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Asset pricing with horizon-dependent risk aversion

Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - Federal Reserve Bank of New York - 2014

of risk premia if and only if volatility is stochastic. Our model can thus justify the recent empirical results on the … term structure of risk premia if the pricing of volatility risk is downward sloping (in absolute value) in the data and if … downward-sloping term structures of returns on a given market are driven solely by exposures to volatility risk. We test these …

Persistent link: https://www.econbiz.de/10011097400

Betting against beta (and gamma) using government bonds

Durham, J. Benson - Federal Reserve Bank of New York - 2015

hedged ex-ante against covariance with equities and thereby does not resemble selling volatility, but these results …

Persistent link: https://www.econbiz.de/10011123661

Paper tigers? A model of the Asian crisis

Corsetti, Giancarlo; Pesenti, Paolo; Roubini, Nouriel - Federal Reserve Bank of New York - 1998

This paper develops an interpretation of the Asian meltdown focused on moral hazard as the common source of overinvestment, excessive external borrowing, and current account deficits. To the extent that foreign creditors are willing to lend to domestic agents against future bail-out revenue from...

Persistent link: https://www.econbiz.de/10005512227

Risksharing within the United States: what have financial markets and fiscal federalism accomplished?

Athanasoulis, Stafano; Wincoop, Eric van - Federal Reserve Bank of New York - 1998

We document aggregate income growth uncertainty at the state level, and the extent to which this uncertainty is reduced by risksharing through financial markets and federal fiscal policy. A methodology is adopted that is closely connected to the empirical growth literature. It does not rely on...

Persistent link: https://www.econbiz.de/10005512242

Currency orders and exchange-rate dynamics: explaining the success of technical analysis

Osler, Carol L. - Federal Reserve Bank of New York - 2001

This paper provides a microstructural explanation for the success of two familiar predictions from technical analysis: 1) trends tend to be reversed at predictable support and resistance levels, and 2) trends gain momentum once predictable support and resistance levels are crossed. ; The...

Persistent link: https://www.econbiz.de/10005526266

The term structure of inflation expectations

Adrian, Tobias; Wu, Hao - Federal Reserve Bank of New York - 2009

break-even inflation rates when market volatility is high. Our model's ability to be updated weekly makes it suitable for …

Persistent link: https://www.econbiz.de/10005526293

The effect of the Term Auction Facility on the London Inter-Bank Offered Rate

McAndrews, James; Sarkar, Asani; Wang, Zhenyu - Federal Reserve Bank of New York - 2008

This paper examines the effects of the Federal Reserve's Term Auction Facility (TAF) on the London Inter-Bank Offered Rate (LIBOR). The particular question investigated is whether the announcements and operations of the TAF are associated with downward shifts of the LIBOR; such an association...

Persistent link: https://www.econbiz.de/10005420530

Market sidedness: insights into motives for trade initiation

Sarkar, Asani; Schwartz, Robert A. - Federal Reserve Bank of New York - 2007

bid-ask spread, volatility, the number of trades, and the order imbalance. …

Persistent link: https://www.econbiz.de/10005420574

Is the integration of world asset markets necessarily beneficial in the presence of monetary shocks?

Tille, Cedric - Federal Reserve Bank of New York - 2000

characterized by price rigidities. Using an open economy general equilibrium model with volatility in the money markets, we show … country where the volatility of shocks is moderate will suffer. The welfare effects reflect changes in the terms of trade that … occur because forward looking price setters adjust to the changes in exchange rate volatility brought about by the …

Persistent link: https://www.econbiz.de/10005420578

Common determinants of bond and stock market liquidity: the impact of financial crises, monetary policy, and mutual fund flows

Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - Federal Reserve Bank of New York - 2001

We study common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991-98 period. We find that spread changes in one market are affected by lagged spread and volume changes in both markets. Further, spread and volume changes are predictable to a...

Persistent link: https://www.econbiz.de/10005420626