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Economic foundations of capital market returns

Singer, Brian D.; Terhaar, Kevin - 1997

Persistent link: https://www.econbiz.de/10001425903

Does wage rigidity make firms riskier? : evidence from long-horizon return predictability

Favilukis, Jack; Lin, Xiaoji - 2012

We explore the relationship between sticky wages and risk. Like operating leverage, sticky wages are a source of risk for the firm. Firms, industries, regions, or times with especially high or rigid wages are especially risky. If wages are sticky, then wage growth should negatively forecast...

Persistent link: https://www.econbiz.de/10009697776

Does wage rigidity make firms riskier? : evidence from long-horizon return predictability

Favilukis, Jack; Lin, Xiaoji - In: Journal of monetary economics 78 (2016), pp. 80-95

Persistent link: https://www.econbiz.de/10011709268

Labor Rigidity, Inflation Risk and Bond Returns

Marfè, Roberto - 2017

-run components of dividend risk and inflation risk. While labor rigidity shifts dividend risk towards the short horizon, it also … reveals - by means of labor-share variation - the component of inflation risk which is correlated with fundamentals. A simple … general equilibrium model with labor rigidity can explain how inflation interacts with the real growth and the labor-share, as …

Persistent link: https://www.econbiz.de/10012969140

Labor Rigidity, Inflation Risk and Bond Returns

Marfè, Roberto - 2015

-run components of dividend risk and inflation risk. While labor rigidity shifts dividend risk towards the short horizon, it also … reveals -- by means of labor-share variation -- the component of inflation risk which is correlated with fundamentals. A … simple general equilibrium model with labor rigidity can explain how inflation interacts with the real growth and the labor …

Persistent link: https://www.econbiz.de/10013013626

Managing adverse dependence for portfolios of collateral in financial infrastructures

García, Alejandro (contributor); … - 2007

We propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable...

Persistent link: https://www.econbiz.de/10003462966