Narrow search
Showing 1 - 10 of 21,030
Cover Image
Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
Gollier, Christian - 2012
probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …
Persistent link: https://www.econbiz.de/10009689360
Cover Image
Evaluation of Long-Dated Investments Under Uncertain Growth Trend, Volatility and Catastrophes
Gollier, Christian - 2021
probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …
Persistent link: https://www.econbiz.de/10013315817
Cover Image
No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth
Jardet, Caroline - 2011
The recent macro-finance yield curve literature does not agree neither about term premia empirical properties nor about the importance or even the direction of its relationship with future economic activity. This paper proposes a two-step approach to handle both problems. First, in a VAR...
Persistent link: https://www.econbiz.de/10013132933
Cover Image
The Macroeconomic Determinants of the US Term-Structure during the Great Moderation
Paccagnini, Alessia - 2014
The aim of this paper is to study how macroeconomic impulses can affect the term structure during the Great Moderation. As novelty in the research strategy, we create a term-structure using three latent factors of the yield curve. A Nelson-Siegel Model is implemented to estimate the latent...
Persistent link: https://www.econbiz.de/10014144946
Cover Image
Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure
Chen, Hui - 2009
I build a dynamic capital structure model that demonstrates how business-cycle variations in expected growth rates, economic uncertainty, and risk premia influence firms' financing and default policies. Countercyclical fluctuations in risk prices, default probabilities, and default losses arise...
Persistent link: https://www.econbiz.de/10013155971
Cover Image
Good policies or good fortune : what drives the compression in emerging market spreads?
Maier, Philipp (contributor); Vasishtha, Garima (contributor) - 2008
factor in a panel estimation framework to analyze the degree to which the fall in spreads is driven by better macroeconomic …
Persistent link: https://www.econbiz.de/10003749240
Cover Image
Convenience Yields, Inflation, and Growth
Krek, Oliver - 2022
This paper investigates the implications of convenience yields for inflation and long-term growth in a model of the fiscal theory. The government's debt valuation equation links convenience yields to inflation and taxation which affects the incentives to innovate. Convenience yields affect...
Persistent link: https://www.econbiz.de/10013291364
Cover Image
What's Gone Wrong with Option Liquidity : Evidence from the Knight Capital's Trading Glitch
Kapadia, Nikunj - 2020
Since the early 2000s liquidity in option markets has become less resilient, and our evidence suggests that it is so because of an increased vulnerability to liquidity shocks in the underlying. To demonstrate the causal impact, we consider an incident in which a large broker dealer erroneously...
Persistent link: https://www.econbiz.de/10012844386
Cover Image
Tractable rare disaster probability and options-pricing
Barro, Robert J.; Liao, Gordon Y. - 2019
We derive an option-pricing formula from recursive preference and estimate rare disaster probability. The new options-pricing formula applies to far-out-of-the money put options on the stock market when disaster risk dominates, the size distribution of disasters follows a power law, and the...
Persistent link: https://www.econbiz.de/10012182396
Cover Image
Size-Portfolio Idiosyncratic Volatility with Aggregate Return, Cross-Sectional Return, and GDP Growth : U.S. and International Evidence
Kuo, Chris - 2011
documents that, when the idiosyncratic volatility is specified by firm size, the size-portfolio idiosyncratic volatility is …, this paper examines the predictive ability of the size-portfolio idiosyncratic volatility for GDP growth. It concludes that … size-portfolio idiosyncratic volatility contain significant information for forecasting future GDP growth for both the U …
Persistent link: https://www.econbiz.de/10013117807