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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
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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
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(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
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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
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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
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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
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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
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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
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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
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Leverage and Stablecoin Pegs
Gorton, Gary; Klee, Elizabeth; Ross, Chase P.; Ross, … - National Bureau of Economic Research - 2022
Money is debt that circulates with no questions asked. Stablecoins are a new form of private money that circulate with many questions asked. We show how stablecoins can maintain a constant price even though they face run risk and pay no interest. Stablecoin holders are indirectly compensated for...
Persistent link: https://www.econbiz.de/10013477289