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Econometric Analysis of Present Value Models When the Discount Factor Is near One
West, Kenneth D. - National Bureau of Economic Research (NBER) - 2012
This paper develops asymptotic econometric theory to help understand data generated by a present value model with a discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that the discount factor approaches 1 as the sample size...
Persistent link: https://www.econbiz.de/10010785624
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Maximum likelihood estimation of the equity premium
Wachter, Jessica A.; Avdis, Efstathios - National Bureau of Economic Research (NBER) - 2013
The equity premium, namely the expected return on the aggregate stock market less the government bill rate, is of central importance to the portfolio allocation of individuals, to the investment decisions of firms, and to model calibration and testing. This quantity is usually estimated from the...
Persistent link: https://www.econbiz.de/10010796711
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Foreign Ownership of U.S. Safe Assets: Good or Bad?
Ludvigson, Sydney C.; Van Nieuwerburgh, Stijn; … - National Bureau of Economic Research (NBER) - 2014
The last 20 years have been marked by a sharp rise in international demand for U.S. reserve assets, or safe stores-of-value. What are the welfare consequences to U.S. households of these trends, or of a reversal? In a lifecycle model with aggregate and idiosyncratic risks, the young and oldest...
Persistent link: https://www.econbiz.de/10010969327
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Conditional Risk Premia in Currency Markets and Other Asset Classes
Lettau, Martin; Maggiori, Matteo; Weber, Michael - National Bureau of Economic Research (NBER) - 2013
The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns....
Persistent link: https://www.econbiz.de/10010969442
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International Financial Integration and Crisis Contagion
Devereux, Michael B.; Yu, Changhua - National Bureau of Economic Research (NBER) - 2014
International financial integration helps to diversify risk but also may increase the trans- mission of crises across countries. We provide a quantitative analysis of this trade-off in a two-country general equilibrium model with endogenous portfolio choice and collateral con- straints....
Persistent link: https://www.econbiz.de/10010950927
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The Golden Dilemma
Harvey, Campbell; Erb, Claude B. - National Bureau of Economic Research (NBER) - 2013
. We critically examine popular stories such as 'gold is an inflation hedge'. We show that gold may be an effective hedge … hedge. We also explore valuation. The real price of gold is currently high compared to history. In the past, when the real …While gold objects have existed for thousands of years, gold's role in diversified portfolios is not well understood …
Persistent link: https://www.econbiz.de/10010951171
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Financial Globalization, Corporate Governance, and Eastern Europe
Stulz, Rene M. - National Bureau of Economic Research (NBER) - 2006
For many countries, the most significant barriers to trade in financial assets have been knocked down. Yet, the financial world is not flat because poor governance prevents firms from being widely held and from taking full advantage of financial globalization. Poor governance has implications...
Persistent link: https://www.econbiz.de/10005079177
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International Portfolio Diversification and Multilateral Effects of Correlations
Bergin, Paul; Pyun, Ju Hyun - National Bureau of Economic Research (NBER) - 2012
attractiveness of a foreign country as a hedge depends upon its hedging potential relative to other potential destination countries …
Persistent link: https://www.econbiz.de/10009654195
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Global Asset Pricing
Lewis, Karen K. - National Bureau of Economic Research (NBER) - 2011
Financial markets have become increasingly global in recent decades, yet the pricing of internationally traded assets continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with standard frameworks. Equity returns depend upon both...
Persistent link: https://www.econbiz.de/10009228888
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On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios
Raddatz, Claudio E.; Schmukler, Sergio - National Bureau of Economic Research (NBER) - 2011
This paper uses micro-level data on mutual funds from different financial centers investing in equity and bonds to …
Persistent link: https://www.econbiz.de/10009277244