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When is inter-transaction time informative?
Furfine, Craig H. (contributor) - 2003 - [Elektronische Ressource]
"We investigate the information content of inter- transaction time and find that it varies both across stocks and over … time. On average, inter-transaction time is found to be informative whenever stocks are sufficiently traded. The magnitude …- transaction time is negatively correlated with proxies for the amount of private information in the trading of a particular stock …
Persistent link: https://www.econbiz.de/10001761370
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Continuous linked settlement
David L. Roscoe, III - Federal Reserve Bank of Chicago - 1998
Persistent link: https://www.econbiz.de/10010724604
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The implications of first-order risk aversion for asset market risk premiums
Bekaert, Geert; Hodrick, Robert J.; Marshall, David A. - Federal Reserve Bank of Chicago - 1994
Persistent link: https://www.econbiz.de/10005410921
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Some empirical evidence on the effects of monetary policy shocks on exchange rates
Eichenbaum, Martin; Evans, Charles - Federal Reserve Bank of Chicago - 1992
Persistent link: https://www.econbiz.de/10005519115
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Payments system risk issues in a global economy
Baer, Herbert L.; Evanoff, Douglas D. - Federal Reserve Bank of Chicago - 1990
Persistent link: https://www.econbiz.de/10005724791
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Banking and currency crises and systemic risk: a taxonomy and review
Kaufman, George G. - Federal Reserve Bank of Chicago - 1999
Many countries have experienced banking and currency crises in recent years. Although these crises appear to share many common causes and consequences, they have generally been analysed by different sets of economists. This paper develops a common framework, applies this framework to analysing...
Persistent link: https://www.econbiz.de/10005726282
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Examining macroeconomic models through the lens of asset pricing
Borovicka, Jaroslav; Hansen, Lars - Federal Reserve Bank of Chicago - 2012
Dynamic stochastic equilibrium models of the macro economy are designed to match the macro time series including … the continuous-time methods developed in Hansen and Scheinkman (2010), Borovicka et al. (2011) and Hansen (2011) by … constructing discrete-time shock elasticities that measure the sensitivity of cash flows and their prices to economic shocks …
Persistent link: https://www.econbiz.de/10009390672
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Can standard preferences explain the prices of out-of-the-money S&P 500 put options?
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - Federal Reserve Bank of Chicago - 2011
The 1987 stock market crash occurred with minimal impact on observable economic variables (e.g., consumption), yet dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general equilibrium model that captures many salient...
Persistent link: https://www.econbiz.de/10009366971
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Robustness and macroeconomic policy
Barlevy, Gadi - Federal Reserve Bank of Chicago - 2010
This paper considers the design of macroeconomic policies in the face of uncertainty. In recent years, several economists have advocated that when policymakers are uncertain about the environment they face and find it difficult to assign precise probabilities to the alternative scenarios that...
Persistent link: https://www.econbiz.de/10008598709
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Are banking supervisory data useful for macroeconomic forecasts?
Feldman, Ron; Kim, Jangryoul; Miller, Preston; Schmidt, … - Federal Reserve Bank of Chicago - 2002
Persistent link: https://www.econbiz.de/10010723844