Showing 1 - 10 of 20
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
forecast accuracy. Respondents with current or expected financial difficulties, pessimistic attitudes about major purchases, or …
Persistent link: https://www.econbiz.de/10011261278
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
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...
Persistent link: https://www.econbiz.de/10011261280
empirical fact that the term structure of interest rate volatility has a hump-shaped pattern on employment report days (but not …
Persistent link: https://www.econbiz.de/10011095294
Dealers in over-the-counter securities form networks to mitigate search frictions. The audit trail for municipal bonds shows the dealer network has a core-periphery structure. Central dealers are more efficient at matching buyers and sellers than peripheral dealers, which shortens intermediation...
Persistent link: https://www.econbiz.de/10011095300
To attract retail time deposits, over 7,000 FDIC insured U.S. commercial banks publicly post their yield offers. I document an economically sizable and highly pro-cyclical cross-sectional dispersion in these yield offers during the period 1997 - 2011. Banks adjusted their yields rigidly and...
Persistent link: https://www.econbiz.de/10011115663
We quantify the effect of refinancing risk on euro area money market spreads, a major factor driving spreads during the financing crisis. With the advent of the crisis, market participants' perception of their ability to refinance over a given period of time changed radically. As a result,...
Persistent link: https://www.econbiz.de/10011119859
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
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