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Business-cycle consumption risk and asset prices

Bandi, Federico M. - 2020

We show that a business-cycle component of consumption growth (dubbed business-cycle consumption) with cycles between 2 and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently-proposed anomaly portfolios. We formalize the mapping...

Persistent link: https://www.econbiz.de/10012856904

Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment

Chiu, Ching-Wai (Jeremy) - 2016

In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals … and investor sentiment, employing a two-factor model to decompose volatility into a persistent long-run component and a … aggregate demand and supply cause an increase in the persistent component of both stock and bond market volatility, and that …

Persistent link: https://www.econbiz.de/10012984721

Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment

Chiu, Ching-Wai (Jeremy) - 2019

In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals … and investor sentiment, employing a two-factor model to decompose volatility into a persistent long run component and a … aggregate demand and supply cause an increase in the persistent component of both stock and bond market volatility, and that …

Persistent link: https://www.econbiz.de/10012871617

Is Financial Market Volatility Informative to Predict Recessions?

Valckx, Nico; De Ceuster, Marc J.; Annaert, Jan - 2003

whether interest rate and stock market volatility play an additional role as recession indicators. Both risk-return analysis … and the theory of investment under uncertainty provide a rationale for this extension. The results show that interest rate … and stock return volatility do not contribute systematically to the forecasting of recessions in the US using the NBER …

Persistent link: https://www.econbiz.de/10014076057

Discount shock, price-rent dynamics, and the business cycle

Miao, Jianjun; Wang, Pengfei; Zha, Tao - 2020

identifies the discount shock as the most important factor in driving price-rent dynamics and linking the dynamics in the real …

Persistent link: https://www.econbiz.de/10012219582

Macroeconomic Disasters and the Equity Premium Puzzle : Are Emerging Countries Riskier?

Horvath, Jaroslav - 2019

Not necessarily. I provide evidence that advanced countries' equity premium and consumption growth differ significantly from those of emerging countries. I then estimate distinct disaster risk parameters for these two country groups. My Bayesian analysis demonstrates that in some aspects...

Persistent link: https://www.econbiz.de/10012902819

Financial returns, sentiment and market volatility : a dynamic assessment

Borgioli, Stefano; Gallo, Giampiero M.; Ongari, Chiara - 2024

FTSE MIB index and its volatility, is examined using a trivariate Vector Autoregressive model, taking into account the …

Persistent link: https://www.econbiz.de/10015179749

Measuring macroeconomic tail risk

Marfè, Roberto; Pénasse, Julien - 2020 - This draft: June 16, 2020

This paper proposes a predictive approach to estimate macroeconomic tail risk dynamics over the long run (1876-2015). Our approach circumvents the scarcity of large macroeconomic crises by using observable predictive variables in a large international panel. This method does not require to use...

Persistent link: https://www.econbiz.de/10012233219

Two Flaws in Business Cycle Accounting

Christiano, Lawrence J.; Davis, Joshua M. - 2006

Using 'business cycle accounting' (BCA), Chari, Kehoe and McGrattan (2006) (CKM) conclude that models of financial frictions which create a wedge in the intertemporal Euler equation are not promising avenues for modeling business cycle dynamics. There are two reasons that this conclusion is not...

Persistent link: https://www.econbiz.de/10014054962

The Time Varying Effect of Monetary Policy on Stock Returns

Jansen, Dennis W.; Zervou, Anastasia - 2022

We study the time varying effects of monetary policy on stock returns in order to capture changes over time on this transmission channel. We find that a one-percentage point surprise increase on the federal funds rate decreases the one-day stock return by 1.33% during the period 1989 to 2000 and...

Persistent link: https://www.econbiz.de/10013404875