Narrow search
Showing 1 - 10 of 966
Cover Image
Tail Risk and Asset Prices
Kelly, Bryan; Jiang, Hao - National Bureau of Economic Research (NBER) - 2013
We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is significantly correlated with tail risk measures...
Persistent link: https://www.econbiz.de/10010692234
Cover Image
Collateral Valuation and Borrower Financial Constraints: Evidence from the Residential Real Estate Market
Agarwal, Sumit; Ben-David, Itzhak; Yao, Vincent - National Bureau of Economic Research (NBER) - 2013
Financially constrained borrowers have the incentive to influence the appraisal process in order to increase borrowing or reduce the interest rate. We document that the average valuation bias for residential refinance transactions is above 5%. The bias is larger for highly leveraged...
Persistent link: https://www.econbiz.de/10010703331
Cover Image
The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
Jorda, Oscar; Taylor, Alan M. - National Bureau of Economic Research (NBER) - 2009
The carry trade is the investment strategy of going long in high-yield target currencies and short in low-yield funding currencies. Recently, this naive trade has seen very high returns for long periods, followed by large crash losses after large depreciations of the target currencies. Based on...
Persistent link: https://www.econbiz.de/10008628426
Cover Image
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 … theory is quantitatively congruent with modest departures from random walk behavior with imprecise estimation of a well …
Persistent link: https://www.econbiz.de/10010785624
Cover Image
Currency Carry Trades
Jorda, Oscar; Taylor, Alan M.; Berge, Travis J. - National Bureau of Economic Research (NBER) - 2010
A wave of recent research has studied the predictability of foreign currency returns. A wide variety of forecasting structures have been proposed, including signals such as carry, value, momentum, and the forward curve. Some of these have been explored individually, and others have been used in...
Persistent link: https://www.econbiz.de/10008684847
Cover Image
Inflation and the Stock Market:Understanding the "Fed Model"
Bekaert, Geert; Engstrom, Eric - National Bureau of Economic Research (NBER) - 2009
has long puzzled economists. We show that the effect is consistent with modern asset pricing theory incorporating …
Persistent link: https://www.econbiz.de/10005025656
Cover Image
Shocks and Crashes
Lettau, Martin; Ludvigson, Sydney C. - National Bureau of Economic Research (NBER) - 2011
Three shocks, distinguished by whether their effects are permanent or transitory, are identified to characterize the post-war dynamics of aggregate consumer spending, labor earnings, and household wealth. The first shock accounts for virtually all of the variation in consumption; we argue that...
Persistent link: https://www.econbiz.de/10009004019
Cover Image
Carry Trade and Systemic Risk: Why are FX Options so Cheap?
Caballero, Ricardo J; Doyle, Joseph B. - National Bureau of Economic Research (NBER) - 2012
In this paper we document first that, in contrast with their widely perceived excess returns, popular carry trade strategies yield low systemic-risk-adjusted returns. In particular, we show that carry trade returns are highly correlated with the return of a VIX rolldown strategy --i.e., the...
Persistent link: https://www.econbiz.de/10010950969
Cover Image
For a Few Dollars More: Reserves and Growth in Times of Crises
Chinn, Menzie; Bussière, Matthieu; Cheng, Gong; … - National Bureau of Economic Research (NBER) - 2014
Based on a dataset of 112 emerging economies and developing countries, this paper addresses two key questions regarding the accumulation of international reserves: first, has the accumulation of reserves effectively protected countries during the 2008-09 financial crisis? And second, what...
Persistent link: https://www.econbiz.de/10011212814
Cover Image
Is Tanzania a Success Story? A Long Term Analysis
Edwards, Sebastian - National Bureau of Economic Research (NBER) - 2012
The purpose of this paper is to provide a historical perspective on the reform process initiated in Tanzania in 1986, and deepened in 1996. In order to do this I concentrate mostly on the period spanning from 1967, when the Arusha Declaration was adopted by the official political party the TANU,...
Persistent link: https://www.econbiz.de/10009421970