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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
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A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
Baumeister, Christiane - 2016
has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …
Persistent link: https://www.econbiz.de/10012996209
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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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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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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
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An Extended Macro-Finance Model with Financial Factors
Dewachter, Hans - 2013
This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...
Persistent link: https://www.econbiz.de/10013095098
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The Yield Spread Puzzle and the Information Content of SPF Forecasts
Lahiri, Kajal - 2013
While the yield spread has long been recognized as a good predictor of recessions, it seems to have been largely overlooked by professional forecasters. We examine this puzzle, established by Rudebusch and Williams (2009), in a data-rich environment including not just the yield spread but many...
Persistent link: https://www.econbiz.de/10013090002
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Forecasting Random Walks Under Drift Instability
Pesaran, M. Hashem - 2011
This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …
Persistent link: https://www.econbiz.de/10012756639
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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
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Cointegration Analysis with Mixed-Frequency Data
Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2021
maximum likelihood estimation of the parameters in the model, we use an expectation maximization algorithm based on the state …
Persistent link: https://www.econbiz.de/10013317180