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Continuous-Time Linear Models
Cochrane, John H. - National Bureau of Economic Research (NBER) - 2012
I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas.
Persistent link: https://www.econbiz.de/10010785606
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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
theory is quantitatively congruent with modest departures from random walk behavior with imprecise estimation of a well …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 …
Persistent link: https://www.econbiz.de/10010785624
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Factor Model Forecasts of Exchange Rates
Engel, Charles; Mark, Nelson; West, Kenneth D. - National Bureau of Economic Research (NBER) - 2012
We construct factors from a cross section of exchange rates and use the idiosyncratic deviations from the factors to forecast. In a stylized data generating process, we show that such forecasts can be effective even if there is essentially no serial correlation in the univariate exchange rate...
Persistent link: https://www.econbiz.de/10011103524
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Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
Schorfheide, Frank; Yaron, Amir; Song, Dongho - National Bureau of Economic Research (NBER) - 2014
multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … Bayesian estimation provides strong evidence for a small predictable component in consumption growth (even if asset return data … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …
Persistent link: https://www.econbiz.de/10010821674
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What is the Chance that the Equity Premium Varies over Time? Evidence from Regressions on the Dividend-Price Ratio
Wachter, Jessica A.; Warusawitharana, Missaka - National Bureau of Economic Research (NBER) - 2011
We examine the evidence on excess stock return predictability in a Bayesian setting in which the investor faces uncertainty about both the existence and strength of predictability. When we apply our methods to the dividend-price ratio, we find that even investors who are quite skeptical about...
Persistent link: https://www.econbiz.de/10009251492
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Financial Development in 205 Economies, 1960 to 2010
Demirguc-Kunt, Asli; Levine, Ross; Čihák, Martin; … - National Bureau of Economic Research (NBER) - 2013
This paper describes our construction of the Global Financial Development Database and uses the data to compare financial systems around the world. The database provides information on financial systems in 205 economies over the period from 1960 to 2010 and includes measures of (1) size of...
Persistent link: https://www.econbiz.de/10010969344
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Quantifying Liquidity and Default Risks of Corporate Bonds over the Business Cycle
Chen, Hui; Cui, Rui; He, Zhiguo; Milbradt, Konstantin - National Bureau of Economic Research (NBER) - 2014
We develop a structural credit risk model to examine how the interactions of liquidity and default risk affect corporate bond pricing. By explicitly modeling debt rollover and by endogenizing the holding costs via collateralized financing, our model generates rich links between liquidity risk...
Persistent link: https://www.econbiz.de/10010969437
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Uncertainty Outside and Inside Economic Models
Hansen, Lars Peter - National Bureau of Economic Research (NBER) - 2014
We must infer what the future situation would be without our interference, and what changes will be wrought by our actions. Fortunately, or unfortunately, none of these processes is infallible, or indeed ever accurate and complete. Knight (1921)
Persistent link: https://www.econbiz.de/10010890111
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Learning Millennial-Style
Carlin, Bruce I.; Jiang, Li; Spiller, Stephen A. - National Bureau of Economic Research (NBER) - 2014
The growing use of on-line educational content and related video services has changed the way people access education, share knowledge, and possibly make life decisions. In this paper, we characterize how video content affects individual decision-making and willingness to share in the context of...
Persistent link: https://www.econbiz.de/10010950669
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Time-Varying Fund Manager Skill
Van Nieuwerburgh, Stijn; Veldkamp, Laura; Kacperczyk, Marcin - National Bureau of Economic Research (NBER) - 2011
Mutual fund managers can outperform the market by picking stocks or timing the market successfully. Previous work has estimated picking and timing skill, assuming that each manager is endowed with a fixed amount of each and found some evidence of picking skills and little evidence of timing...
Persistent link: https://www.econbiz.de/10009372435