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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 … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …
Persistent link: https://www.econbiz.de/10010478516
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Real-Time Learning, Macroeconomic Uncertainty, and the Variance Risk Premium
Bianchi, Daniele - 2015
The variance risk premium represents the compensation paid to index option sellers for the risk of losses following … produce a sizable and volatile variance risk premium. These shocks coincide with major events such as the LTCM/Russian crisis … risk premium, generating short-term predictability for market excess returns, consistent with the data. In addition, the …
Persistent link: https://www.econbiz.de/10013034741
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404549
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Inflation uncertainty and disagreement in bond risk premia
D'Amico, Stefania; Orphanides, Athanasios - 2014
-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …
Persistent link: https://www.econbiz.de/10010441139
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Evaluating how predictable errors in expected income affect consumption
Giamboni, Luigi; Millemaci, Emanuele; Waldmann, Robert - In: Applied economics 45 (2013) 28/30, pp. 4004-4021
Persistent link: https://www.econbiz.de/10010345803
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Subjective unemployment expectations and (self-) insurance
Hartmann, Ida Maria; Leth-Petersen, Søren - 2023
We study how individual unemployment expectations are shaped and updated using a unique longitudinal survey data set with subjective unemployment expectations. The survey data is linked with third-party reported administrative data on unemployment realizations, such that we are able to examine...
Persistent link: https://www.econbiz.de/10013468547
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On the Sources of Uncertainty in Exchange Rate Predictability
Byrne, Joseph - 2016
In a unified framework, we examine four sources of uncertainty in exchange rate forecasting models: (i) random variations in the data, (ii) estimation uncertainty, (iii) uncertainty about the degree of time-variation in coefficients, and (iv) uncertainty regarding the choice of the predictor. We...
Persistent link: https://www.econbiz.de/10013005871
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Modeling and Forecasting Macroeconomic Downside Risk
Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2021
We document a substantial increase in downside risk to US economic growth over the last 30 years. By modelling secular … risk provided by current financial conditions …
Persistent link: https://www.econbiz.de/10013226483
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Knightian uncertainty and credit cycles
Gerba, Eddie; Żochowski, Dawid - 2017
The Great Recession has been characterised by the two stylized facts: the buildup of leverage in the household sector in the period preceding the recession and a protracted economic recovery that followed. We attempt to explain these two facts as an information friction, whereby agents are...
Persistent link: https://www.econbiz.de/10011656163
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Learning to forecast, risk aversion, and microstructural aspects of financial stability
Biondo, Alessio Emanuele - 2018
introducing a behavioral individual risk aversion and a learning ability influencing the process of expectations formation …. Results show that individual learning may play a role in stabilizing the aggregate market dynamics, whereas the risk aversion …
Persistent link: https://www.econbiz.de/10011824135