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The Credit Risk Premium and Return Predictability in High Yield Bonds

Thomas, Jason - 2012

I demonstrate that much of the time series variation in the credit spread on high yield bonds is attributable to … changes in the “credit risk premium” rather than changes in expected default losses. The credit risk premium is the expected … excess return investors earn from bearing default risk on high yield bonds. I find that the credit risk premium on high yield …

Persistent link: https://www.econbiz.de/10013107927

A Model of Momentum

Liu, Laura Xiaolei - 2011

Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...

Persistent link: https://www.econbiz.de/10013132883

A Model of Momentum

Liu, Laura Xiaolei - 2012

We offer an investment-based interpretation of price and earnings momentum. The neoclassical theory of investment … volume, stock return volatility, credit ratings, and book-to-market. However, the model fails to reproduce procyclical …

Persistent link: https://www.econbiz.de/10013115136

Measuring foreign impact : leading index construction using hierarchical dynamic factor model

Reklaite, Agne - In: Baltic journal of economics 16 (2016) 1, pp. 21-32

In this paper a new method of constructing the leading economic index is presented. Its main advantage is the ability to distinguish domestic and foreign factors influencing the growth of economy and it is performed via dynamic hierarchical factor modelling. An application is carried out with...

Persistent link: https://www.econbiz.de/10011890861

Policy Analysis and Forecasting in the World Economy : A Panel Unobserved Components Approach

Vitek, Francis - 2012

This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model features a monetary transmission mechanism, a fiscal transmission mechanism, and extensive macrofinancial linkages, both within...

Persistent link: https://www.econbiz.de/10013102206

Policy and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Vitek, Francis - 2014

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover...

Persistent link: https://www.econbiz.de/10013040410

Policy Analysis and Forecasting in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Vitek, Francis - 2014

This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model encompasses an approximate linear panel dynamic stochastic general equilibrium model featuring a monetary transmission...

Persistent link: https://www.econbiz.de/10013060545

Stock Return Predictability with Taylor Rule Fundamentals

Jiang, Lei - 2015

This paper evaluates in-sample and out-of-sample stock return predictability with inflation and output gap, the variables that typically enter the Federal Reserve Bank's interest rate setting rule. To examine the role of monetary policy fundamentals for stock return predictability, we introduce...

Persistent link: https://www.econbiz.de/10013015232

International Propagation of Shocks : A Dynamic Factor Model Using Survey Forecasts

Lahiri, Kajal - 2018

This paper studies the pathways for the propagation of shocks across G7 and major Asia-Pacific countries using multi-horizon forecasts of real GDP growth from 1995 to 2017. We show that if the forecasts are efficient in the long run, results obtained using the forecasts are comparable to those...

Persistent link: https://www.econbiz.de/10012911318

Tracking global economic uncertainty : implications for the euro area

Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, … - 2021

This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...

Persistent link: https://www.econbiz.de/10012503567

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