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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

The Importance of Updating: Evidence from a Brazilian Nowcasting Model

Bragoli, Daniela; Metelli, Luca; Modugno, Michele - Federal Reserve Board (Board of Governors of the … - 2014

How often should we update predictions for economic activity? Gross domestic product is a quarterly variable disseminated usually a couple of months after the end of the quarter, but many other macroeconomic indicators are released with a higher frequency, and financial markets react very...

Persistent link: https://www.econbiz.de/10011075127

Consumers' Attitudes and Their Inflation Expectations

Ehrmann, Michael; Pfajfar, Damjan; Santoro, Emilianio - Federal Reserve Board (Board of Governors of the … - 2015

forecast accuracy. Respondents with current or expected financial difficulties, pessimistic attitudes about major purchases, or …

Persistent link: https://www.econbiz.de/10011261278

Solving asset pricing models with stochastic volatility

de Groot, Oliver - Federal Reserve Board (Board of Governors of the … - 2014

stochastic volatility. The solution is useful in allowing comparisons among numerical methods used to approximate the non …

Persistent link: https://www.econbiz.de/10010937975

Learning, Rare Disasters, and Asset Prices

Lu, Yang; Siemer, Michael - Federal Reserve Board (Board of Governors of the … - 2013

of disaster realization. The model accounts for the level and volatility of U.S. equity returns and generates …

Persistent link: https://www.econbiz.de/10010728883

Flights to Safety

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - Federal Reserve Board (Board of Governors of the … - 2014

Using only daily data on bond and stock returns, we identify and characterize flight to safety (FTS) episodes for 23 countries. On average, FTS days comprise less than 3% of the sample, and bond returns exceed equity returns by 2.5 to 4%. The majority of FTS events are country-specific not...

Persistent link: https://www.econbiz.de/10010787051

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 … of marginal pricing kernels of the market return and volatility conditional on the VIX. We find that the pricing kernel … present a U-shape. Hence, stochastic volatility is the key state variable responsible for the U-shape puzzle documented in the …

Persistent link: https://www.econbiz.de/10010886219

QE Auctions of Treasury Bonds

Song, Zhaogang; Zhu, Haoxiang - Federal Reserve Board (Board of Governors of the … - 2014

forecast bond returns only one day after the auction, suggesting that dealers have price-relevant information but the …

Persistent link: https://www.econbiz.de/10010886228

The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors

D'Amico, Stefania; Fan, Roger; Kitsul, Yuriy - Federal Reserve Board (Board of Governors of the … - 2014

In the special collateral repo market, forward agreements are security-specific, which may magnify demand and supply effects. We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the repo rates of all outstanding U.S....

Persistent link: https://www.econbiz.de/10010892306

Returns to Active Management: The Case of Hedge Funds

Kazemi, Maziar; Islamaj, Ergys - Federal Reserve Board (Board of Governors of the … - 2014

Do more active hedge fund managers generate higher returns than their less active peers? We attempt to answer this question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long-short hedge funds. These estimates are then used to...

Persistent link: https://www.econbiz.de/10010892321