Showing 1 - 8 of 8
This paper investigates empirically a model of aggregate consumption and leisure decisions in which goods and leisure provide services over time. The implied time non-separability of preferences introduces an endogenous source of dynamics which affects both the co-movements in aggregate...
Persistent link: https://www.econbiz.de/10005084952
We study the nature of sovereign credit risk using an extensive sample of CDS spreads for 26 developed and emerging-market countries. Sovereign credit spreads are surprisingly highly correlated, with just three principal components accounting for more than 50 percent of their variation....
Persistent link: https://www.econbiz.de/10005710146
This paper characterizes, interprets, and tests the over-identifying restrictions imposed in affine models of the term" structure. Letting r(t) = ë Y(t), where Y is an unobserved vector affine process, our analysis proceeds in three steps. First, we show that affine models can be categorized...
Persistent link: https://www.econbiz.de/10005710237
This paper examines the time series properties of the price of a risky asset implied by a model in which competitive traders are heterogeneously informed about the underlying sources of uncertainty in the economy.Traders do not observe the shocks in the period they occur. However, traders are...
Persistent link: https://www.econbiz.de/10005714498
Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional expectations theory,' we show that these findings are not puzzling relative to a large class of richer dynamic term structure models. Specifically, we are able to match all...
Persistent link: https://www.econbiz.de/10005830814
This paper investigates the term structure relations implied by a two-good model in which goods are durable and the preference function of consimters may be non separable both over time and the decision variables. The parameters characterizing preferences are estimated and the implied...
Persistent link: https://www.econbiz.de/10005777728
This paper presents and interprets some new evidence on the validity of the Real Business Cycle approach to business cycle analysis. The analysis is conducted in the context of a monetary business cycle model which makes explicit one potential link between monetary policy and real allocations....
Persistent link: https://www.econbiz.de/10005089000
We find that several recently proposed consumption-based models of stock returns, when evaluated using an optimal set of managed portfolios and the associated model-implied conditional moment restrictions, fail to capture key features of risk premiums in equity markets. To arrive at these...
Persistent link: https://www.econbiz.de/10008683267