Narrow search
Showing 1 - 10 of 113
Cover Image
LIBOR: Origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to trillions more in variable-rate mortgage and student loans....
Persistent link: https://www.econbiz.de/10011340948
Cover Image
Arbitrage-free affine models of the forward price of foreign currency
Durham, J. Benson - 2014
inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed …
Persistent link: https://www.econbiz.de/10011340961
Cover Image
Betting against beta (and gamma) using government bonds
Durham, J. Benson - 2015
investors bid longer-dated UST prices higher (lower) under BAB (RP). Third, the fact that Gaussian affine term structure models …
Persistent link: https://www.econbiz.de/10011341007
Cover Image
Momentum and the term structure of interest rates
Durham, J. Benson - 2013
Gaussian arbitrage-free affine term structure models. However, substantial variance remains unexplained, the betas are less …
Persistent link: https://www.econbiz.de/10010333588
Cover Image
Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
Although the effects of economic news announcements on asset prices are well established, theserelationships are … that have the largest effects on asset prices. The time variation in effects is explained by economic conditions, including …
Persistent link: https://www.econbiz.de/10010333621
Cover Image
Arbitrage-free models of stocks and bonds
Durham, J. Benson - 2013
A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and … multiple observable-factor and market prices of risk specifications, and considers alternative samples for parameter estimation …
Persistent link: https://www.econbiz.de/10010333651
Cover Image
Time-varying consumption correlation and the dynamics of the equity premium: Evidence from the G-7 countries
Sarkar, Asani; Zhang, Lingjia - 2004
We examine the implications of time variation in the correlation between the equity premium and nondurable consumption growth for equity return dynamics in G-7 countries. Using a VAR-GARCH (1,1) model, we find that the correlation increases with recession indicators such as above-average...
Persistent link: https://www.econbiz.de/10010283339
Cover Image
The pre-FOMC announcement drift
Lucca, David O.; Moench, Emanuel - 2011
Since the Federal Open Market Committee (FOMC) began announcing its policy decisions in 1994, U.S. stock returns have on average been more than thirty times larger on announcement days than on other days. Surprisingly, these abnormal returns are accrued before the policy announcement. The excess...
Persistent link: https://www.econbiz.de/10010287090
Cover Image
Trading activity in the Indian government bond market
Fleming, Michael J.; Saggar, Seema; Sareen, Samita - 2016
We study how the Indian government bond market functions, how it has changed over time, and what factors help explain some of its features. Looking at the primary market, we describe how underwriting obligations are allocated to primary dealers via auction and identify several significant...
Persistent link: https://www.econbiz.de/10011538015
Cover Image
International shocks and domestic prices: How large are strategic complementarities?
Amiti, Mary; Itskhoki, Oleg; Konings, Jozef - 2016
estimate of firms' price responses to changes in prices of their competitors. We develop a general framework and an empirical …, which contains detailed information on firm domestic prices, marginal costs, and competitor prices. The rare features of …, that these findings have important implications for shaping the response of domestic prices to international shocks. …
Persistent link: https://www.econbiz.de/10011538001