonds prices in a New Keynesian model with sticky nominal prices. This note argues that their model generates a behavior of the labor...
Persistent link: https://www.econbiz.de/10010599728
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Restrictions on Risk Prices in Dynamic Term Structure Models
Bauer, Michael D. - CESifo - 2015
Restrictions on the risk-pricing in dynamic term structure models (DTSMs) can unleash the power of no-arbitrage by creating a tighter link between cross-sectional and time-series variation of interest rates. This paper presents a new econometric framework for estimation of affine Gaussian DTSMs...
Persistent link: https://www.econbiz.de/10011200050
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Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
Bauer, Michael D.; Rudebusch, Glenn D. - CESifo - 2015
.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with … regressions showing that much macroeconomic variation is unspanned and that the unspanned variation helps forecast excess bond …
Persistent link: https://www.econbiz.de/10011155372
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Risk Premia in General Equilibrium
Posch, Olaf - CESifo - 2010
This paper shows that non-linearities imposed by a neoclassical production function alone can generate time-varying and asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications improve substantially when we allow for...
Persistent link: https://www.econbiz.de/10008511599