Showing 1 - 10 of 93
Stylized facts on output and interest rates in the U.S. have so far proved hard to match with business cycle models. But these findings do not acknowledge that the economy might well be driven by different shocks, and by each in different ways. I estimate covariances of output, nominal and real...
Persistent link: https://www.econbiz.de/10005858587
We explore the determinants of yield differentials between long-term sovereigen bonds in Europa area. There is a common trend in yield differentials, which is correlated with the measure of tghe international risk factor. In contrast, liquidity differentials display sizeable hetrogeneity and no...
Persistent link: https://www.econbiz.de/10005858005
The challenge of international term structure models is to simultaneously account for the properties of interest rate term structures and foreign exchange rates within an arbitrage-free framework. We extend the quadratic term structure models proposed in Leippold and Wu (2002) to multiple...
Persistent link: https://www.econbiz.de/10005858853
We study the optimal policies and mean-variance frontiers (MVF) of a multiperiod mean-variance optimization of assets and liabilities (AL). Our model allows for a contemporaneous optimization of the balance-sheet as a whole. This makes the analysis more challenging than in a setting based on...
Persistent link: https://www.econbiz.de/10005858859
We propose an affine term structure model which accommodates non-linearities in the drift and volatility function of the short-term interest rate. Such non-linearities are a consequence of discrete beta-distributed regime shifts constructed on multiple thresholds. We derive iterative closed form...
Persistent link: https://www.econbiz.de/10005858872
We identify local and global factors across international bond markets that arepoorly spanned by the traditional level, slope and curvature factors but havestrong forecasting power for future bond excess returns. Local and global fac-tors are jointly signicant predictors of bond returns, where...
Persistent link: https://www.econbiz.de/10009305251
We study the dynamic general equilibrium of an economy where risk averse shareholders delegate the management of the firm to risk averse managers. The optimal contract has two main components: an incentive component corresponding to a non-tradable equity position and a variable ’salary’...
Persistent link: https://www.econbiz.de/10005857776
We are interested in the macroeconomic implications of the separation of ownership and control. An alternative decentralized interpretation of the stochastic growth model is proposed, one where shareholders hire a self-interested manager who is in charge of the firm’s hiring and investment...
Persistent link: https://www.econbiz.de/10005858555
This paper extends the literature on the information content of financial variables with respect to future economic growth. It shows that variables originating from both the equity market and the bond market in Switzerland are useful indicators for forecasting the Swiss business cycle. In...
Persistent link: https://www.econbiz.de/10005859003
What is the fundamental value of a stock? Do stock prices deviate from this fundamental value? If yes, do they go back to their fundamental value? This paper proposes to answer these three questions by using a stock valuation model based on the Consumption-Capital Asset Pricing Model (C-CAPM)...
Persistent link: https://www.econbiz.de/10005858059