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Risk management-driven policy rate gap
Caggiano, Giovanni; Castelnuovo, Efrem; Nodari, Gabriela - 2018
of financial uncertainty over the period 1969-2008. We find evidence in favor of a systematic response to financial … uncertainty over and above that to expected inflation, output gap, and output growth. However, this evidence regards the Greenspan …
Persistent link: https://www.econbiz.de/10011884396
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The behavior of uncertainty and disagreement and their roles in economic prediction : a panel analysis
Rich, Robert W.; Tracy, Joseph S. - 2017
derive individual uncertainty measures along with individual point- and density-based measures of disagreement. We also … explore the relationship between uncertainty and disagreement, as well as their roles in respondents' forecast performance and … forecast revisions. We observe substantial heterogeneity in respondents' uncertainty and disagreement. In addition, there is …
Persistent link: https://www.econbiz.de/10011604042
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Measuring Uncertainties in Energy Companies Caused by Governmental Regulation : The Role of Information Theory
Serrano Calle, Silvia - 2012
The increasing importance of governmental regulation in strategic sectors of the economy, particularly in the energy business, impacts on competitive markets. Uncertainties about governmental regulation and arbitrary decisions increase global risk levels for energy companies. In this paper we...
Persistent link: https://www.econbiz.de/10014162850
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The Behavior of Uncertainty and Disagreement and Their Roles in Economic Prediction : A Panel Analysis
Rich, Robert W.; Tracy, Joseph S. - 2017
derive individual uncertainty measures along with individual point- and density-based measures of disagreement. We also … explore the relationship between uncertainty and disagreement, as well as their roles in respondents’ forecast performance and … forecast revisions. We observe substantial heterogeneity in respondents’ uncertainty and disagreement. In addition, there is …
Persistent link: https://www.econbiz.de/10014122745
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On Pricing Kernels, Information and Risk
Wilcox, Diane - 2015
We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general...
Persistent link: https://www.econbiz.de/10013034895
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Risk Management-Driven Policy Rate Gap
Caggiano, Giovanni - 2018
of financial uncertainty over the period 1969-2008. We find evidence in favor of a systematic response to financial … uncertainty over and above that to expected inflation, output gap, and output growth. However, this evidence regards the Greenspan …
Persistent link: https://www.econbiz.de/10012910624
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Discussion of Active Risk Models
Patev, Plamen - 2019
Persistent link: https://www.econbiz.de/10012891829
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Market Risk and the Momentum Mystery
Kolari, James W. - 2019
This paper employs the ZCAPM asset pricing model of Liu, Kolari, and Huang (2018) to show that momentum returns are highly related to market risk arising from return dispersion (RD). Cross-sectional tests show that momentum risk loadings and RD risk loadings are similarly priced in momentum...
Persistent link: https://www.econbiz.de/10012897530
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Alternative Risk Premia Primer
Leveau, Daniel; Sahote, Navdeep - 2023
The combination of last year’s large sell-off in the financial markets, a challenging macroeconomic environment, and heightened volatility has led institutional investors to reassess their strategic asset allocation. Guiding these reassessments is the central question of how best to fulfill...
Persistent link: https://www.econbiz.de/10014362192
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The fatality risks of sport-utility vehicles, vans, and pickups
Gayer, Ted - 2001
This paper presents a model of vehicle choice and empirically examines the risk posed by light trucks (sport-utility vehicles, vans, and pickups) to those that drive them and to other drivers, relative to the risk posed by cars. It compares the relative risk of dying and the relative crash...
Persistent link: https://www.econbiz.de/10011511058