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Riding the yield curve : risk taking behavior in a low interest rate environment

Chami, Ralph; Cosimano, Thomas F.; Rochon, Céline; … - 2020

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with...

Persistent link: https://www.econbiz.de/10012251301

Currency Hedging for International Portfolios

Schmittmann, Jochen M. - 2010

This paper examines the benefits from hedging the currency exposure of international investments in single- and multi-country equity and bond portfolios from the perspectives of German, Japanese, British and American investors. Over the period 1975 to 2009, hedging of currency risk substantially...

Persistent link: https://www.econbiz.de/10014402714

Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets

Ananchotikul, Nasha - 2014

In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global “push” factors. To what extent do these cross-border flows and global risk...

Persistent link: https://www.econbiz.de/10012671843

When in Peril, Retrench : Testing the Portfolio Channel of Contagion

International Monetary Fund - 2004

One plausible mechanism through which financial market shocks may propagate across countries is through the effect of past gains and losses on investors'' risk aversion. We first present a simple model on how heterogeneous changes in investors'' risk aversion affect portfolio decisions and stock...

Persistent link: https://www.econbiz.de/10014402038

Habit Formation and Persistence in Individual Asset Portfolio Holdings : The Case of Italy

Muñoz, Sònia - 2006

portfolio ownership. The household asset portfolio decision is a choice among discrete alternatives, and I model the problem in … a multinomial framework. I focus on a particularly important feature of household portfolio behavior: the infrequency of …

Persistent link: https://www.econbiz.de/10014399673

Wealth Effects in Europe : A Tale of Two Countries (Italy and the United Kingdom)

Muñoz, Sònia - 2006

impact on the economy. I analyze household data for Italy and the United Kingdom, countries that differ dramatically in their …

Persistent link: https://www.econbiz.de/10014399777

Public Investment, Public Finance, and Growth : The Impact of Distortionary Taxation, Recurrent Costs, and Incomplete Appropriability

Adam, Christopher S. - 2014

Effective public investment requires governments to address the "recurrent cost problem" to ensure operations and maintenance (O&M) expenditures are sufficient to sustain the flow of productive public capital services to private factors of production. Building on the model of Buffie et al...

Persistent link: https://www.econbiz.de/10014411214

Entry costs and the macroeconomy

Gutiérrez Gallardo, Germán; Jones, Callum; Philippon, … - 2019

constructed measures of entry regulations and M and As. We conclude that entry costs have risen in the U.S. over the past 20 years …

Persistent link: https://www.econbiz.de/10012154591

The macroeconomic effects of labor and product market reforms in Morocco

Sarr, Babacar; Benlamine, Mokhtar; Munkacsi, Zsuzsa - 2019

This paper studies the macroeconomic effects and sequencing of (LMRs) and product (PMRs) market reforms in Morocco. It finds that introducing LMRs and PMRs simultaneously would add about 2.5 percentage points (pp) of GDP growth and reduce unemployment by about 2.2 pp after five years. If...

Persistent link: https://www.econbiz.de/10012122485

Distribution costs

Peter, Alessandra; Ruane, Cian - 2021

: (1) distribution expenses are large - they amount to over half of labor costs; (2) plants in the largest decile …, distribution costs as a share of sales declined by one third. We develop a model of heterogeneous manufacturing firms that rely on … share. In combination with the model, these trends suggest largescale decreases in both variable and fixed costs of …

Persistent link: https://www.econbiz.de/10013170582