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On the inflation risks embedded in sovereign bond yields
Camba-Méndez, Gonzalo - 2020
by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … inflation risks are not necessarily reduced with the inclusion of real estate assets in the minimum variance portfolio. Our … investors for holding the less attractive inflation-linked debt asset. …
Persistent link: https://www.econbiz.de/10012241109
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Carry Trade Strategies with Factor Augmented Macro Fundamentals : A Dynamic Markov-Switching Factor Model
Ogruk-Maz, Gokcen - 2017
This paper evaluates the performance of carry trade strategies with macro fundamentals in a Markov switching dynamic factor augmented regression framework and compares the performance statistics with the benchmark model of a random walk and momentum strategy. I make simulations with the Japanese...
Persistent link: https://www.econbiz.de/10012963675
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Machine Learning for Recession Prediction and Dynamic Asset Allocation
James, Alex - 2019
We introduce a novel application of support vector machines (SVM), an important machine learning algorithm, to determine the beginning and end of recessions in real time. Nowcasting, forecasting a condition in the present time because the full information will not be available until later, is...
Persistent link: https://www.econbiz.de/10012894791
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Quantitative Implications of Liquidity Constraints for Asset Prices and Monetary Policy
Nah, Won Jun - 2018
This paper investigates quantitative significance of liquidity constraints for asset prices and monetary policy in a monetary economy version of Kiyotaki and Moore (2005). Motivated by the lack of commitment in the intertemporal asset trade, the model economy features limited resalability of...
Persistent link: https://www.econbiz.de/10012940648
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Momentum Investing & Asset Allocation
Knowles, Drew - 2016
This paper highlights the use of a new strategic approach within a quantitative investment methodology in the context of making prudent asset allocation decisions. Three asset classes will frame the dynamic asset allocation discussion: Equities, Fixed Income, and Hedge Funds. The quantitative...
Persistent link: https://www.econbiz.de/10013003309
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Macro-based asset allocation : an empirical analysis
Kollar, Miroslav; Schmieder, Christian - 2020
Macro-based asset allocation, i.e., the identification of turning points in macro-financial cycles and the allocation of assets accordingly, has attracted a lot of interest in recent years. This interest was sparked by volatile financial markets, more synchronized returns across asset classes...
Persistent link: https://www.econbiz.de/10012152009
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Invest Like an Endowment
Knowles, Drew - 2016
This paper studies the investment returns and asset allocation policies of college and university endowments who share annual performance and asset allocation data with the National Association of College and University Business Officers (NACUBO) annual endowment study. In this paper, we review...
Persistent link: https://www.econbiz.de/10012997649
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Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect
Caballero, Ricardo J.; Simsek, Alp - 2022
We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...
Persistent link: https://www.econbiz.de/10013093040
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The optimal inflation rate with discount factor heterogeneity
Lepetit, Antoine - 2018
choose a path for the inflation rate that ends with a non-zero value. Such a property is relevant in a wide range of … youth structure. In this setting, profit flows are discounted more heavily than utility flows and the optimal inflation … long-run inflation rate in models with firm entry and exit and in environments with search and matching frictions in the …
Persistent link: https://www.econbiz.de/10012016683
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Cash Flow and Discount Rate Risk in the Investment Effect : A Downside Risk Approach
Yamani, Ehab Abdel-Tawab - 2020
We examine whether sensitivities to cash flow (CF) and discount rate (DR) risk in down markets provide an explanation for the investment effect, where low-investment stocks earn higher expected returns than high-investment stocks. We show how productivity and financing constraints asymmetrically...
Persistent link: https://www.econbiz.de/10012856300