Showing 1 - 10 of 608
with adjustment costs but no risk aversion predict a negative correlation between exchange rate levels and expected excess … framework. The negative correlation persists even during periods of low market stress, further evidence that portfolio …
Persistent link: https://www.econbiz.de/10015328145
We provide new estimates of the return on US external claims and liabilities using confidential, high-quality, security-level data. The excess return is positive on average, since claims are tilted toward higher return equities. The excess return is large and positive in normal times but large...
Persistent link: https://www.econbiz.de/10015328265
Intro -- Contents -- I. Introduction -- II. Household Data on Wealth and Consumption -- III. Capital Markets in Europe and Household Portfolios -- IV. The Life-Cycle Model of Consumption -- V. The Basic Model -- VI. Empirical Results -- VII. Conclusion -- Appendix: Data and Constructed Variables...
Persistent link: https://www.econbiz.de/10012691071
indirect hedging properties of traditional asset classes. In this paper, we assess these properties over different time …
Persistent link: https://www.econbiz.de/10012677766
This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of the sample covariance matrix. We derive the closed-form solution of the shrinkage parameter and...
Persistent link: https://www.econbiz.de/10015058887
The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield spreads). It also investigates the extent to which the practice by rating agencies and banks of not rating companies higher than their sovereign ("country or sovereign ceiling") is...
Persistent link: https://www.econbiz.de/10005599227
This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various pressures that arise in the market. In most countries,...
Persistent link: https://www.econbiz.de/10005605007
This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign's debt manager. In particular, it examines duration, convexity, M-square, skewness, kurtosis, and VaR statistics as...
Persistent link: https://www.econbiz.de/10005825661
shocks, sticky prices generate a negative correlation between labor income and the profits of domestic firms, biasing …
Persistent link: https://www.econbiz.de/10005825960
This paper proposes a new definition of Offshore Financial Centers (OFCs) and develops a statistical method to differentiate between OFCs and non-OFCs using data from the Coordinated Portfolio Investment Survey (CPIS), the International Investment Position (IIP), and the balance of payments. The...
Persistent link: https://www.econbiz.de/10005826251