Showing 1 - 10 of 47
Credit spreads are large, volatile and countercyclical, and recent empirical work suggests that risk premia, not expected credit losses, are responsible for these features. Building on the idea that corporate debt, while safe in ordinary recessions, is exposed to economic depressions, this paper...
Persistent link: https://www.econbiz.de/10010292117
The Great Moderation refers to the fall in U.S. output growth volatility in the mid-1980s. At the same time, the United States experienced a moderation in inflation and lower average inflation. Using annual data since 1890, we find that an earlier 1946 moderation in output and consumption growth...
Persistent link: https://www.econbiz.de/10010292243
Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen...
Persistent link: https://www.econbiz.de/10010307494
In this paper, we lay out a simple framework that captures much of what the theoretical literature has to say about the role of credit in systemically important asset booms and busts. In addition, we suggest ways in which to incorporate physical investment in the bubble asset as well as monetary...
Persistent link: https://www.econbiz.de/10010352177
Entrepreneurs need cash to finance their real investments. Since cash is costly to hold, entrepreneurs will underinvest. If entrepreneurs can access financial markets prior to learning about an investment opportunity, they can sell some of their less liquid assets for cash and, as a result,...
Persistent link: https://www.econbiz.de/10010352181
This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...
Persistent link: https://www.econbiz.de/10012030261
This paper proposes an entropy-based approach for aggregating information from misspecified asset pricing models. The statistical paradigm is shifted away from parameter estimation of an optimally selected model to stochastic optimization based on a risk function of aggregation across models....
Persistent link: https://www.econbiz.de/10012030266
This paper assessed the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...
Persistent link: https://www.econbiz.de/10011928002
Recent macro-finance contributions explain a great deal of unconditional asset pricing by introducing persistent consumption risks and rare disasters. Only the volatility puzzles remain unresolved among the longer-established issues in this literature. Motivated by empirical finance...
Persistent link: https://www.econbiz.de/10014547853
This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing investment constraints improves the investment opportunity set for risk averse investors. We develop a test procedure for 'stochastic spanning' for two nested polyhedral portfolio...
Persistent link: https://www.econbiz.de/10011440120