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Long-Run Risks and Financial Markets
Bansal, Ravi - 2007
-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can …
Persistent link: https://www.econbiz.de/10012465457
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Determinants of Financial Stress and Recovery during the Great Recession
Aizenman, Joshua - 2010
In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price...
Persistent link: https://www.econbiz.de/10012462052
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Volatility in an Era of Reduced Uncertainty : Lessons from Pax Britannica
Brown, William O. - 2005
Although it has been well established that financial volatility is related to news and macroeconomic shocks, there has … consol returns since 1729 and identify a greater-than-50% decline in volatility from the end of the Napoleonic wars in 1815 … until the First World War. News events and macroeconomic variables cannot account for this extended period of reduced …
Persistent link: https://www.econbiz.de/10012467364
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The Long-Run Risks Model and Aggregate Asset Prices : An Empirical Assessment
Beeler, Jason - 2009
mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …
Persistent link: https://www.econbiz.de/10012463859
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Interpretable Asset Markets?
Bansal, Ravi - 2002
In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …
Persistent link: https://www.econbiz.de/10012469320
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The US, Economic News, and the Global Financial Cycle
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2023
We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all...
Persistent link: https://www.econbiz.de/10014247914
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International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)
Brandt, Michael W. - 2001
Exchange rates depreciate by the difference between the domestic and foreign marginal utility growths. Exchange rates vary a lot , as much as 10% per year. However, equity premia imply that marginal utility growths vary much more, by at least 50% per year. This means that marginal utility...
Persistent link: https://www.econbiz.de/10012470316
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Price of Long-Run Temperature Shifts in Capital Markets
Bansal, Ravi - 2016
We use the forward-looking information from the US and global capital markets to estimate the economic impact of global warming, specifically, long-run temperature shifts. We find that global warming carries a positive risk premium that increases with the level of temperature and that has almost...
Persistent link: https://www.econbiz.de/10012456150
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Credit Constraints and Stock Price Volatility
Hale, Galina - 2007
This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces … volatility in 40 countries over the period from 1984 to 2004. Estimated probabilities of a liquidity crisis are used as a proxy … price volatility …
Persistent link: https://www.econbiz.de/10012465565
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Day Traders, Noise, and Cost of Immediacy
Dalvi, Manoj; Deuskar, Prachi; Glosten, Lawrence R.; … - National Bureau of Economic Research - 2023
show that IDT activity reduces bid ask spread and increases intra-day volatility and total volume traded. The volume traded …
Persistent link: https://www.econbiz.de/10014250145