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What Do Treasury Bond Risks Say about Supply and Demand Shocks?

Pflueger, Carolin E. - 2022

This paper analyzes how the risks of nominal and inflation-indexed Treasury bonds vary with the presence of supply and demand shocks through the lens of a small-scale New Keynesian model with habit formation preferences, where investors become more risk averse following adverse economic shocks....

Persistent link: https://www.econbiz.de/10013403693

Optimal long-term allocation with pension fund liabilities

Jondeau, Eric; Rockinger, Michael - 2014

We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...

Persistent link: https://www.econbiz.de/10010442892

Asymmetric beta comovement and systematic downside risk

Jondeau, Eric; Zhang, Qunzi - 2014

Downside-Beta Comovement and Upside-Beta Comovement is the main driving force for market level skewness. An indicator called …

Persistent link: https://www.econbiz.de/10010442899

Low risk anomalies?

Schneider, Paul; Wagner, Christian; Zechner, Josef - 2019

compensation for coskewness risk. Empirically, we find that option-implied ex-ante skewness is strongly related to ex-post residual … coskewness, which allows us to construct coskewness factor mimicking portfolios. Controlling for skewness renders the alphas of … are largely driven by a single principal component, which is in turn largely explained by skewness …

Persistent link: https://www.econbiz.de/10012134221

Properties of Foreign Exchange Risk Premiums

Sarno, Lucio - 2016

We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure of...

Persistent link: https://www.econbiz.de/10013009171

Market-Based Monetary Policy Uncertainty

Bauer, Michael - 2020

An extensive literature studies the impact of monetary policy surprises---shifts in expected policy rates---on asset prices. This paper addresses the open question of how shifts in the uncertainty about future policy rates matter for the transmission of monetary policy to financial markets. To...

Persistent link: https://www.econbiz.de/10012849565

Equity capital, bankruptcy risk and the liquidity trap

Levintal, Oren - 2011

This paper explains the emergence of liquidity traps in the aftermath of large-scale financial crises, as happened in the US 1930s, Japan 1990s and recently in the US and Europe. The paper introduces a new balance sheet channel that links equity capital to the risk-free interest rate. When...

Persistent link: https://www.econbiz.de/10010335985

Global macro risks in currency excess returns

Berg, Kimberly A.; Mark, Nelson C. - 2016

fundamental macroeconomic risk. The cross-country high-minuslow (HML) conditional skewness of the unemployment gap - our measure …

Persistent link: https://www.econbiz.de/10011517046

Market discipline and liquidity risk : evidence from the interbank funds market

Sarmiento, Miguel - 2016

This paper identifies bank-specific-characteristics and market conditions that contribute to determine prices and demand for liquidity in the interbank market as wells as banks' access to this market. Results indicate that riskier banks pay higher prices and borrow less liquidity, concurrent...

Persistent link: https://www.econbiz.de/10011554714

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

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