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Cash flows discounted using a model-free SDF extracted under a yield curve prior

Gallant, A. Ronald; Tauchen, George Eugene - In: Journal of risk and financial management : JRFM 14 (2021) 3/100, pp. 1-15

We developed a model-free Bayesian extraction procedure for the stochastic discount factor under a yield curve prior …

Persistent link: https://www.econbiz.de/10012484936

Exchange rate risk and business cycles

Lloyd, Simon; Marin, Emile A. - 2021

Persistent link: https://www.econbiz.de/10012793070

The functional stochastic discount factor

Tran, Ngoc-Khanh - In: The quarterly journal of finance 9 (2019) 4, pp. 1-49

Persistent link: https://www.econbiz.de/10012183345

Long-term risk : a martingale approach

Qin, Likuan; Linetsky, Vadim - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 299-312

Persistent link: https://www.econbiz.de/10011738495

Carry trade returns and segmented risk pricing

Schulze, Gordon - In: Atlantic economic journal : AEJ 49 (2021) 1, pp. 23-40

Persistent link: https://www.econbiz.de/10012542770

Monetary asymmetries without (and with) price stickiness

Jaccard, Ivan - 2024

The evidence suggests that monetary policy transmission is asymmetric over the business cycle. Interacting financing frictions with a preference for liquidity provides an explanation for this fact. Our mechanism generates monetary asymmetries in a model that jointly reproduces a set of asset...