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A Tale of Two Option Markets: Pricing Kernels and Volatility Risk
Song, Zhaogang; Xiu, Dacheng - Federal Reserve Board (Board of Governors of the … - 2014
volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates …
Persistent link: https://www.econbiz.de/10010886219
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Unspanned macroeconomic factors in the yield curve
Coroneo, Laura; Giannone, Domenico; Modugno, Michele - Federal Reserve Board (Board of Governors of the … - 2014
In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of...
Persistent link: https://www.econbiz.de/10010886225
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QE Auctions of Treasury Bonds
Song, Zhaogang; Zhu, Haoxiang - Federal Reserve Board (Board of Governors of the … - 2014
The Federal Reserve (Fed) uses a unique auction mechanism to purchase U.S. Treasury securities in implementing its quantitative easing (QE) policy. In this paper, we study the outcomes of QE auctions and participating dealers' bidding behaviors from November 2010 to September 2011, during which...
Persistent link: https://www.econbiz.de/10010886228
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Solving asset pricing models with stochastic volatility
de Groot, Oliver - Federal Reserve Board (Board of Governors of the … - 2014
This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The solution is useful in allowing comparisons among numerical methods used to approximate the non-trivial closed-form.
Persistent link: https://www.econbiz.de/10010937975
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Bayesian Estimation of Time-Changed Default Intensity Models
Gordy, Michael B.; Szerszen, Pawel J. - Federal Reserve Board (Board of Governors of the … - 2015
We estimate a reduced-form model of credit risk that incorporates stochastic volatility in default intensity via …
Persistent link: https://www.econbiz.de/10011273702
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Credit-Market Sentiment and the Business Cycle
Lopez-Salido, J. David; Stein, Jeremy C.; Zakrajsek, Egon - Federal Reserve Board (Board of Governors of the … - 2015
credit-market conditions. That is, when our sentiment proxies indicate that credit risk is aggressively priced, this tends to …
Persistent link: https://www.econbiz.de/10011273704
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Institutions and return predictability in oil-exporting countries
Aramonte, Sirio; Jahan-Parvar, Mohammad; Shugarman, Justin - Federal Reserve Board (Board of Governors of the … - 2015
We study whether stock market returns in oil-exporting countries can be predicted by oil price changes, and we investigate the link between predictability and the quality of each country's institutions. Returns are predictable for half the countries we consider, and predictability is stronger...
Persistent link: https://www.econbiz.de/10011255347
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Downside Variance Risk Premium
Feunou, Bruno; Jahan-Parvar, Mohammad; Okou, Cedric - Federal Reserve Board (Board of Governors of the … - 2015
We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The … difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside … variance risk premium is the main component of the variance risk premium, and that the skewness risk premium is a priced factor …
Persistent link: https://www.econbiz.de/10011261280
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Learning, Rare Disasters, and Asset Prices
Lu, Yang; Siemer, Michael - Federal Reserve Board (Board of Governors of the … - 2013
In this paper, we examine how learning about disaster risk affects asset pricing in an endowment economy. We extend the … generates time variation in the risk premium through Bayesian updating of agents' beliefs regarding the likelihood and severity …
Persistent link: https://www.econbiz.de/10010728883
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Flights to Safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - Federal Reserve Board (Board of Governors of the … - 2014
controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …
Persistent link: https://www.econbiz.de/10010787051