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International Risk Sharing in the Short Run and in the Long Run

Baxter, Marianne - 2011

International risk-sharing has far-reaching implications both for economic policy and for basic research in economics. When countries do not share risk, individuals in those countries experience fluctuations in their consumption levels that are undesirable and possibly unnecessary. This paper...

Persistent link: https://www.econbiz.de/10013129220

On the Correlation Structure of Microstructure Noise : A Financial Economic Approach

Diebold, Francis X. - 2010

We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature...

Persistent link: https://www.econbiz.de/10013137011

Testing the Correlated Random Coefficient Model

Heckman, James J. - 2012

The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...

Persistent link: https://www.econbiz.de/10013116685

The Lucas Orchard

Martin, Ian - 2011

This paper investigates the behavior of asset prices in an endowment economy in which a representative agent with power utility consumes the dividends of multiple assets. The assets are Lucas trees; a collection of Lucas trees is a Lucas orchard. The model generates return correlations that vary...

Persistent link: https://www.econbiz.de/10013118845

Cyclicality of Credit Supply : Firm Level Evidence

Becker, Bo - 2011

Theory predicts that there is a close link between bank credit supply and the evolution of the business cycle. Yet fluctuations in bank-loan supply have been hard to quantify in the time-series. While loan issuance falls in recessions, it is not clear if this is due to demand or supply. We...

Persistent link: https://www.econbiz.de/10013120314

Estimating the Effects of Large Shareholders Using a Geographic Instrument

Becker, Bo - 2011

Large shareholders may play an important role for firm performance and policies, but identifying this empirically presents a challenge due to the endogeneity of ownership structures. We develop and test an empirical framework which allows us to separate selection from treatment effects of large...

Persistent link: https://www.econbiz.de/10013120315

Legislating Stock Prices

Cohen, Lauren - 2012

In this paper we demonstrate that legislation has a simple, yet previously undetected impact on firm stock prices. While it is understood that the government and firms have an important relationship, it remains difficult to determine which firms any given piece of legislation will affect, and...

Persistent link: https://www.econbiz.de/10013102187

Trade with Correlation

Lind, Nelson - 2018

We develop a trade model in which productivity presents an arbitrary pattern of correlation. The model approximates the full class of factor demand systems consistent with Ricardian theory. In particular, our framework formalizes Ricardo's insight that countries gain more from trade with...

Persistent link: https://www.econbiz.de/10012925896

Hybrid Tail Risk and Expected Stock Returns : When Does the Tail Wag the Dog?

Bali, Turan G. - 2013

We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … covariance is measured across the left tail states of the individual stock return distribution, not across those of the market … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …

Persistent link: https://www.econbiz.de/10013075854

The Determinants of Stock and Bond Return Comovements

Baele, Lieven - 2010

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We identify the economic factors employing a semi-structural regime-switching model for state variables such as interest rates, inflation, the output gap, and cash flow growth. We...

Persistent link: https://www.econbiz.de/10013151357