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Business Cycles, Optimal Interest Rate, and Recession Forecast From Yield Curve, Unemployment, GDP, and Payrolls

Lihn, Stephen H.T. - 2019

We developed a factor regression model, nicknamed “GUPTY”, to study the business cycles, and their relation to the monetary policy. It covers several major macro-economic quantities, including unemployment rate, GDP, and weekly payrolls in the U.S. after WWII. The model postulates that these...

Persistent link: https://www.econbiz.de/10012866359

The term structure of expectations

Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel; … - 2021

Economic theory predicts that intertemporal decisions depend critically on expectations about future outcomes. Using …

Persistent link: https://www.econbiz.de/10012660381

Measuring market expectations

Baumeister, Christiane - 2021

Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

Persistent link: https://www.econbiz.de/10012622575

Modelling and Forecasting Short-Term Interest Rate Volatility : A Semiparametric Approach

Hou, Ai Jun - 2009

method is compared in its ability to capture the dynamics of short rate volatility to a class of one-factor diffusion models … semiparametric approach produces more accurate volatility estimates than models that accommodate asymmetry, levels effect and serial … volatility of interest rate changes. The improvement in modelling short rate volatility using the new procedure has implications …

Persistent link: https://www.econbiz.de/10013154084

Unemployment fluctuations and the predictability of currency returns

Nucera, Federico - 2015 - This version: August 2015

We investigate if unemployment fluctuations generate predictability in the cross-section of currency excess returns. To assess the predictability exerted by unemployment fluctuations, we sort currencies according to past growth in the unemployment rate. We find that an investment strategy which...

Persistent link: https://www.econbiz.de/10015408806

Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics

Flaschel, Peter; Charpe, Matthieu; Galanis, Giorgos; … - 2017

This paper studies the implications of heterogeneous capital gain expectations on output andasset prices. We consider a disequilibrium macroeconomic model where agents' expectations on future capital gains affect aggregate demand. Agents' beliefs take two forms - fundamentalist and chartist -...

Persistent link: https://www.econbiz.de/10011736031

Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics

Flaschel, Peter; Charpe, Matthieu; Galanis, Giorgos; … - 2017

This paper studies the implications of heterogeneous capital gain expectations on output and asset prices. We consider a disequilibrium macroeconomic model where agents' expectations on future capital gains affect aggregate demand. Agents' beliefs take two forms - fundamentalist and chartist -...

Persistent link: https://www.econbiz.de/10011657761

Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics

Flaschel, Peter; Charpe, Mattieu; Galanis, Giorgos; … - 2017

This paper studies the implications of heterogeneous capital gain expectations on output and asset prices. We consider a disequilibrium macroeconomic model where agents' expectations on future capital gains affect aggregate demand. Agents' beliefs take two forms - fundamentalist and chartist -...

Persistent link: https://www.econbiz.de/10011671937

Risks in macroeconomic fundamentals and excess bond returns predictability

De Rezende, Rafael B. - 2015 - February 2015

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...

Persistent link: https://www.econbiz.de/10010478516

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