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We use a long history of global temperature and atmospheric carbon dioxide (CO2) concentration to estimate the conditional joint evolution of temperature and CO2 at a millennial frequency. We document three basic facts. First, the temperature–CO2 dynamics are non-linear, so that large...
Persistent link: https://www.econbiz.de/10014077252
We document the cyclical properties of the balance sheets of different types of intermediaries. While the leverage of the bank sector is highly procyclical, the leverage of the nonbank financial sector is acyclical. We propose a theory of a two-agent financial intermediary sector within a...
Persistent link: https://www.econbiz.de/10010202648
We construct risks around consensus forecasts of real GDP growth, unemployment, and inflation. We find that risks are time-varying, asymmetric, and partly predictable. Tight financial conditions forecast downside growth risk, upside unemployment risk, and increased uncertainty around the...
Persistent link: https://www.econbiz.de/10012841168
Persistent link: https://www.econbiz.de/10012211292
We construct risks around consensus forecasts of real GDP growth, unemployment, and inflation. We find that risks are time-varying, asymmetric, and partly predictable. Tight financial conditions forecast downside growth risk, upside unemployment risk, and increased uncertainty around the...
Persistent link: https://www.econbiz.de/10012167481
Persistent link: https://www.econbiz.de/10012794835
We use a long history of global temperature and atmospheric carbon dioxide (CO2) concentration to estimate the conditional joint evolution of temperature and CO2 at a millennial frequency. We document three basic facts. First, the temperature-CO2 dynamics are non-linear, so that large deviations...
Persistent link: https://www.econbiz.de/10013363649
Persistent link: https://www.econbiz.de/10003493985
Persistent link: https://www.econbiz.de/10001434313
We estimate a highly significant price of risk that forecasts global stock and bond returns as a nonlinear function of the CBOE Volatility Index (VIX). We show that countries' exposure to the global price of risk is related to macroeconomic risks as measured by output, credit, and inflation...
Persistent link: https://www.econbiz.de/10012968499