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Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?

Wachter, Jessica A.; Warusawitharana, Missaka - National Bureau of Economic Research (NBER) - 2007

Are excess returns predictable and if so, what does this mean for investors? Previous literature has tended toward two polar viewpoints: that predictability is useful only if the statistical evidence for it is incontrovertible, or that predictability should affect portfolio choice, even if the...

Persistent link: https://www.econbiz.de/10005085380

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

Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited

Angrist, Joshua; Jorda, Oscar; Kuersteiner, Guido M. - National Bureau of Economic Research (NBER) - 2013

We develop a flexible semiparametric time series estimator that is then used to assess the causal effect of monetary policy interventions on macroeconomic aggregates. Our estimator captures the average causal response to discrete policy interventions in a macro-dynamic setting, without the need...

Persistent link: https://www.econbiz.de/10010969232

Assessing DSGE Model Nonlinearities

Aruoba, S. Boragan; Schorfheide, Frank; Bocola, Luigi - National Bureau of Economic Research (NBER) - 2013

We develop a new class of nonlinear time-series models to identify nonlinearities in the data and to evaluate nonlinear DSGE models. U.S. output growth and the federal funds rate display nonlinear conditional mean dynamics, while inflation and nominal wage growth feature conditional...

Persistent link: https://www.econbiz.de/10010969293

Rare Events, Financial Crises, and the Cross-Section of Asset Returns

Bianchi, Francesco - National Bureau of Economic Research (NBER) - 2015

Similarities between the Great Depression and the Great Recession are documented with respect to the behavior of financial markets. A Great Depression regime is identified by using a Markov-switching VAR. The probability of this regime has remained close to zero for many decades, but spiked for...

Persistent link: https://www.econbiz.de/10011213652

Prior Selection for Vector Autoregressions

Giannone, Domenico; Primiceri, Giorgio; Lenza, Michele - National Bureau of Economic Research (NBER) - 2012

Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts, particularly for models with many variables....

Persistent link: https://www.econbiz.de/10011272306

Two Flaws In Business Cycle Accounting

Christiano, Lawrence; Davis, Joshua M. - National Bureau of Economic Research (NBER) - 2006

Using 'business cycle accounting' (BCA), Chari, Kehoe and McGrattan (2006) (CKM) conclude that models of financial frictions which create a wedge in the intertemporal Euler equation are not promising avenues for modeling business cycle dynamics. There are two reasons that this conclusion is not...

Persistent link: https://www.econbiz.de/10005248906

Risk Matters: The Real Effects of Volatility Shocks

Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F; … - National Bureau of Economic Research (NBER) - 2009

This paper shows how changes in the volatility of the real interest rate at which small open emerging economies borrow … motivate our investigation, we document the strong evidence of time-varying volatility in the real interest rates faced by a … sample of four emerging small open economies: Argentina, Ecuador, Venezuela, and Brazil. We postulate a stochastic volatility …

Persistent link: https://www.econbiz.de/10005248956

Optimal Inference in Regression Models with Nearly Integrated Regressors

Jansson, Michael; Moreira, Marcelo J. - National Bureau of Economic Research (NBER) - 2004

This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian power envelopes are obtained for a class of testing procedures satisfying a conditionality restriction. In addition, the paper...

Persistent link: https://www.econbiz.de/10005248990

An Evaluation of Multi-Factor CIR Models Using LIBOR, Swap Rates, and Cap and Swaption Prices

Jagannathan, Ravi; Kaplin, Andrew; Sun, Steve Guoqiang - National Bureau of Economic Research (NBER) - 2001

able to match the hump shaped unconditional term structure of volatility in the LIBOR-swap market. However, statistical …

Persistent link: https://www.econbiz.de/10005085194

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