Similar Search Results

Winkelmann, Lars; Yao, Wenying - 2021

This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential...

Persistent link: https://www.econbiz.de/10012655372

Procyclical asset management and bond risk premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020

Institutional funds have concentrated ownership by a few institutional investors, infrequent outflows and essentially no leverage. Yet using unique granular data on the bond holdings of institutional funds, we show that their trading behavior is strongly procyclical: they actively move into...

Persistent link: https://www.econbiz.de/10012250652

Asset prices and alternative characterizations of the pricing kernel

Lüders, Erik - 2002

volatility. Hence, they are viable alternatives to the geometric Brownian motion. …

Persistent link: https://www.econbiz.de/10013428466

Tests for jumps in yield spreads

Winkelmann, Lars; Yao, Wenying - 2023

This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing...

Persistent link: https://www.econbiz.de/10014343097

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

Persistent link: https://www.econbiz.de/10011663407

Time-varying stock return correlation, news shocks, and business cycles

Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022

The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...

Persistent link: https://www.econbiz.de/10014227600

Collateral requirements and asset prices

Brumm, Johannes; Grill, Michael; Kubler, Felix; … - 2013

Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In … substantially increases the return volatility of long-lived assets. Moreover, otherwise identical assets with different degrees of …

Persistent link: https://www.econbiz.de/10010203684

Equity premium predictability over the business cycle

Mönch, Emanuel; Stein, Tobias - 2021

The equity premium follows a pronounced v-shape pattern around the beginning of recessions. It sharply drops into negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are preceded by an inverted yield curve. Thus probit models using...

Persistent link: https://www.econbiz.de/10012607106

Time variation in macro-financial linkages

Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano - 2013

We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in...

Persistent link: https://www.econbiz.de/10009739598

What triggers stock market jumps?

Baker, Scott; Bloom, Nicholas; Davis, Steven J.; … - 2021

Persistent link: https://www.econbiz.de/10012614411

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