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Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model

Guo, Hui; Neely, Christopher J. - Federal Reserve Bank of St. Louis - 2006

We revisit the risk-return relation using the component GARCH model and international daily MSCI stock market data. In contrast with the previous evidence obtained from weekly and monthly data, daily data show that the relation is positive in almost all markets and often statistically...

Persistent link: https://www.econbiz.de/10005707763

Equity market volatility and expected risk premium

Chen, Long; Guo, Hui; Zhang, Lu - Federal Reserve Bank of St. Louis - 2006

This paper revisits the time-series relation between the conditional risk premium and variance of the equity market portfolio. The main innovation is that we construct a measure of the ex ante equity market risk premium using corporate bond yield spread data. This measure is forward-looking and...

Persistent link: https://www.econbiz.de/10005352922

Whither the U.S. credit markets?

Poole, William - Federal Reserve Bank of St. Louis - 1998

delivered by Mr. Poole at St. Louis University on Oct. 20, 1998, which was titled "A Perspective on Credit Markets Today." …

Persistent link: https://www.econbiz.de/10005420434

The U.S. credit markets: is the trauma over?

Poole, William - Federal Reserve Bank of St. Louis - 1999

Remarks before the St. Louis Society of Financial Analysts, St. Louis - Jan. 21, 1999

Persistent link: https://www.econbiz.de/10005420473

Whither the U.S. credit markets?

Poole, William - Federal Reserve Bank of St. Louis - 1998

delivered by Mr. Poole at St. Louis University on Oct. 20, 1998, which was titled "A Perspective on Credit Markets Today." …

Persistent link: https://www.econbiz.de/10011185092

The U.S. credit markets: is the trauma over?

Poole, William - Federal Reserve Bank of St. Louis - 1999

Remarks before the St. Louis Society of Financial Analysts, St. Louis - Jan. 21, 1999

Persistent link: https://www.econbiz.de/10011185097

Capital, finance, and trade collapse

Jiao, Yang; Wen, Yi - Federal Reserve Bank of St. Louis - 2012

achieved by embedding the Melitz (2003) model into an incomplete-markets neoclassical framework with an endogenous credit …

Persistent link: https://www.econbiz.de/10011027340

On the relevance of credit market structure to monetary policy

Blei, Sharon - Federal Reserve Bank of St. Louis - 2007

Credit affects the economy via various channels: its price, collateral requirements and the extent of rationing. Would … the intensity of monetary transmission be affected by the market structure of the credit industry? Using a spatial … competition framework I demonstrate how credit market structure can affect the transmission of monetary policy changes into real …

Persistent link: https://www.econbiz.de/10005065528

Resuscitating the credit cycle

Pintus, Patrick A.; Wen, Yi - Federal Reserve Bank of St. Louis - 2008

This paper resuscitates the credit-cycle theory of Kiyotaki and Moore (1997) in a two-agent RBC model with conventional … preferences and standard neoclassical technologies. It is shown that small transitory shocks to credit demand (or supply) can … generate large, highly persistent, dampened cycles in aggregate output. Key to our results is the interaction between credit …

Persistent link: https://www.econbiz.de/10005707658

Endogenous realignments and the sustainability of a target

Corbae, Dean; Neely, Chris; Weller, Paul - Federal Reserve Bank of St. Louis - 1998

We examine the effects of endogenously determined realignment expectations in a model of a target zone with sluggish price adjustment. We allow these expectations to be based on a policy rule that generates an increasing probability of realignment as output moves away from full employment. We...

Persistent link: https://www.econbiz.de/10005352752