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Do inflation expectations improve model-based inflation forecasts?

Bańbura, Marta; Leiva-León, Danilo; Menz, Jan-Oliver - 2021

find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB’s SPF … and Consensus Economics compared to their counterparts that do not. The gains in forecast accuracy from incorporating … inflation expectations are typically not large but significant in some periods. Both short- and long-term expectations provide …

Persistent link: https://www.econbiz.de/10012792526

Assessing the uncertainty in central banks' inflation outlooks

Knüppel, Malte; Schultefrankenfeld, Guido - 2019

horizon-dependent biases and lower accuracy than simple unconditional uncertainty forecasts. We examine the inflation …

Persistent link: https://www.econbiz.de/10011962843

Pricing currency risk in the stock market: Empirical evidence from Finland and Sweden 1970-2009

Antell, Jan; Vaihekoski, Mika - 2011

We investigate the role of currency risk on stock markets in two interlinked Nordic countries exhibiting a gradual move from fixed to floating exchange rates. We apply the Ding and Engle (2001) covariance stationary specification in a multivariate GARCH-M setup to test a conditional...

Persistent link: https://www.econbiz.de/10012503017

Decomposition of country-specific corporate bond spreads

Dötz, Niko - 2014

This paper presents a new approach, based on the Merton model, to decomposing corporate bond spreads into the expected loss, bond risk premium and liquidity premium components. The approach focuses on establishing the bond risk premium using the equity risk premium and the hedge ratio, which are...

Persistent link: https://www.econbiz.de/10010458538

Foreign exchange dealer asset pricing

Reitz, Stefan; Umlandt, Dennis - 2019

We show that excess returns to the carry trade can be interpreted as compensation for foreign exchange dealers' capital risk. Given that the top market makers in foreign exchange are at the heart of the market's information aggregation process we also suggest that it is their marginal value of...

Persistent link: https://www.econbiz.de/10012109710

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Persistent link: https://www.econbiz.de/10011855295

Convenient but risky government bonds

Kaldorf, Matthias; Röttger, Joost - 2023

How does convenience yield interact with sovereign risk and the supply of government bonds? We propose a model of sovereign debt and default in which convenience yield arises because investors are able to pledge government bonds as collateral on financial markets. Convenience yield is dependent...

Persistent link: https://www.econbiz.de/10014320773

Selective default expectations

Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim - 2023

This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market...

Persistent link: https://www.econbiz.de/10014495920

The scenario-based equity price impact induced by greenhouse gas emissions

Weth, Mark A.; Baltzer, Markus; Bertram, Christoph; … - 2024

This paper proposes a forward-looking metric of transition risk that relates financial performance and incremental carbon costs at the firm level. To this end, we use a consistent dividend discount framework augmented with emission costs of firms and climate scenario projections from four...

Persistent link: https://www.econbiz.de/10015048429

Improving profitability forecasts with information on earnings quality

Demmer, Matthias - 2015

Prior literature documents the usefulness of the DuPont disaggregation for predicting firms future profitability, operating income, and stock market returns. In addition, research also emphasizes the importance of earnings quality information. However, there is a lack of research examining how...

Persistent link: https://www.econbiz.de/10010520353

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