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-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that …, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while …
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liquidity. The liquidity index is then correlated with various metrics of funding liquidity, volatility, and macroeconomic …
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break-even inflation rates when market volatility is high. Our model’s ability to be updated weekly makes it suitable for … real-time monetary policy analysis. -- Affine term structure models ; inflation expectations ; stochastic volatility …
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We present evidence that the growth of U.S.-dollar-denominated banking sector liabilities forecasts appreciations of the U.S. dollar, both in-sample and out-of-sample, against a large set of foreign currencies. We provide a theoretical foundation for a funding liquidity channel in a global...
Persistent link: https://www.econbiz.de/10011399316