Showing 1 - 10 of 6,467
explain the average shape of the nominal yield curve, the variation of yields over time, and the predictability of excess bond …
Persistent link: https://www.econbiz.de/10010397776
How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...
Persistent link: https://www.econbiz.de/10010291514
Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...
Persistent link: https://www.econbiz.de/10010291529
This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...
Persistent link: https://www.econbiz.de/10010266074
captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …
Persistent link: https://www.econbiz.de/10011605091
This paper studies how inflation as a macroeconomic indicator affects nominal bond prices. I consider an economy with a … that inêationary unexpected shocks indicate lower consumption growth, nominal bond holders need to be compensated for these …
Persistent link: https://www.econbiz.de/10010322544
This paper shows that non-linearities imposed by a neoclassical production function alone can generate time-varying and asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications improve substantially when we allow for...
Persistent link: https://www.econbiz.de/10010270538
We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions...
Persistent link: https://www.econbiz.de/10010298269
Mit diesem Beitrag soll ein grundlegender Zugang zur investitionsrechnerischen Bewertung von riskanten, ausfallgefährdeten Krediten geschaffen werden. Gegenübergestellt werden die Diskontierung von vereinbarten Zahlungen mit der Effektivverzinsung äquivalenter Kredite und die Diskontierung...
Persistent link: https://www.econbiz.de/10011418109
We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...
Persistent link: https://www.econbiz.de/10011422182