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Fundamental uncertainty and unconventional monetary policy : an info-gap approach
Ben-Haim, Yakov; Demertzis, Maria; End, Jan-Willem van den - 2017
This paper applies the info-gap approach to the unconventional monetary policy of the Eurosystem and so takes into account the fundamental uncertainty on inflation shocks and the transmission mechanism. The outcomes show that a more demanding monetary strategy, in terms of lower tolerance for...
Persistent link: https://www.econbiz.de/10011613991
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The nonlinear effects of uncertainty shocks
Jackson, Laura; Kliesen, Kevin L.; Owyang, Michael T. - 2018
Persistent link: https://www.econbiz.de/10011950514
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Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017
dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …
Persistent link: https://www.econbiz.de/10011756113
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Sharing model uncertainty
Hara, Chiaki; Mukerji, Sujoy; Riedel, Frank; Tallon, … - 2024
Persistent link: https://www.econbiz.de/10014537225
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Application of volatility-managed portfolios in the context of a volatility index
Subramanian, Abhishek; Kayal, Parthajit - 2023
Persistent link: https://www.econbiz.de/10014375126
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Risk shocks and divergence between the Euro area and the US
Brand, Thomas; Tripier, Fabien - 2014
Persistent link: https://www.econbiz.de/10010383308
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Pricing of idiosyncratic equity and variance risks
Gourier, Elise - 2016
This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …
Persistent link: https://www.econbiz.de/10011410917
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Disaster risk and preference shifts in a New Keynesian model
Isoré, Marlène; Szczerbowicz, Urszula - 2015
Persistent link: https://www.econbiz.de/10011414070
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Carbon boards and transition risk: explicit and implicit exposure implications for total stock returns and dividend payouts
Mazzarano, Matteo; Guastella, Gianni; Pareglio, Stefano; … - 2021
The Security and Exchange Commission (SEC) has considered climate change as a risk issue since 2010. Several emission … financial performances, especially of listed companies. There are two ways these companies can disclose their transition risk … exposure and are not alternatives. One is the explicit declaration of exposure to transition risk in the legally binding …
Persistent link: https://www.econbiz.de/10012694482
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Monetary policy uncertainty and firm dynamics
Fasani, Stefano; Mumtaz, Haroon; Rossi, Lorenza - 2020
This paper uses a FAVAR model with external instruments to show that the policy uncertainty shocks are recessionary and are associated with an increase in the exit of firms and a decrease in entry and in the stock price with total factor productivity rising in the medium run. To explain this...
Persistent link: https://www.econbiz.de/10012243253