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Distributional consequences of capital accumulation, globalisation and financialisation in the US

Karanassou, Marika; Sala, Hector - 2012

disclose the dramatic upward trend in inequality. On this basis, we estimate a two-equation model for the income distribution … labour share fall, while its increase in the 2000s prevented inequality from worsening three times more than it actually did …. In turn, had financialisation not increased after 2005, inequality would have decreased to its level in the early …

Persistent link: https://www.econbiz.de/10010368155

Inequality, human capital formation and the process of development

Galor, Oded - 2011

dramatic transformations in the past century. While Classical economists advanced the hypothesis that inequality is beneficial …

Persistent link: https://www.econbiz.de/10010284077

Momentum trading, return chasing, and predictable crashes

Chabot, Benjamin; Ghysels, Eric; Jagannathan, Ravi - 2014

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies - momentum. We find that momentum has earned abnormally high risk-adjusted returns - a...

Persistent link: https://www.econbiz.de/10011460679

Volatility, Money Market Rates, and the Transmission of Monetary Policy

Carpenter, Seth B.; Demiralp, Selva - 2011

We explore the effect of volatility in the federal funds market on the expectations hypothesis in money markets. We find that lower volatility in the bank funding markets market, all else equal, leads to a lower term premium and thus longer-term rates for a given setting of the overnight rate....

Persistent link: https://www.econbiz.de/10010500183

Risk premia in electricity wholesale spot markets: empirical evidence from Germany

Pietz, Matthäus - 2009

This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an analysis of the German electricity wholesale spot market which is located at the European Energy Exchange (EEX). Our dataset covers three spot market segments, namely the intraday...

Persistent link: https://www.econbiz.de/10010305694

Risk premia in the German electricity futures market

Pietz, Matthäus - 2009

The mechanism behind price formation in electricity futures markets is still under discussion. Theory suggests that hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this discussion through an empirical investigation of electricity...

Persistent link: https://www.econbiz.de/10010305696

Bond pricing and the macroeconomy

Duffee, Gregory R. - 2012

This chapter reviews some of the academic literature that links nominal and real term structures with the macroeconomy. The main conclusion is that none of our models is consistent with basic properties of nominal yields. It is difficult to explain the average shape of the nominal yield curve,...

Persistent link: https://www.econbiz.de/10010397776

A Guarantee – Does the Obligee Agree? A Risk Premium Decomposition of Sub-Sovereign Bond Spreads

Knezevic, David; Krüger, Niclas A.; Nordström, Martin - 2019

The purpose of this paper is to investigate if credit markets believe in the existence of a central government guarantee and if this can be observed in the yield spread of the municipal sector. This is done by decomposing the municipal bond yield spread into liquidity and credit risk premiums by...

Persistent link: https://www.econbiz.de/10012654454

Forecasting the Yield curve using priors from no arbitrage affine term structure models

Carriero, Andrea - 2007

In this paper we propose a strategy for forecasting the term structure of interest rates which may produce significant gains in predictive accuracy. The key idea is to use the restrictions implied by Affine Term Structure Models (ATSM) on a vector autoregression (VAR) as prior information rather...

Persistent link: https://www.econbiz.de/10010284219

Forecasting government bond yields with large Bayesian VARs

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2010

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector Autoregression (BVAR) with an optimal amount of shrinkage towards univariate AR...

Persistent link: https://www.econbiz.de/10010286274