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Volatility, the Macroeconomy and Asset Prices

Bansal, Ravi - 2012

We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility … news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …

Persistent link: https://www.econbiz.de/10013106078

Rational Pessimism, Rational Exuberance, and Asset Pricing Models

Bansal, Ravi - 2007

financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run … significance levels, and they can track quite closely a new measure of realized annual volatility. Further scrutiny using a rich …

Persistent link: https://www.econbiz.de/10012776940

Interpretable Asset Markets?

Bansal, Ravi - 2010

In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …

Persistent link: https://www.econbiz.de/10012762886

On the Asset Market View of Exchange Rates

Burnside, A. Craig - 2012

If the asset market is complete then the difference between foreign and domestic agents' log intertemporal marginal rates of substitution (IMRSs) equals the log change in the real exchange rate. This equation is frequently used to argue that changes in real exchange rates reflect differences...

Persistent link: https://www.econbiz.de/10013096132

Risks for the Long Run : Estimation with Time Aggregation

Bansal, Ravi - 2012

prices, including the equity premia, risk-free rate and volatility puzzles …

Persistent link: https://www.econbiz.de/10013101822

Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns

Burnside, A. Craig - 2010

When excess returns are used to estimate linear stochastic discount factor (SDF) models, researchers often adopt a normalization of the SDF that sets its mean to 1, or one that sets its intercept to 1. These normalizations are often treated as equivalent, but they are subtly different both in...

Persistent link: https://www.econbiz.de/10013134862

A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets

Bansal, Ravi - 2012

We show that bond risk-premia rise with uncertainty about expected inflation and fall with uncertainty about expected growth; the magnitude of return predictability using these two uncertainty measures is similar to that by multiple yields. Motivated by this evidence, we develop and estimate a...

Persistent link: https://www.econbiz.de/10013100993

The Forward Premium is Still a Puzzle

Burnside, A. Craig - 2007

Lustig and Verdelhan (2007) argue that the excess returns to borrowing US dollars and lending in foreign currency quot;compensate US investors for taking on more US consumption growth risk,quot; yet the stochastic discount factor corresponding to their benchmark model is approximately...

Persistent link: https://www.econbiz.de/10012776875

The Returns to Currency Speculation in Emerging Markets

Burnside, A. Craig - 2007

The carry trade strategy involves selling forward currencies that are at a forward premium and buying forward currencies that are at a forward discount. We compare the payoffs to the carry trade applied to two different portfolios. The first portfolio consists exclusively of developed country...

Persistent link: https://www.econbiz.de/10012777610

The Term Structure of Equity Risk Premia

Bansal, Ravi - 2019

We use traded equity dividend strips from U.S., Europe, and Japan from 2004-2017 to study the slope of the term structure of equity dividend risk premia. In the data, a robust finding is that the term structure of dividend risk premia (growth rates) is positively (negatively) sloped in...

Persistent link: https://www.econbiz.de/10012889957