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Term structure of interest rates with short-run and long-run risks
Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295
We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of interest rates - is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return horizons up to six months. IRVRP is not subsumed by...
Persistent link: https://www.econbiz.de/10014433708
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Bond return predictability : economic value and links to the macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540
Persistent link: https://www.econbiz.de/10012000665
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The origins and effects of macroeconomic uncertainty
Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896
We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle fluctuations. Both demand‐ and...
Persistent link: https://www.econbiz.de/10014362538
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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 account for up to 31% of the variation in excess bond...
Persistent link: https://www.econbiz.de/10010478516
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Implied basket correlation dynamics
Härdle, Wolfgang; Silyakova, Elena - 2012
of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …
Persistent link: https://www.econbiz.de/10009665551
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Implied basket correlation dynamics
Härdle, Wolfgang Karl; Silyakova, Elena - 2012
of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …
Persistent link: https://www.econbiz.de/10010318771
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Common and country specific economic uncertainty
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …
Persistent link: https://www.econbiz.de/10011306276
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Uncertainty and labor market fluctuations
Jo, Soojin; Lee, Justin J. - 2019
We investigate how a macroeconomic uncertainty shock affects the labor market. We focus on the uncertainty transmission mechanism, for which we employ a set of worker flow indicators in addition to labor stock variables. We incorporate common factors from such indicators into a framework that...
Persistent link: https://www.econbiz.de/10012030061
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Measuring uncertainty and its effects in a small open economy
Cabello, Miguel; Nivin, Rafael - 2022
model and a stochastic volatility factor model, it is possible to estimate reliable uncertainty measures and describe their …
Persistent link: https://www.econbiz.de/10013540621
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Asset Pricing Implications of Volatility Term Structure Risk
Xie, Chen - 2014
, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk …
Persistent link: https://www.econbiz.de/10013044719