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market measures of inflation expectations free of any risk premium, eliminating potential biases included in other measures …In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes … as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By …
Persistent link: https://www.econbiz.de/10011883446
While empirical literature has documented a negative relation between default risk and stock returns, the theory … suggests that default risk should be positively priced. We provide an explanation for this "default anomaly", by calculating … components. The systematic part, measured as the PD sensitivity to aggregate default risk, is positively related to stock returns …
Persistent link: https://www.econbiz.de/10011861135
inflation expectations and risk premia. This entails jointly pricing and decomposing nominal and real UK yields. We find … evidence that medium- and long-term inflation expectations are contained within narrower bounds since the early 1990s …, suggesting monetary policy credibility improved after the introduction of inflation targeting. …
Persistent link: https://www.econbiz.de/10011339919
, which are disproportionately affected by climate change, raises significant concerns. This study shows that sovereign risk …. Countries with elevated risk levels are disproportionately vulnerable to climate change compared to their lower-risk … vulnerability to climate change, in terms of sovereign risk, particularly for countries with low spreads and long-term debt …
Persistent link: https://www.econbiz.de/10014529900
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
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
Long-term interest rates in a number of small-open inflation targeting economies co-move more strongly with US long … responding to foreign productivity and discount factor shocks that cause persistent changes in inflation. We also overcome the …
Persistent link: https://www.econbiz.de/10011337163
's predictive power. Economic complexity ranks among the top three predictors, alongside inflation and institutional factors like … risk and emphasizes its role as a long-run determinant of productivity, output, and income stability, and the likelihood of …
Persistent link: https://www.econbiz.de/10014536288
The 2007-2008 global financial crisis and the subsequent anemic recovery have rekindled academic interest in quantifying the impact of uncertainty on macroeconomic dynamics. This paper studies the interrelation between financial markets volatility and economic activity assuming that both...
Persistent link: https://www.econbiz.de/10011286232
future excess returns is the key driver though only for Icelandic bonds are returns independent of inflation. …
Persistent link: https://www.econbiz.de/10009427074