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Buiter, Willem H. - London School of Economics (LSE) - 2008

The paper draws lessons from the experience of the past year for the conduct of central banks in the pursuit of macroeconomic and financial stability. Macroeconomic stability is defined as either price stability or as price stability and sustainable output or employment growth. Financial...

Persistent link: https://www.econbiz.de/10010745389

Labor hiring, investment and stock return predictability in the cross section

Bazdrech, Santiago; Belo, Frederico; Lin, Xiaoji - London School of Economics (LSE) - 2008

We document that the firm level hiring rate predicts stock returns in the cross-section of US publicly traded firms even after controlling for investment, size, book-to-market and momentum as well as other known predictors of stock returns. The predictability shows up in both Fama-MacBeth cross...

Persistent link: https://www.econbiz.de/10010746050

General properties of rational stock-market fluctuations

Mele, Antonio - London School of Economics (LSE) - 2004

Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with given sets of predictions on aggregate stock-market fluctuations ? This paper develops theoretical test conditions addressing this and related reverse engineering issues arising within a fairly...

Persistent link: https://www.econbiz.de/10010746351

Endogenous technological progress and the cross section of stock returns

Lin, Xiaoji - London School of Economics (LSE) - 2009

I study the cross sectional variation of stock returns and technological progress using a dynamic equilibrium model with production. In the model, technological progress is en- dogenously driven by R&D investment and is composed of two parts. One part is product innovation devoted to creating...

Persistent link: https://www.econbiz.de/10011071068

Asset pricing tests with long run risks in consumption growth

Constantinides, George M.; Ghosh, Anisha - London School of Economics (LSE) - 2008

The Bansal and Yaron (2004) model of long run risks (LLR) in aggregate consumption and dividend growth and its extension that captures potential co- integration of the consumption and dividend levels, are tested on a cross-section of asset classes and rejected using annual data over the period...

Persistent link: https://www.econbiz.de/10011071278

Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world

Lleo, Sebastien; Ziemba, Bill - London School of Economics (LSE) - 2014

We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...

Persistent link: https://www.econbiz.de/10011170088

The shape of the risk premium: evidence from a semiparametric GARCH model

Linton, Oliver; Perron, Benoit - London School of Economics (LSE) - 2000

We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We propose a new semiparametric model in which the conditional variance process is parametric, while the conditional mean is an arbitrary function of the conditional variance. For...

Persistent link: https://www.econbiz.de/10010745701

Money illusion and housing frenzies

Brunnermeier, Markus K.; Julliard, Christian - London School of Economics (LSE) - 2006

A reduction in inflation can fuel run-ups in housing prices if people suffer from money illusion. For example … account that inflation lowers future real mortgage costs. We decompose the price-rent ratio in a rational component — meant to … capture the proxy effect and risk premia — and an implied mispricing. We find that inflation and nominal interest rates …

Persistent link: https://www.econbiz.de/10011071404

The role of bank capital and the transmission mechanism of monetary policy

Sunirand, Pojanart - London School of Economics (LSE) - 2002

This paper is a theoretical study of the transmission mechanism of monetary policy in the presence of an endogenous role of bank capital. The basic framework is a standard Dynamic New Keynesian model with price stickiness modified so as firms as well as banks face endogenous financial frictions...

Persistent link: https://www.econbiz.de/10010884669

Fiscal discipline and the cost of public debt service: some estimates for OECD countries

Ardagna, Silvia; Caselli, Francesco; Lane, Timothy - London School of Economics (LSE) - 2005

We use a panel of 16 OECD countries over several decades to investigate the effects of government debts and deficits on long-term interest rates. In simple static specifications, a one-percentage-point increase in the primary deficit relative to GDP increases contemporaneous long-term interest...

Persistent link: https://www.econbiz.de/10010745225

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