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Systematic Consumption Risk in Currency Returns
Hoffmann, Mathias; Suter, Rahel - CESifo - 2013
We sort currencies by countries’ consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...
Persistent link: https://www.econbiz.de/10010667417
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Uncertainty and Economic Activity: A Global Perspective
Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - CESifo - 2014
The 2007-2008 global financial crisis and the subsequent anemic recovery have rekindled academic interest in quantifying the impact of uncertainty on macroeconomic dynamics based on the premise that uncertainty causes economic activity to slow down and contract. In this paper, we study the...
Persistent link: https://www.econbiz.de/10010757723
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High-Frequency Analysis of Foreign Exchange Interventions: What do we learn?
Menkhoff, Lukas - CESifo - 2008
The high-frequency analysis of foreign exchange dynamics is helpful in order to better identify the impact of central bank interventions. Evidence robustly shows that interventions do indeed move the exchange rate level in the desired direction. Interventions increase volatility in the short run...
Persistent link: https://www.econbiz.de/10005765791
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Consumption, Wealth and Business Cycles in Germany
Hamburg, Britta; Hoffmann, Mathias; Keller, Joachim - CESifo - 2005
This paper studies the long-run relationship between consumption, asset wealth and income in Germany, based on data from 1980 to 2003. While earlier studies — mostly for the Anglo-Saxon economies — have generally documented that departures of these three variables from their common trend...
Persistent link: https://www.econbiz.de/10005765943
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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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An Extended Macro-Finance Model with Financial Factors
Dewachter, Hans; Iania, Leonardo - CESifo - 2010
This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...
Persistent link: https://www.econbiz.de/10008572472
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Securitization and Asset Prices
Aksoy, Yunus; Basso, Henrique S. - CESifo - 2015
During the 15 years prior to the global financial crisis the volume of securitized assets transacted in the US grew substantially, reflecting a change in the nature of the financial intermediation process. Together with increased securitization of assets, financial entities, who participate more...
Persistent link: https://www.econbiz.de/10011167135
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Testing Uncovered Interest Rate Parity Using LIBOR
Omer, Muhammad; Haan, Jakob de; Scholtens, Bert - CESifo - 2012
We test Uncovered Interest Parity (UIP) using LIBOR interest rates for a wide range of maturities. In contrast to other markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm, Smeekes, and Urbain (2010) and cointegration...
Persistent link: https://www.econbiz.de/10010552442
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Financial Frictions and Inflation Differentials in a Monetary Union
Hristov, Nikolay; Hülsewig, Oliver; Wollmershäuser, Timo - CESifo - 2010
This paper employs a stylized New Keynesian DSGE model for a monetary union to analyze whether cyclical inflation … the fraction of borrowers and to a lesser extent the loan-to-value ratio - generate inflation differentials that are … characteristics of financial markets should be seen as a possible alternative explanation for the observable inflation dispersion in …
Persistent link: https://www.econbiz.de/10008727289
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Long-Term Interest Rates and Public Debt Maturity
Sakalauskaite, Ieva; Beetsma, Roel; Giuliodori, Massimo - CESifo - 2013
is stronger for countries with higher average inflation or debt. …
Persistent link: https://www.econbiz.de/10010697222