Similar Search Results

Supply and Demand and the Term Structure of Interest Rates

Greenwood, Robin; Hanson, Samuel G.; Vayanos, Dimitri - National Bureau of Economic Research - 2023

We survey the growing literature emphasizing the role that supply-and-demand forces play in shaping the term structure of interest rates. Our starting point is the Vayanos and Vila (2009, 2021) model of the term structure of default-free bond yields, which we present in both discrete and...

Persistent link: https://www.econbiz.de/10014437010

Dollar Reserves and U.S. Yields : Identifying the Price Impact of Official Flows

Ahmed, Rashad; Rebucci, Alessandro - National Bureau of Economic Research - 2022

This paper shows that the price impact of foreign official (FO) purchases or sales of U.S. Treasuries (USTs) is about twice as large as previously reported in the literature once critical sources of endogeneity are addressed. We also show that prevailing estimates of this price impact suffer...

Persistent link: https://www.econbiz.de/10013388832

Uncertainty or Frictions? A Quantitative Model of Scarce Safe Assets

Ilut, Cosmin L.; Krivenko, Pavel; Schneider, Martin - National Bureau of Economic Research - 2024

Why did the real interest rate decline and the equity premium increase over the last 30 years? This paper assesses the role of uncertainty and credit market frictions. We quantify a model with heterogeneous households using data on asset prices and macro aggregates, as well as on households'...

Persistent link: https://www.econbiz.de/10014512052

(Almost) 200 Years of News-Based Economic Sentiment

Binsbergen, Jules H. van; Bryzgalova, Svetlana; … - National Bureau of Economic Research - 2024

Using text from 200 million pages of 13,000 US local newspapers and machine learning methods, we construct a 170-year-long measure of economic sentiment at the country and state levels, that expands existing measures in both the time series (by more than a century) and the cross-section. Our...

Persistent link: https://www.econbiz.de/10014468226

Complexity in Factor Pricing Models

Didisheim, Antoine; Ke, Shikun; Kelly, Bryan T.; … - National Bureau of Economic Research - 2023

We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance--in terms of SDF Sharpe ratio and test asset pricing errors--is improving in model parameterization (or "complexity"). Our empirical findings verify the...

Persistent link: https://www.econbiz.de/10014372446

The Virtue of Complexity in Return Prediction

Kelly, Bryan T.; Malamud, Semyon; Zhou, Kangying - National Bureau of Economic Research - 2022

The extant literature predicts market returns with "simple" models that use only a few parameters. Contrary to conventional wisdom, we theoretically prove that simple models severely understate return predictability compared to "complex" models in which the number of parameters exceeds the...

Persistent link: https://www.econbiz.de/10013334435

APT or "AIPT"? The Surprising Dominance of Large Factor Models

Didisheim, Antoine; Ke, Shikun; Kelly, Bryan T.; … - National Bureau of Economic Research - 2024

We introduce artificial intelligence pricing theory (AIPT). In contrast with the APT's foundational assumption of a low dimensional factor structure in returns, the AIPT conjectures that returns are driven by a large number of factors. We first verify this conjecture empirically and show that...

Persistent link: https://www.econbiz.de/10015072953

A Simple Model of a Central Bank Digital Currency

Mishra, Bineet; Prasad, Eswar S. - National Bureau of Economic Research - 2023

We develop a general equilibrium model that highlights the trade-offs between physical and digital forms of retail central bank money. The key differences between cash and central bank digital currency (CBDC) include transaction efficiency, possibilities for tax evasion, and, potentially,...

Persistent link: https://www.econbiz.de/10014250215

Do You Even Crypto, Bro? : Cryptocurrencies in Household Finance

Weber, Michael; Candia, Bernardo; Coibion, Olivier; … - National Bureau of Economic Research - 2023

other households. They also view it as a better hedge against inflation. For those holding cryptocurrencies, changes in … Bitcoin prices translate into their purchases of durable goods. Finally, exogenously-provided information about historical … returns of cryptocurrencies leads individuals to increase their desired crypto holdings and makes them more likely to actually …

Persistent link: https://www.econbiz.de/10014287385

Selection-Neglect in the NFT Bubble

Huang, Dong; Goetzmann, William N. - National Bureau of Economic Research - 2023

Using transaction data from a large non-fungible token (NFT) trading platform, this paper examines how the behavioral bias of selection-neglect interacts with extrapolative beliefs, accelerating the boom and delaying the crash in the recent NFT bubble. We show that the price-volume relationship...

Persistent link: https://www.econbiz.de/10014322885