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A Model of Anomaly Discovery
Liu, Qi; Lu, Lei; Sun, Bo; Yan, Hongjun - Federal Reserve Board (Board of Governors of the … - 2015
We analyze a model of anomaly discovery. Consistent with existing evidence, we show that the discovery of an anomaly reduces its magnitude and increases its correlation with existing anomalies. One new prediction is that the discovery of an anomaly reduces the correlation between deciles 1 and...
Persistent link: https://www.econbiz.de/10011268463
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Decentralized credit markets with intermediaries: a relationship between complete and efficient markets
Benveniste, Lawrence M. - Federal Reserve Board (Board of Governors of the … - 1986
Persistent link: https://www.econbiz.de/10005361195
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An international arbitrage pricing model with PPP deviations
Levine, Ross - Federal Reserve Board (Board of Governors of the … - 1986
This paper develops an intertemporal, international asset pricing model for use in applied theoretical and empirical research. An important feature of the model is that it incorporates both stochastic inflation rates and stochastic Purchasing Power Parity deviations (PPP). The model derives the...
Persistent link: https://www.econbiz.de/10005368178
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Macroeconomic risk and asset pricing: estimating the apt with observable factors
Ammer, John - Federal Reserve Board (Board of Governors of the … - 1993
This paper develops and applies a new maximum likelihood method for estimating the Arbitrage Pricing Theory (APT) model …
Persistent link: https://www.econbiz.de/10005368415
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Efficient resolution of moral hazard under no arbitrage: risk premium, volatility and leverage
Acharya, Sankarshan - Federal Reserve Board (Board of Governors of the … - 1995
Persistent link: https://www.econbiz.de/10005514193
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Evidence uncovered: long-term interest rates, monetary policy, and the expectations theory
Roush, Jennifer E. - Federal Reserve Board (Board of Governors of the … - 2001
A large body of literature has failed to find conclusive evidence that the expectations theory of the term structure … holds in U.S. data. This paper asks more narrowly whether the theory holds conditional on an exogenous change in monetary … policy. We argue that previous work on the expectation theory has failed to sufficiently account for interactions between …
Persistent link: https://www.econbiz.de/10005368155
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Global asset prices and FOMC announcements
Hausman, Joshua; Wongswan, Jon - Federal Reserve Board (Board of Governors of the … - 2006
This paper documents the impact of U.S. monetary policy announcement surprises on foreign equity indexes, short- and long-term interest rates, and exchange rates in 49 countries. We use two proxies for monetary policy surprises: the surprise change to the current target federal funds rate...
Persistent link: https://www.econbiz.de/10005368193
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The liquidity premium in average interest rates
II, Wilbur John Coleman; Gilles, Christian; Labadie, Pamela - Federal Reserve Board (Board of Governors of the … - 1992
This paper studies recent models of the liquidity effect of money on interest rates to determine if a systematic relationship between liquidity shocks and the economy could affect the average real interest rate.
Persistent link: https://www.econbiz.de/10005368236
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High real interest rates in the aftermath of disinflation: is it a lack of credibility?
Kaminsky, Graciela L.; Leiderman, Leonardo - Federal Reserve Board (Board of Governors of the … - 1996
High real interest rates have been observed in many countries for several months after the adoption of disinflation programs. While they may reflect primarily a liquidity crunch, high ex post real interest rates can also be explained in terms of an ex post error in inflation expectations that...
Persistent link: https://www.econbiz.de/10005368241
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The high-frequency response of exchange rates and interest rates to macroeconomic announcements
Faust, Jon; Rogers, John H.; Wang, Shing-Yi B.; Wright, … - Federal Reserve Board (Board of Governors of the … - 2003
effects can be reconciled with conventional theory, we interpret the joint movements in light of uncovered interest rate …
Persistent link: https://www.econbiz.de/10005368249