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On Consequences of State Dependent Preferences for the Pricing of Financial Assets
Danthine, Jean-Pierre; Donaldson, John B.; Giannikos, … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
representative agents coefficient of relative risk aversion to vary with the underlying economys growth rate. Existence of … risk aversion, the equilibrium risk free and risky security returns are demonstrated to have volatilities and an associated …
Persistent link: https://www.econbiz.de/10005859325
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Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 option market
Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014
We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...
Persistent link: https://www.econbiz.de/10011381002
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Why does the yield-curve slope predict recessions?
Benzoni, Luca; Chyruk, Olena; Kelley, David - 2018
the yield curve slope into its expectations and risk premia components helps disentangle the channels that connect … in the probability of a future recession within the next year. In contrast, a decrease in risk premia is associated with … inflation risk premium slope has been accompanied by a heightened risk of recession, while a lower real-rate risk premium slope …
Persistent link: https://www.econbiz.de/10012030358
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Asset prices and macroeconomic outcomes: A survey
Claessens, Stijn; Kose, M. Ayhan - 2017
This paper surveys the literature on the linkages between asset prices and macroeconomic outcomes. It focuses on three major questions. First, what are the basic theoretical linkages between asset prices and macroeconomic outcomes? Second, what is the empirical evidence supporting these...
Persistent link: https://www.econbiz.de/10012060200
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Macroeconomic implications of financial imperfections: A survey
Claessens, Stijn; Kose, M. Ayhan - 2017
This paper surveys the theoretical and empirical literature on the macroeconomic implications of financial imperfections. It focuses on two major channels through which financial imperfections can affect macroeconomic outcomes. The first channel, which operates through the demand side of finance...
Persistent link: https://www.econbiz.de/10012060201
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An empirical analysis of Swedish government bond yields
Akram, Tanweer; Yadav, Mahima - 2024
This paper econometrically models the dynamics of Swedish government bond (SGB) yields. It examines whether the short-term interest rate has a decisive influence on long-term SGB yields, after controlling for other macroeconomic and financial variables, such as consumer price inflation, the...
Persistent link: https://www.econbiz.de/10014581759
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Empirical models of Chinese government bond yields
Akram, Tanweer; Pervin, Shahida - 2024
This paper econometrically models the dynamics of long-term Chinese government bond (CGB) yields based on key macroeconomic and financial variables. It deploys autoregressive distributive lag (ARDL) models to examine whether the short-term interest rate has a decisive influence on the long-term...
Persistent link: https://www.econbiz.de/10014581774
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Euro interest rate swap yields: Some ARDL models
Akram, Tanweer; al Mamun, Khawaja Abdullah - 2024
This paper examines the dynamics of euro-denominated (EUR) long-term interest rate swap yields. It shows that the short-term interest rate has an economically and statistically significant effect on EUR swap yields of different maturity tenors, after controlling for various key macroeconomic...
Persistent link: https://www.econbiz.de/10014581807
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Interest rate dynamics: An examination of mainstream and Keynesian empirical studies
Akram, Tanweer; al Mamun, Khawaja Abdullah - 2024
This paper critically reviews both mainstream and Keynesian empirical studies of interest rate dynamics. It assesses the key findings of a selected number of these studies, surveying the debates between the mainstream and the Keynesian schools. It also explores the debates on interest rate...
Persistent link: https://www.econbiz.de/10014581885
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Some Time Serial Properties of the Swedish Real Estate Stock Market, 1939-1998
Graflund, Andreas - 2001
stock market as we find very little evidence of seasonal effects and time varying volatility. Further we find no evidence of …
Persistent link: https://www.econbiz.de/10013208419