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Beaudry, Paul; Kartashova, Katya; Meh, Césaire Assah - National Bureau of Economic Research - 2024

Understanding factors that drive asset demand is central to explaining movements in long-term real interest rates. In this paper, we begin by documenting that much of the increase in the demand for assets in the US in the 30 years prior to Covid represented greater desire to hold assets by...

Persistent link: https://www.econbiz.de/10014512102

Money in a Heterogeneous Agent Model

Farmer, Roger E. A. - National Bureau of Economic Research - 2024

I introduce money into an incomplete markets model with heterogeneous agents and uninsurable income risk. I show that the model exhibits both non-monetary and monetary equilibria, with the latter existing when income risk is sufficiently high. Using numerical methods, I characterize the...

Persistent link: https://www.econbiz.de/10015056162

Back to the 1980s or Not? : The Drivers of Inflation and Real Risks in Treasury Bonds

Pflueger, Carolin E. - National Bureau of Economic Research - 2023

I use nominal and real bond risks as new moments to discipline a New Keynesian asset pricing model, where supply shocks, demand shocks, and monetary policy are the fundamental drivers of inflation. Endogenously time-varying risk premia imply that nominal bond risks--as measured by their stock...

Persistent link: https://www.econbiz.de/10014226118

War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets

Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023

Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...

Persistent link: https://www.econbiz.de/10014287305

Disasters with Unobservable Duration and Frequency : Intensified Responses and Diminished Preparedness

Acharya, Viral V.; Johnson, Tim; Sundaresan, Suresh M.; … - National Bureau of Economic Research - 2023

duration of the disasters. Uncertainty about the persistence of states can lead to seemingly pessimistic behavior in bad times … and optimistic behavior in good times. In a disaster, uncertainty about duration acts as an amplification mechanism … welfare cost of parameter uncertainty can be extreme. However, in advance of a disaster, uncertainty about the arrival rate …

Persistent link: https://www.econbiz.de/10014247988

Prospect Theory and Asset Prices

Barberis, Nicholas - 1999

We propose a new framework for pricing assets, derived in part from the traditional consumption-based approach, but which also incorporates two long-standing ideas in psychology: prospect theory, and evidence on how prior outcomes affect risky choice. Consistent with prospect theory, the...

Persistent link: https://www.econbiz.de/10012471569

The Equity Premium and the Concentration of Aggregate Shocks

Mankiw, N. Gregory - 1986

This paper examines an economy in which aggregate shocks are not dispersed equally throughout the population. Instead, while these shocks affect all individuals ex ante, they are concentrated among a few ex post.The equity premium in general depends on the concentration of these aggregate...

Persistent link: https://www.econbiz.de/10012477289

An Investigation of Risk and Return in Forward Foreign Exchange

Hodrick, Robert J. - 1983

This paper examines the determination of risk premiums in foreign exchange markets. The statistical model is based on a theoretical model of asset pricing, which leads to severe cross-equation constraints. Statistical tests lead to a rejection of these constraints. We examine the robustness of...

Persistent link: https://www.econbiz.de/10012477919

Implications for the Adjustment Process of International Asset Risks : Exchange Controls, Intervention and Policy Risk, and Sovereign Risk

Buiter, Willem H. - 1980

This paper analyzes the implications of international asset risks for the operation of the international adjustment process, with special emphasis on the scope for monetary policy. After a brief review of actual practice in the evaluation of country risk, the paper discusses a number of...

Persistent link: https://www.econbiz.de/10012478620

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

Chen, Hui - 2019

We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk exposures. Using data for the trading activities in the market of deep out-of-the-money S&P 500 put options, we identify periods when the variations in the net amount of trading...

Persistent link: https://www.econbiz.de/10012479526

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