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Technology, utilization and inflation : what drives the New Keynesian Phillips Curve?
McAdam, Peter; Willman, Alpo - 2011
We argue that the New-Keynesian Phillips Curve literature has failed to deliver a convincing measure of “fundamental inflation”. We start from a careful modeling of optimal price setting allowing for non-unitary factor substitution, non-neutral technical change and timevarying factor...
Persistent link: https://www.econbiz.de/10009354649
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Risk and return in international corporate bond markets
Bekaert, Geert; De Santis, Roberto A. - 2020
Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity, sovereign and corporate bonds. However, from a factor...
Persistent link: https://www.econbiz.de/10012259354
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Disentangling the role of the exchange rate in oil-related scenarios for the European stock market
Ojea Ferreiro, Javier - 2019
Until now, stock market responses to a distress scenario for oil prices have been analysed considering prices in domestic currency. This assumption implies merging the commodity risk with the exchange rate risk when oil and stocks are traded in different currencies. This article proposes...
Persistent link: https://www.econbiz.de/10012034482
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Liquidity risk premia in unsecured interbank money markets
Eisenschmidt, Jens; Tapking, Jens - 2009
Unsecured interbank money market rates such as the Euribor increased strongly with the start of the financial market turbulences in August 2007. There is clear evidence that these rates reached levels that cannot be explained alone by higher credit risk. This article presents this evidence and...
Persistent link: https://www.econbiz.de/10003832311
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Asset pricing and the propagation of macroeconomic shocks
Jaccard, Ivan - 2018
This paper considers the implications of habit formation and financial frictions for the propagation of macroeconomic shocks. In a model that is capable of matching asset pricing moments, a short-lived shock that destroys a small fraction of the economy's stock of pledgeable collateral generates...
Persistent link: https://www.econbiz.de/10011856397
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How news affects sectoral stock prices through earnings expectations and risk premia
Hvid, Anna Kirstine; Kristiansen, Kristian Loft - 2020
A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...
Persistent link: https://www.econbiz.de/10012316963
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More than a feeling : confidence, uncertainty and macroeconomic fluctuations
Nowzohour, Laura; Stracca, Livio - 2017
sentiment (considering both confidence and uncertainty) and economic activity. Second, we review existing empirical measures of … sentiment, in particular consumer confidence, stock market volatility (SMV) and Economic Policy Uncertainty (EPU), on monthly …
Persistent link: https://www.econbiz.de/10011719915
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Consumption volatility risk and the inversion of the yield curve
Grasso, Adriana; Natoli, Filippo - 2018
We propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In our framework the agent is subject to time-varying macroeconomic risk and interest rates at all maturities depend on her risk perception which shape saving propensities over...
Persistent link: https://www.econbiz.de/10011816113
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Deflationary financial shocks and inflationary uncertainty shocks : an SVAR investigation
De Santis, Roberto A.; Van der Veken, Wouter - 2022
What are the economic implications of financial and uncertainty shocks? We show that financial shocks cause a decline … in output and goods prices, while uncertainty shocks cause a decline in output and an increase in goods prices. In … response to uncertainty shocks, firms increase their markups, in line with the theory of self-insurance against being stuck …
Persistent link: https://www.econbiz.de/10013373603
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Transition versus physical climate risk pricing in European financial markets : a text-based approach
Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022
We examine the existence of physical and transition climate risk premia in euro area equity markets. To do so, we develop two novel physical and transition risk indicators, based on text analysis, which are then used to gauge the presence of climate risk premia. Results suggest that climate risk...
Persistent link: https://www.econbiz.de/10013271146