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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

Cash Flow Duration and the Term Structure of Equity Returns

Weber, Michael - 2016

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...

Persistent link: https://www.econbiz.de/10012981605

Evaluation of Long-Dated Investments Under Uncertain Growth Trend, Volatility and Catastrophes

Gollier, Christian - 2021

Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...

Persistent link: https://www.econbiz.de/10013315817

Liquidity, Term Spreads and Monetary Policy

Aksoy, Yunus - 2013

the central bank after a liquidity shock creates a new channel of policy transmission that leads to a sharp decrease in … responses after a liquidity shock. The shortterm rate does not need to decrease as much as when only conventional policies are …

Persistent link: https://www.econbiz.de/10013089685

Immunity

Reddy, Karthik; Schularick, Moritz; Skreta, Vasiliki - 2021

world. Why, and with what effects, do societies choose to place their politicians above the law? We examine the institution …

Persistent link: https://www.econbiz.de/10013315702

Robust Bond Risk Premia

Bauer, Michael - 2015

A consensus has recently emerged that a number of variables in addition to the level, slope, and curvature of the term structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used to support this conclusion are subject to very...

Persistent link: https://www.econbiz.de/10013012562

Commodity Windfalls, Polarization, and Net Foreign Assets : Panel Data Evidence on the Voracity Effect

Arezki, Rabah - 2013

This paper examines the effects that windfalls from international commodity price booms have on net foreign assets in a panel of 145 countries during the period 1970-2007. The main finding is that windfalls from international commodity price booms lead to a significant increase in net foreign...

Persistent link: https://www.econbiz.de/10013092044

Resolving the Spanning Puzzle in Macro-Finance Term Structure Models

Bauer, Michael - 2015

Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is...

Persistent link: https://www.econbiz.de/10013028787

Stock Market Integration between Three CEECs, Russia and the UK

Caporale, Guglielmo Maria - 2013

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … evidence on possible changes in the transmission mechanism (namely, on whether there is contagion) can be obtained by examining … spillovers between the three CEECs considered and the UK (contagion) …

Persistent link: https://www.econbiz.de/10013095004

Global Banking, Trade, and the International Transmission of the Great Recession

Born, Alexandra - 2018

large parts of the world. In this paper we explore the financial and the trade channel in a unified framework and quantify …

Persistent link: https://www.econbiz.de/10012920861

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