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Estimating the policy rule from money market rates when target rate changes are lumpy
Fontaine, Jean-Sébastien - 2012
Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions...
Persistent link: https://www.econbiz.de/10009728132
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What Fed funds futures tell us about monetary policy uncertainty
Fontaine, Jean-Sébastien - 2016
The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main … driver of uncertainty is a "path" factor signaling information about future policy actions, which is filtered from federal … funds futures data. The uncertainty is highest when it signals a loosening cycle. The uncertainty raises the risk premium in …
Persistent link: https://www.econbiz.de/10011576374
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On the tail risk premium in the oil market
Ellwanger, Reinhard - 2017
uncertainty measures, suggesting that time-varying oil price fears are an additional source of oil price volatility and …
Persistent link: https://www.econbiz.de/10011778000
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Default dependence : the equity default relationship
Turnbull, Stuart M. (contributor); Yang, Jun (contributor) - 2008
The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. With cross-firm CDS premia and equity information, we are able to estimate and compare...
Persistent link: https://www.econbiz.de/10003641322
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The equity premium and the volatility spread : the role of risk-neutral skewness
Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009
We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk...
Persistent link: https://www.econbiz.de/10003852916
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Price discovery in Canadian Government bond futures and spot markets
Chung, Christopher (contributor);  … - 2007
In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative...
Persistent link: https://www.econbiz.de/10003463671
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Price discovery in Canadian and US 10-year government bond markets
Campbell, Bryan (contributor); Hendry, Scott (contributor) - 2007
This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information...
Persistent link: https://www.econbiz.de/10003560539
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The financialization of food?
Bruno, Valentina G.; Buyuksahin, Bahattin; Robe, Michel A. - 2013
Commodity-equity and cross-commodity return co-movements rose dramatically after the 2008 financial crisis. This development took place following what has been dubbed the 'financialization' of commodity markets. We first document changes since 2000 in the intensity of speculative activity in...
Persistent link: https://www.econbiz.de/10010201385
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What does the convenience yield curve tell us about the crude oil market?
Alquist, Ron; Bauer, Gregory H.; Díez de los Ríos, Antonio - 2014
Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures...
Persistent link: https://www.econbiz.de/10010401755
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Risk premium, variance premium and the maturity structure of uncertainty
Feunou, Bruno; Fontaine, Jean-Sébastien; Taamouti, … - 2012
Expected returns vary when investors face time-varying investment opportunities. Longrun risk models (Bansal and Yaron 2004) and no-arbitrage affine models (Duffie, Pan, and Singleton 2000) emphasize sources of risk that are not observable to the econometrician. We show that, for both classes of...
Persistent link: https://www.econbiz.de/10009516775