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"Peso Problem" Explanations for Term Structure Anomalies
Bekaert, Geert; Hodrick, Robert J.; Marshall, David A. - 2021
States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector …-problem effects is largely consistent with term structure data from the U.S., U.K., and Germany …
Persistent link: https://www.econbiz.de/10013232709
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Expectations Hypotheses Tests
Bekaert, Geert; Hodrick, Robert J. - 2021
. In addition to standard Wald tests, we formulate Lagrange Multiplier and Distance Metric tests which require estimation … under the non-linear constraints of the null hypotheses. Estimation under the null is achieved by iterating on approximate …
Persistent link: https://www.econbiz.de/10013232893
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Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
Bekaert, Geert - 2009
The paper characterizes predictable components in excess rates of returns on major equity and foreign exchange markets using lagged excess returns, dividend yields, and forward premiums as instruments. Vector autoregressive techniques demonstrate one-step-ahead predictability and provide implied...
Persistent link: https://www.econbiz.de/10012767709