Similar Search Results

Financial Intermediation, Asset Prices and Macroeconomic Dynamics

Adrian, Tobias - 2010

Fluctuations in the aggregate balance sheets of financial intermediaries provide a window on the joint determination of asset prices and macroeconomic aggregates. We document that financial intermediary balance sheets contain strong predictive power for future excess returns on a broad set of...

Persistent link: https://www.econbiz.de/10013149404

Regression-Based Estimation of Dynamic Asset Pricing Models

Adrian, Tobias - 2014

We propose regression-based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross-sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...

Persistent link: https://www.econbiz.de/10013068063

Leverage Asset Pricing

Adrian, Tobias - 2013

We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses de-trended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing...

Persistent link: https://www.econbiz.de/10013076596

Risk Appetite and Exchange Rates

Adrian, Tobias; Etula, Erkko M.; Shin, Hyun Song - 2018

We present evidence that the funding liquidity aggregates of U.S. financial intermediaries forecast U.S. dollar exchange rate growth—at weekly, monthly, and quarterly horizons, both in-sample and out-of-sample, and against a large set of foreign currencies. We provide a theoretical foundation...

Persistent link: https://www.econbiz.de/10014210672

Pricing the Term Structure with Linear Regressions

Adrian, Tobias - 2013

We show how to price the time series and cross-section of the term structure of interest rates using a three-step linear regression approach. Our method allows computationally fast estimation of term structure models with a large number of pricing factors. We present specification tests favoring...

Persistent link: https://www.econbiz.de/10012710719

Stock Returns and Volatility : Pricing the Short-Run and Long-Run Components of Market Risk

Adrian, Tobias - 2013

We decompose the time series of equity market risk into short- and long-run volatility components. Both components have negative and highly significant prices of risk in the cross section of equity returns. A three-factor model with the market return and the two volatility components compares...

Persistent link: https://www.econbiz.de/10012711670

Inference, Arbitrage, and Asset Price Volatility

Adrian, Tobias - 2010

, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy … assets in response to temporary price declines (the arbitrage effect) but sell when prices decline permanently (the inference … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …

Persistent link: https://www.econbiz.de/10012717809

The Term Structure of Inflation Expectations

Adrian, Tobias; Wu, Hao Z. - 2009

We present estimates of the term structure of inflation expectations, derived from an affine model of real and nominal yield curves. The model features stochastic covariation of inflation with the real pricing kernel, enabling us to extract a time-varying inflation risk premium. We fit the model...

Persistent link: https://www.econbiz.de/10014210671

Liquidity and Leverage

Adrian, Tobias; Shin, Hyun Song - 2010

In a financial system in which balance sheets are continuously marked to market, asset price changes appear immediately as changes in net worth, eliciting responses from financial intermediaries who adjust the size of their balance sheets. We document evidence that marked-to-market leverage is...

Persistent link: https://www.econbiz.de/10014217747

Repo and Securities Lending

Adrian, Tobias - 2011

We provide an overview of the data requirements necessary to monitor repurchase agreements (repos) and securities lending markets for the purposes of informing policymakers and researchers about firm-level and systemic risk. We start by explaining the functioning of these markets, then argue...

Persistent link: https://www.econbiz.de/10013117229