Narrow search
Showing 1 - 10 of 593
Cover Image
Continuous Workout Mortgages
Shiller, Robert J.; Wojakowski, Rafal M.; Ebrahim, M. Shahid - National Bureau of Economic Research (NBER) - 2011
Continuous Workout Mortgage (CWM) balance and payments are indexed using market-observable house price index in an economic environment with prepayments. Our main results include: (a) explicit modelling of repayment and interest-only CWMs; (b) closed form formulas for mortgage payment and...
Persistent link: https://www.econbiz.de/10009019683
Cover Image
Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - National Bureau of Economic Research (NBER) - 2012
the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …
Persistent link: https://www.econbiz.de/10011271459
Cover Image
Construction and Interpretation of Model-Free Implied Volatility
Andersen, Torben G.; Bondarenko, Oleg - National Bureau of Economic Research (NBER) - 2007
The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …
Persistent link: https://www.econbiz.de/10005774581
Cover Image
How Many Monies? A Genetic Approach to Finding Optimum Currency Areas
Ghosh, Atish; Wolf, Holger C. - National Bureau of Economic Research (NBER) - 1994
Recent moves towards greater monetary integration in Western Europe - and disintegration in Eastern Europe and the former Soviet Union - have rekindled interest in the theoretical and empirical aspects of optimal currency areas (OCA). In this paper, we examine the marginal benefit of increasing...
Persistent link: https://www.econbiz.de/10005714287
Cover Image
Risk Matters: The Real Effects of Volatility Shocks
Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F; … - National Bureau of Economic Research (NBER) - 2009
This paper shows how changes in the volatility of the real interest rate at which small open emerging economies borrow … motivate our investigation, we document the strong evidence of time-varying volatility in the real interest rates faced by a … sample of four emerging small open economies: Argentina, Ecuador, Venezuela, and Brazil. We postulate a stochastic volatility …
Persistent link: https://www.econbiz.de/10005248956
Cover Image
Realignment Risk and Currency Option Pricing in Target Zones
Dumas, Bernard; Jennergren, L. Peter; Naslund, Bertil - National Bureau of Economic Research (NBER) - 1993
This paper extends the Krugman target zone model by including a realignment mechanism. Various properties of that realignment mechanism are discussed. The movement of the exchange rate is governed both by a Wiener process on fundamental and by a Poisson jump process with endogenous realignment...
Persistent link: https://www.econbiz.de/10005720785
Cover Image
The Forecasting Ability of Correlations Implied in Foreign Exchange Options
Campa, Jose Manuel; Chang, P. H. Kevin - National Bureau of Economic Research (NBER) - 1997
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...
Persistent link: https://www.econbiz.de/10005774388
Cover Image
What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?
Hong, Harrison; Yogo, Motohiro - National Bureau of Economic Research (NBER) - 2011
Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices. We argue that open interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption capacity in futures markets. We find...
Persistent link: https://www.econbiz.de/10008805020
Cover Image
How to Advance Theory with Structural VARs: Use the Sims-Cogley-Nason Approach
Kehoe, Patrick J. - National Bureau of Economic Research (NBER) - 2006
The common approach to evaluating a model in the structural VAR literature is to compare the impulse responses from structural VARs run on the data to the theoretical impulse responses from the model. The Sims-Cogley-Nason approach instead compares the structural VARs run on the data to...
Persistent link: https://www.econbiz.de/10005774407
Cover Image
Are Structural VARs with Long-Run Restrictions Useful in Developing Business Cycle Theory?
Chari, Varadarajan; Kehoe, Patrick J.; McGrattan, Ellen R. - National Bureau of Economic Research (NBER) - 2008
The central finding of the recent structural vector autoregression (SVAR) literature with a differenced specification of hours is that technology shocks lead to a fall in hours. Researchers have used this finding to argue that real business cycle models are unpromising. We subject this SVAR...
Persistent link: https://www.econbiz.de/10005089012