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Tille, Cedric; van Wincoop, Eric - Institut für Schweizerisches Bankwesen <Zürich> - 2008

The surge in international asset trade since the early 1990s has lead to renewed interest in models with international portfolio choice, an aspect that was largely cast aside when the ad-hoc portfolio balance models of the 1970s were replaced bymodels of optimizing agents. We develop the...

Persistent link: https://www.econbiz.de/10005857750

An Analysis of Shareholder Agreements

Chemla, Gilles; Habib, Michel A.; Ljungqvist, Alexander - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

Shareholder agreements govern the relations among shareholders in privately-held ﬁrms, such as joint ventures or venture capital-backed ﬁrms. We provide an explanation for the use of put and call options, tag-along rights, drag-along rights, demand rights, piggy-back rights, and catch-up...

Persistent link: https://www.econbiz.de/10005858017

Financial Development and the Instability of Open Economies

Aghione, Philippe; Bacchett, Philippe; Banerjeeta, Abhijit - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper introduces a framework for analyzing the role of financial factors as a source of instability in small open economies. Our basic model is a dynamic open economy model with a tradeable good produced with capital and a country-specific factor. We also assume that firms face credit...

Persistent link: https://www.econbiz.de/10005858584

Forecasting Inflation from the Term Structure: A Comparison of Alternative Specifications

Li, Fuchun; Pelgrin, Florian; Tkacz, Greg - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Several authors have shown that there exists a signiﬁcant relationship between the term structure of interest rates and future changes in the rate of inﬂation. More recently, this relationship has been strengthened through the introduction of nonlinearities and regime shifts. This paper...

Persistent link: https://www.econbiz.de/10005857756

Managerial Guidance and Analysts' Underreaction

Bachmann, Kremena; Woehrmann, Peter - Institut für Schweizerisches Bankwesen <Zürich> - 2008

Empirical investigations of analysts forecast surveys concerning earnings realizations ﬁnd signiﬁcant time varying … analysts forecast errors is commonly explained by analysts underreaction. In this paper we dvelop a random dynamical system … describing the evolution of analysts forecasts and ﬁrms prices and show that managerial guidance is capable to explain such …

Persistent link: https://www.econbiz.de/10005858027

Are Spectral Estimators Useful for Implementing Long-Run Restrictions in SVARs?

Mertens, Elmar - Institut für Schweizerisches Bankwesen <Zürich> - 2008

No, not really. Responding to lingering concerns about the reliability of SVARs, Christiano et al (NBER Macro Annual, 2006, CEV) propose to combine OLS estimates of a VAR with a spectral estimate of long-run variance. In principle, thiscould help alleviate speciﬁcation problems of SVARs in...

Persistent link: https://www.econbiz.de/10005858053

Random Walk Expectations and the Forward Discount Puzzle

Bacchetta, Philippe; van Wincoop, Eric - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Two well-known, but seemingly contradictory, features of exchange rates are thatthey are close to a random walk while at the same time exchange rate changesare predictable by interest rate differentials. In this paper we investigate whetherthese two features of the data may in fact be related....

Persistent link: https://www.econbiz.de/10005858209

Local Transformation Kernel Density Estimation of Loss Distributions

Scaillet, Olivier; Hagmann, Matthias; Gustafsson, J.; … - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We develop a tailor made semiparametric asymmetric kernel density estimator for the estimation of actuarial loss distributions. The estimator is obtained by transforming the data with the generalized Champernowne distribution initially fitted to the data. Then the density of the transformed data...

Persistent link: https://www.econbiz.de/10005858339

C-CAPM without Ex Post Data

Söderlind, Paul - Institut für Schweizerisches Bankwesen <Zürich> - 2006

Survey and option data are used to take a fresh look at the equity premium puzzle.Survey data on equity returns (Livingston survey) shows much lower expected excess returns than ex post data. At the same time, option data suggests that investors perhaps overestimate the volatility of equity...

Persistent link: https://www.econbiz.de/10005858345

Out of Sample Forecast of Quadratic Variation

At-Sahalia, Yacine; Mancini, Loriano - Institut für Schweizerisches Bankwesen <Zürich> - 2006

We compare the forecasts of Quadratic Variation given by Realized Volatility (RV) and Two Scales Realized Volatility …

Persistent link: https://www.econbiz.de/10005858520