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Long-term interest rate predictability : exploring the usefulness of survey forecasts of growth and inflation
Baghestani, Hamid - In: Cogent economics & finance 7 (2019) 1, pp. 1-12
This study focuses on the consensus forecasts from the Survey of Professional Forecasters (SPF) for 1993-2017. These include the SPF forecasts of US 10-year Treasury rate (TBR), Moody's Aaa corporate bond rate (Aaa), CPI inflation, and real GDP growth. We show that both SPF and random walk...
Persistent link: https://www.econbiz.de/10012023359
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Expected inflation, expected stock returns, and money illusion : what can we learn from survey expectations?
Schmeling, Maik (contributor); Schrimpf, Andreas (contributor) - 2008
We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...
Persistent link: https://www.econbiz.de/10003727414
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Fluctuations of the real exchange rate, real interest rates, and the dynamics of the price of gold in a small open economy : conference paper
Pierdzioch, Christian; Rohloff, Sebastian; Risse, Marian - 2014
Economic theory predicts that, in a small open economy, the dynamics of the real price of gold should be linked to real interest rates and the rate of change of the real exchange rate. Using data for Australia, we use a real-time forecasting approach to analyze whether real interest rates and...
Persistent link: https://www.econbiz.de/10010485282
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Modeling and forecasting currency in circulation for liquidity management in Nigeria
Ikoku, Alvan - In: CBN journal of applied statistics 5 (2014) 1, pp. 79-104
This paper presents forecasts of currency in circulation prepared for liquidity management at the Central Bank of …
Persistent link: https://www.econbiz.de/10011474285
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Evaporating Liquidity
Nagel, Stefan - 2011
liquidity provision. Analysis of reversal strategies shows that the expected return from liquidity provision is strongly time … Ratios during times of high VIX. The results point to withdrawal of liquidity supply, and an associated increase in the … expected returns from liquidity provision, as a main driver behind the evaporation of liquidity during times of financial …
Persistent link: https://www.econbiz.de/10013133779
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Discount Factor in Analyst’s Notes in Russian Capital Market (37 Analytical Teams) : Testing Predicted Beta with Liquidity Adjustment
Teplova, Tamara - 2012
(measured by market capitalization) and liquidity (measured by the free-float coefficient), the values of the beta coefficients …
Persistent link: https://www.econbiz.de/10013113257
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Value Investing in Credit Markets
Correia, Maria M. - 2012
We outline a parsimonious empirical model to assess the relative usefulness of accounting and equity market based information to explain corporate credit spreads. The primary determinant of corporate credit spreads is the physical default probability. We compare existing accounting-based and...
Persistent link: https://www.econbiz.de/10013114991
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Informed Bond Trading, Corporate Yield Spreads, and Corporate Default Prediction
Han, Song - 2013
transaction costs of liquidity, credit risk, and other traditional bond pricing factors. Further, information asymmetry can help …
Persistent link: https://www.econbiz.de/10013093704
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Return Predictability in the Treasury Market : Real Rates, Inflation, and Liquidity
Pflueger, Carolin E. - 2013
Estimating the liquidity differential between inflation-indexed and nominal bond yields, we separately test for time …-varying real rate risk premia, inflation risk premia, and liquidity premia in U.S. and U.K. bond markets. We find strong, model … to quantitatively similar degrees. The estimated liquidity premium between U.S. inflation-indexed and nominal yields is …
Persistent link: https://www.econbiz.de/10013093721
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Comparing Models of Corporate Bankruptcy Prediction : Distance to Default vs. Z-Score
Miller, Warren - 2009
This paper examines the performance of two commonly applied bankruptcy prediction models, the accounting ratio-based Altman Z-Score model, and the structural Distance to Default model which currently underlies Morningstar's Financial Health Grade for public companies (Morningstar 2008)....
Persistent link: https://www.econbiz.de/10013156771