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Exchange Rates and Asset Prices in a Global Demand System
Koijen, Ralph S. J. - 2020
Using international holdings data, we estimate a demand system for financial assets across 36 countries. The demand system provides a unified framework for decomposing variation in exchange rates, long-term yields, and stock prices; interpreting major economic events such as the European...
Persistent link: https://www.econbiz.de/10012481536
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The World Price of Foreign Exchange Risk
Dumas, Bernard - 1993
We consider a world capital market in which the investor population is heterogenous. Investors of different countries … CAPM incorporates rewards for exchange rate risk, in addition to the traditional reward for market-covariance risk. The aim … securities. The test being conducted is a test of a conditional version of the CAPM. It builds on the recent empirical literature …
Persistent link: https://www.econbiz.de/10012474487
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Climatic Roots of Loss Aversion
Galor, Oded - 2018
This research explores the origins of loss aversion and the variation in its prevalence across regions, nations and ethnic group. It advances the hypothesis and establishes empirically that the evolution of loss aversion in the course of human history can be traced to the adaptation of humans to...
Persistent link: https://www.econbiz.de/10012480924
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Making Savers Winners : An Overview of Prize-Linked Savings Products
Kearney, Melissa Schettini - 2010
For over three centuries and throughout the globe, people have enthusiastically bought savings products that incorporate lottery elements. In lieu of paying traditional interest to all investors proportional to their balances, these Prize Linked Savings (PLS) accounts distribute periodic...
Persistent link: https://www.econbiz.de/10012462223
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Creditor rights and corporate risk-taking
Acharya, Viral V. - 2009
We analyze the link between creditor rights and firms' investment policies, proposing that stronger creditor rights in bankruptcy reduce corporate risk-taking. In cross-country analysis, we find that stronger creditor rights induce greater propensity of firms to engage in diversifying...
Persistent link: https://www.econbiz.de/10012463080
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On the Size Distribution of Macroeconomic Disasters
Barro, Robert J. - 2009
In the rare-disasters setting, a key determinant of the equity premium is the size distribution of macroeconomic disasters, gauged by proportionate declines in per capita consumption or GDP. The long-term national-accounts data for up to 36 countries provide a large sample of disaster events of...
Persistent link: https://www.econbiz.de/10012463402
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Rare Disasters, Asset Prices, and Welfare Costs
Barro, Robert J. - 2007
A representative-consumer model with Epstein-Zin-Weil preferences and i.i.d. shocks, including rare disasters, accords with key asset-pricing observations. If the coefficient of relative risk aversion equals 3-4, the model accords with observed equity premia and risk-free real interest rates. If...
Persistent link: https://www.econbiz.de/10012464956
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Global Currency Hedging
Campbell, John Y. - 2007
franc (particularly in the second half of the period) have moved against world equity markets. Thus these currencies should …
Persistent link: https://www.econbiz.de/10012465566
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Risk, Government and Globalization : International Survey Evidence
Mayda, Anna Maria - 2007
This paper uses international survey data to document two stylized facts. First, risk aversion is associated with anti-trade attitudes. Second, this effect is smaller in countries with greater levels of government expenditure. The paper thus provides evidence for the microeconomic underpinnings...
Persistent link: https://www.econbiz.de/10012465617
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The Role of the Growth of Risk-Averse Wealth in the Decline of the Safe Real Interest Rate
Hall, Robert E. - 2016
Over the past few decades, worldwide real interest rates have trended downward. The real interest rate describes the terms of trade between risk-tolerant and risk-averse investors. Debt pays off equally across contingencies at a given future date, so debt is valuable to risk-averse investors to...
Persistent link: https://www.econbiz.de/10012456479