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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

Rents, Technical Change, and Risk Premia : Accounting for Secular Trends in Interest Rates, Returns on Capital, Earning Yields, and Factor Shares

Caballero, Ricardo J. - 2017

The secular decline in safe interest rates since the early 1980s has been the subject of considerable attention. In this short paper, we argue that it is important to consider the evolution of safe real rates in conjunction with three other first-order macroeconomic stylized facts: the relative...

Persistent link: https://www.econbiz.de/10012963747

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

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

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

A Risk-Centric Model of Demand Recessions and Speculation

Caballero, Ricardo J. - 2017

We provide a continuous-time “risk-centric” representation of the New Keynesian model, which we use to analyze the interactions between asset prices, financial speculation, and macro- economic outcomes when output is determined by aggregate demand. In principle, interest rate policy is...

Persistent link: https://www.econbiz.de/10012951344

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

Price of Long-Run Temperature Shifts in Capital Markets

Bansal, Ravi - 2016

We use the forward-looking information from the US and global capital markets to estimate the economic impact of global warming, specifically, long-run temperature shifts. We find that global warming carries a positive risk premium that increases with the level of temperature and that has almost...

Persistent link: https://www.econbiz.de/10012984763

Temperature, Aggregate Risk, and Expected Returns

Bansal, Ravi - 2011

In this paper we show that temperature is an aggregate risk factor that adversely affects economic growth. Our argument is based on evidence from global capital markets which shows that the covariance between country equity returns and temperature (i.e., temperature betas) contains sharp...

Persistent link: https://www.econbiz.de/10013118834