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Improving market-based forecasts of short-term interest rates: Time-varying stationarity and the predictive content of switching regime-expectations
Ahrens, Ralf - Center for Financial Studies - 1999
Modeling short-term interest rates as following regime-switching processes has become increasingly popular. Theoretically, regime-switching models are able to capture rational expectations of infrequently occurring discrete events. Technically, they allow for potential time-varying stationarity....
Persistent link: https://www.econbiz.de/10010958750
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Evaluation asset pricing models with limited commitment using household consumption data
Krueger, Dirk; Lustig, Hanno; Perri, Fabrizio - Center for Financial Studies - 2006
We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of the limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption...
Persistent link: https://www.econbiz.de/10010958661
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Taxing Capital? Not a Bad Idea After All!
Krueger, Dirk; Lustig, Hanno; Perri, Fabrizio - Center for Financial Studies - 2006
We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of the limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption...
Persistent link: https://www.econbiz.de/10005022427
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Instabile Finanzmärkte
Franke, Günter; Krahnen, Jan Pieter - Center for Financial Studies - 2009
Die Vorstellung selbst-stabilisierender, zum Gleichgewicht tendierender Finanzmärkte, lange Zeit als Selbstverständlichkeit angesehen, ist durch die aktuelle Banken- und Kreditkrise in Frage gestellt. Trotz ausgefeilten Risikomanagements der Banken und einer an Basel II orientierten Aufsicht...
Persistent link: https://www.econbiz.de/10010986485
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Price pressures
Hendershott, Terrence; Menkveld, Albert J. - Center for Financial Studies - 2010
supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange …
Persistent link: https://www.econbiz.de/10010958491
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The diminishing liquidity premium
Ben-Rephael, Azi; Kadan, Ohad; Wohl, Avi - Center for Financial Studies - 2008
that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four … strategies virtually unprofitable. Our results are robust to several conventional liquidity measures related to volume. When … using liquidity measure that is not related to volume, we find just weak evidence of a liquidity premium even in the early …
Persistent link: https://www.econbiz.de/10010958533
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To disclose or not to disclose: Transparency and liquidity in the structured product market
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - Center for Financial Studies - 2014
We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US … structured product market. Our main contribution is the analysis of the relation between the accuracy in measuring liquidity and … provide guidance for improving transparency while maintaining trader confidentiality. In addition, we analyze liquidity in the …
Persistent link: https://www.econbiz.de/10010958715
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Transparency and emerging market bond spreads
Moretti, Laura - Center for Financial Studies - 2011
I investigate the effect of transparency on the borrowing costs of Emerging Markets Economies. Transparency is measured by whether or not the countries publish the IMF Article IV Staff report and the Reports on the Observance of Standards and Codes (ROSC). Using difference-in-difference...
Persistent link: https://www.econbiz.de/10010958794
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Inflation rate dispersion and convergence in monetary and economic unions: lessons for the ECB
Weber, Axel A.; Beck, Günter W. - Center for Financial Studies - 2005
within the European Monetary Union (EMU). In line with findings in the so-called border literature these results suggest that …
Persistent link: https://www.econbiz.de/10010986384
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Price stability, inflation convergence and diversity in EMU: Does one size fit all?
Weber, Axel A.; Beck, Günter W. - Center for Financial Studies - 2005
major EMU countries before and after the introduction of the euro. For both periods, we find strong evidence in favor of … present evidence for the sustainability of the ECBs inflation target of an EMU-wide average inflation rate of less than but …
Persistent link: https://www.econbiz.de/10010986440