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We propose a three-step factor-flows simulation-based approach to forecast the duration distribution of unemployment … individual duration dependence, factor structure, and an auxiliary forecast of the unemployment rate to simulate a panel of … individual labor force histories. Applying our approach to the July Blue Chip forecast of the COVID-19 recession, we project that …
Persistent link: https://www.econbiz.de/10012827541
foot-print of sector rotation has predictive power for the evolution of the economy and future bond market returns, even …
Persistent link: https://www.econbiz.de/10013135882
The relative popularity of adjustable-rate mortgages (ARMs) and fixed-rate mort- gages (FRMs) varies considerably both across countries and over time. We ask how movements in current and expected future interest rates affect the share of ARMs in total mortgage issuance. Using a nine-country...
Persistent link: https://www.econbiz.de/10013048590
substitution over time --namely that 'the' interest rate in aggregate theory is not the promised yield on a Treasury Bill or Bond …
Persistent link: https://www.econbiz.de/10013247638
Real stock prices seem to overreact to changes in long-term interest rates. That is, real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by a rational expectations present value model where expectations are based on a vector...
Persistent link: https://www.econbiz.de/10012767717
produce similar estimates of bond option values. This result is established for simple option forms with known closed …
Persistent link: https://www.econbiz.de/10012774565
debt by encouraging bond issues to contain call features. Are the interest rate effects associated with these policies …
Persistent link: https://www.econbiz.de/10012777104
-section of bond prices. Separately, we propose an alternative to the canonical representation of affine models introduced by Dai … available, and (v) it isolates those parameters which are not identifiable from bond prices alone if the model is specified to …
Persistent link: https://www.econbiz.de/10012783833
We show that bond risk-premia rise with uncertainty about expected inflation and fall with uncertainty about expected … inflation. The model simultaneously accounts for bond return predictability and violations of uncovered interest parity in …
Persistent link: https://www.econbiz.de/10013100993
This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the … statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of … real activity for excess bond returns is robust even after accounting for finite sample inference problems. Forecasts of …
Persistent link: https://www.econbiz.de/10013152009