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Evaluation of Long-Dated Investments Under Uncertain Growth Trend, Volatility and Catastrophes
Gollier, Christian - 2021
probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …
Persistent link: https://www.econbiz.de/10013315817
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Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios
Pesaran, M. Hashem - 2009
This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...
Persistent link: https://www.econbiz.de/10013153425
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach
Beirne, John - 2013
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …
Persistent link: https://www.econbiz.de/10013094544
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Channel Systems : Why is There a Positive Spread?
Berentsen, Aleksander - 2010
An increasing number of central banks implement monetary policy via two standing facilities: a lending facility and a deposit facility. In this paper we show that it is socially optimal to implement a non-zero interest rate spread. We prove this result in a dynamic general equilibrium model...
Persistent link: https://www.econbiz.de/10013135781
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Expected Net Present Value, Expected Net Future Value, and the Ramsey Rule
Gollier, Christian - 2013
Weitzman (1998) showed that when future interest rates are uncertain, using the expected net present value implies a term structure of discount rates that is decreasing to the smallest possible interest rate. On the contrary, using the expected net future value criterion implies an increasing...
Persistent link: https://www.econbiz.de/10013095951
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Asset Pricing with Uncertain Betas : A Long-Term Perspective
Gollier, Christian - 2013
How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...
Persistent link: https://www.econbiz.de/10013087728
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Liquidity, Term Spreads and Monetary Policy
Aksoy, Yunus - 2013
We propose a model that delivers endogenous variations in term spreads driven by banks' portfolio decision while facing the risk of maturity transformation. First, we show that fluctuations of the future profitability of banks' portfolios affect their ability to cover for any liquidity needs and...
Persistent link: https://www.econbiz.de/10013089685
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Interest Rates under Falling Stars
Bauer, Michael - 2020
Macro-finance theory implies that trend ination and the equilibrium real interest rate are fundamental determinants of …
Persistent link: https://www.econbiz.de/10012853894
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Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates
de Vries, Casper G. - 2015
The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...
Persistent link: https://www.econbiz.de/10013019404
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Restrictions on Risk Prices in Dynamic Term Structure Models
Bauer, Michael - 2015
Restrictions on the risk-pricing in dynamic term structure models (DTSMs) can unleash the power of no-arbitrage by creating a tighter link between cross-sectional and time-series variation of interest rates. This paper presents a new econometric framework for estimation of affine Gaussian DTSMs...
Persistent link: https://www.econbiz.de/10013025968