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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

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

The Constrained Asset Share Estimation (Case) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market

Engel, Charles M. - 2010

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the stock market. This method allows conditional expected returns to vary in relatively unrestricted ways. The data estimate reasonably the price of risk, and, in some cases, the MVE...

Persistent link: https://www.econbiz.de/10012763456

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 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

The Forward Market in Emerging Currencies : Less Biased than in Major Currencies

Frankel, Jeffrey A. - 2010

any studies have replicated the finding that the forward rate is a biased predictor of the future change in the spot exchange rate. Usually the forward discount actually points in the wrong direction. But virtually all those studies apply to advanced economies and major currencies. We apply the...

Persistent link: https://www.econbiz.de/10012760670

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

Exchange Rate Expectations and the Risk Premium : Tests for a Cross- Section of 17 Currencies

Chinn, Menzie David; Frankel, Jeffrey A. - 2021

Survey data on a broad cross section of 17 currencies are used to determine whether the forward discount moves primarily in response to changes in expectations of depreciation, or in the risk premium. We find that changes in expected depreciation are quantitatively significant. However we also...

Persistent link: https://www.econbiz.de/10013226178