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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

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

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

Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-09

Adrian, Tobias - 2012

The financial crisis of 2007-09 has sparked keen interest in models of financial frictions and their impact on macro activity. Most models share the feature that borrowers suffer a contraction in the quantity of credit. However, the evidence suggests that although bank lending contracted during...

Persistent link: https://www.econbiz.de/10013113163

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

CoVaR

Adrian, Tobias - 2013

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial system conditional on institutions being in distress. We define an institution's contribution to systemic risk as the difference between CoVaR conditional on the institution being in distress and CoVaR in the...

Persistent link: https://www.econbiz.de/10012710983