Similar Search Results

Carry

Koijen, Ralph S. J.; Moskowitz, Tobias J.; Pedersen, … - In: Journal of financial economics 127 (2018) 2, pp. 197-225

Persistent link: https://www.econbiz.de/10011968803

The cross-section and time series of stock and bond returns

Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - In: Journal of monetary economics 88 (2017), pp. 50-69

Persistent link: https://www.econbiz.de/10011799154

When can life cycle investors benefit from time-varying bond risk premia?

Koijen, Ralph S. J.; Nijman, Theodore E.; Werker, Bas J. M. - In: The review of financial studies 23 (2010) 2, pp. 741-780

Persistent link: https://www.econbiz.de/10003941685

Labor income and the demand for long-term bonds

Koijen, Ralph S. J. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003096760

When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?

Koijen, Ralph S. J. - 2010

We study the importance of time-varying bond risk premia in a consumption and portfolio-choice problem for a life …-cycle investor facing short-sales and borrowing constraints. Tilts in the optimal asset allocation in response to changes in bond … implement a strategy that optimally conditions on prevailing bond risk premia in addition to her age and wealth. To solve our …

Persistent link: https://www.econbiz.de/10013148433

International portfolio frictions

Du, Wenxin; Fontana, Alessandro; Jakubik, Petr; Koijen, … - 2023

Persistent link: https://www.econbiz.de/10014414404

Inspecting the Mechanism of Quantitative Easing in the Euro Area

Koijen, Ralph S. J. - 2020

yield changes. Government bond yields decreased by 65 basis points on average, and this estimate varies from 38 to 83 basis …

Persistent link: https://www.econbiz.de/10012855165

Inspecting the mechanism of quantitative easing in the Euro area

Koijen, Ralph S. J.; Koulischer, François; Nguyen, Benoît - In: Journal of financial economics 140 (2021) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10013188557

Inspecting the Mechanism of Quantitative Easing in the Euro Area

Koijen, Ralph S. J. - 2019

Using new data on security-level portfolio holdings by investor type and across countries in the euro area, we study portfolio rebalancing during the European Central Bank's (ECB) purchase programme that started in March 2015. To quantify changes in risk concentration, we estimate the evolution...

Persistent link: https://www.econbiz.de/10012480098

Granular Instrumental Variables

Gabaix, Xavier - 2020

We propose a new way to construct instruments in a broad class of economic environments: "granular instrumental variables" (GIVs). In the economies we study, a few large firms, in- dustries or countries account for an important share of economic activity. As the idiosyncratic shocks from these...

Persistent link: https://www.econbiz.de/10012482423