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Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach
Guidolin, Massimo; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2007
This paper develops a flexible approach to combine forecasts of future spot rates with forecasts from time-series models or macroeconomic variables. We find empirical evidence that accounting for both regimes in interest rate dynamics and combining forecasts from different models helps improve...
Persistent link: https://www.econbiz.de/10005497914
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Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices
Bofinger, Peter; Leitner, Johannes; Schmidt, Robert - C.E.P.R. Discussion Papers - 2004
The empirical performance of macroeconomic exchange rate models is more than disappointing. This dismal result is also reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve random walk forecasts. The root for this deficient...
Persistent link: https://www.econbiz.de/10005504428
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Home Away From Home? Safe Haven Effects and London House Prices
Badarinza, Cristian; Ramadorai, Tarun - C.E.P.R. Discussion Papers - 2013
Historical time-series data is short relative to the frequency of political and economic crises. This makes it difficult to use pure time-series methods to identify the impacts of safe haven demand on asset prices, in the face of confounding effects from a wide range of alternative drivers. We...
Persistent link: https://www.econbiz.de/10011084288
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Leverage as a Predictor for Real Activity and Volatility
Kollmann, Robert; Zeugner, Stefan - C.E.P.R. Discussion Papers - 2011
positively linked to the conditional volatility of future real activity and of equity returns. The joint information in sectoral …
Persistent link: https://www.econbiz.de/10008915810
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The Wealth-Consumption Ratio
Lustig, Hanno; van Nieuwerburgh, Stijn; Verdelhan, Adrien - C.E.P.R. Discussion Papers - 2012
We derive new estimates of total wealth, the returns on total wealth, and the wealth effect on consumption. We estimate the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we compute total wealth as the price of a claim to...
Persistent link: https://www.econbiz.de/10011083953
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Measuring and Modelling Variation in the Risk-Return Trade-off
Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2001
? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the … negatively linked to variation in market volatility, at odds with leading asset pricing models. Since the conditional volatility …
Persistent link: https://www.econbiz.de/10005498159
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Carry Trades and Global Foreign Exchange Volatility
Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - C.E.P.R. Discussion Papers - 2011
We investigate the relation between global foreign exchange (FX) volatility risk and the cross-section of excess … FX volatility and thus deliver low returns in times of unexpected high volatility, when low interest rate currencies … provide a hedge by yielding positive returns. Our proxy for global FX volatility risk captures more than 90% of the cross …
Persistent link: https://www.econbiz.de/10008867494
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The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns
Bhamra, Harjoat Singh; Uppal, Raman - C.E.P.R. Discussion Papers - 2006
We study the effect of introducing a new security, such as a non-redundant derivative, on the volatility of stock … increases the volatility of stock-market returns. …
Persistent link: https://www.econbiz.de/10005114422
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Collateralisation bubbles when investors disagree about risk
Broer, Tobias; Kero, Afroditi - C.E.P.R. Discussion Papers - 2014
Survey respondents strongly disagree about return risks and, increasingly, macroeconomic uncertainty. This may have contributed to higher asset prices through increased use of collateralisation, which allows risk-neutral investors to realise perceived gains from trade. Investors with lower risk...
Persistent link: https://www.econbiz.de/10011084220
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Subjective Discount Factors
Luttmer, Erzo G J; Mariotti, Thomas - C.E.P.R. Discussion Papers - 2000
-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and …
Persistent link: https://www.econbiz.de/10005662071