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The pitfalls in inferring risk from financial market data
Bliss, Robert R. (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001658371
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The value of banking relationships during a financial crisis : evidence from failures of Japanese banks
Brewer, Elijah; Genay, Hesna; Hunter, William Curt; … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001761482
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Human Capital and Long-Run Labor Income Risk
Benzoni, Luca; Chyruk, Olena - Federal Reserve Bank of Chicago - 2013
This review article examines the role of labor income risk in determining the value of a person’s human capital. We … to assess the value and risk of pension promises. Finally, we discuss how to enrich the environment with heterogeneity in …
Persistent link: https://www.econbiz.de/10010735414
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Bubbles and Leverage: A Simple and Unified Approach
Bogusz, Theodore; Bogusz, Theodore - Federal Reserve Bank of Chicago - 2013
In this paper, we lay out a simple framework that captures much of what the theoretical literature has to say about the role of credit in systemically important asset booms and busts. In addition, we suggest ways in which to incorporate physical investment in the bubble asset as well as monetary...
Persistent link: https://www.econbiz.de/10010735415
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Cash-in-the-Market Pricing in a Model with Money and Over-the-Counter Financial Markets
Mattesini, Fabrizio; Nosal, Ed - Federal Reserve Bank of Chicago - 2011
Entrepreneurs need cash to finance their real investments. Since cash is costly to hold, entrepreneurs will underinvest. If entrepreneurs can access financial markets prior to learning about an investment opportunity, they can sell some of their less liquid assets for cash and, as a result,...
Persistent link: https://www.econbiz.de/10010735677
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The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors
D'Amico, Stefania; Fan, Roger; Kitzul, Yuriy - Federal Reserve Bank of Chicago - 2013
In the repo market, forward agreements are security-specific (i.e., there are no deliverable substitutes), which makes it an ideal place to measure the value of fluctuations in a security's available supply. In this study, we quantify the scarcity value of Treasury collateral by estimating the...
Persistent link: https://www.econbiz.de/10010735678
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Inflation Uncertainty and Disagreement in Bond Risk Premia
D'Amico, Stefania; Orphanides, Athanasios - Federal Reserve Bank of Chicago - 2014
-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …
Persistent link: https://www.econbiz.de/10011119883
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Momentum Trading, Return Chasing and Predictable Crashes
Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - Federal Reserve Bank of Chicago - 2014
We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and … earned abnormally high risk-adjusted returns —a three factor alpha of 1 percent per month between 1927 and 2012 and 0 … remain invested in momentum even when the crash risk is known to be high when (1) he competes for funds from return and (2 …
Persistent link: https://www.econbiz.de/10011119888
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Core and 'Crust': Consumer Prices and the Term Structure of Interest Rates
Ajello, Andrea; Benzoni, Luca; Chyruk, Olena - Federal Reserve Bank of Chicago - 2012
term structures of risk-free rates. In our framework, distinct core, food, and energy price series combine into a measure … inflation-indexed bond market. Finally, we find a pronounced declining pattern in the inflation risk premium that illustrates … the changing nature of inflation risk in nominal Treasuries. …
Persistent link: https://www.econbiz.de/10011093790
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A Portfolio-Balance Approach to the Nominal Term Structure
King, Thomas B. - Federal Reserve Bank of Chicago - 2013
Explanations of why changes in the relative quantities of safe debt seem to affect asset prices often appeal informally to a “portfolio balance” mechanism. I show how this type of effect can be incorporated in a general class of structural, arbitrage-free asset-pricing models using a...
Persistent link: https://www.econbiz.de/10011027196