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The Role of Demand Management in the Maintenance of Full Employment
McCallum, Bennett T. - 2021
This paper begins by identifying nominal price stickiness as the logical basis for the Keynesian or activist point of view concerning demand management policy. It then characterizes two alternative approaches to policy analysis that have been adopted by adherents of the Keynesian position, the...
Persistent link: https://www.econbiz.de/10013227003
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Relative Goods' Prices, Pure Inflation, and the Phillips Correlation
Reis, Ricardo - 2010
, what drives the Phillips correlation between inflation and measures of real activity? We find that the Phillips correlation …
Persistent link: https://www.econbiz.de/10012759679
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The Covariation of Risk Premiums and Expected Future Spot Exchange Rates
Hodrick, Robert J. - 2010
Fama(1984) analyzed the variability and the covariation of risk premiums and expected rates of depreciation. We employ three statistical techniques that do not suffer from a potential bias in Fama's analysis, but we nevertheless confirm his findings. In contrast to his interpretation the results...
Persistent link: https://www.econbiz.de/10012762951
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On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model
Chan, Louis K.C. - 2010
We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...
Persistent link: https://www.econbiz.de/10012763801
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Characteristics are Covariances : A Unified Model of Risk and Return
Kelly, Bryan T. - 2018
We propose a new modeling approach for the cross section of returns. Our method, Instrumented Principal Components Analysis (IPCA), allows for latent factors and time-varying loadings by introducing observable characteristics that instrument for the unobservable dynamic loadings. If the...
Persistent link: https://www.econbiz.de/10012920885
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The Cross-Section of Risk and Return
Daniel, Kent D. - 2018
In the finance literature, a common practice is to create characteristic portfolios by sorting on characteristics associated with average returns. We show that the resulting portfolios are likely to capture not only the priced risk associated with the characteristic, but also unpriced risk. We...
Persistent link: https://www.econbiz.de/10012931218
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Governance and Comovement Under Common Ownership
Edmans, Alex - 2014
derive empirical predictions for the direction of correlation and for whether governance is stronger or weaker with multiple …
Persistent link: https://www.econbiz.de/10013048056
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Risk Reduction in Large Portfolios : Why Imposing the Wrong Constraints Helps
Ma, Tongshu - 2002
Mean-variance efficient portfolios constructed using sample moments often involve taking extreme long and short positions. Hence practitioners often impose portfolio weight constraints when constructing efficient portfolios. Green and Hollifield (1992) argue that the presence of a single...
Persistent link: https://www.econbiz.de/10012787232
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International Asset Allocation with Time-Varying Correlations
Bekaert, Geert - 2008
It is widely believed that correlations between international equity markets tend to increase in highly volatile bear markets. This has led some to doubt the benefits of international diversification. This article solves the dynamic portfolio choice problem of a US investor faced with a...
Persistent link: https://www.econbiz.de/10012774819
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The Forecasting Ability of Correlations Implied in Foreign Exchange Options
Campa, José Manuel - 2008
This paper evaluates the forecasting accuracy of correlation derived from implied volatilities in dollar-mark, dollar …-yen, and mark-yen options from January 1989 to May 1995. As a forecast of realized correlation between the dollar-mark and … dollar-yen, implied correlation is compared against three alternative forecasts based on time series data: historical …
Persistent link: https://www.econbiz.de/10012774954