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Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
Joslin, Scott - 2014
This paper quantifies how variation in real economic activity and inflation in the U.S. influenced the market prices of level, slope, and curvature risks in U.S. Treasury markets. We develop a novel arbitrage-free dynamic term structure model in which bond investment decisions are influenced by...
Persistent link: https://www.econbiz.de/10013063563
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Term Structure of Risk in Expected Returns
Zviadadze, Irina - 2019
This article develops an empirical methodology to determine which economic shocks span risk in asset returns and … identifies economic shocks. The choice of identifying restrictions is based on the properties of the term structure of risk in … multiple sources of risk in the variance of consumption growth. Both types of news are almost equally important for the …
Persistent link: https://www.econbiz.de/10012896455
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The Macroeconomic Shock with the Highest Price of Risk
Pinter, Gabor - 2016
returns. The only identifying assumption is that this λ-shock demands the highest risk price per unit of exposure, or …
Persistent link: https://www.econbiz.de/10012982487
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The Macroeconomic Shock with the Highest Price of Risk
Pinter, Gabor - 2017
There is a tight empirical link between the determinants of the cross-section of risk premia and selected structural …
Persistent link: https://www.econbiz.de/10012967042
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Chapter 20. Term Structure of Uncertainty in the Macroeconomy
Borovička, J.; Hansen, L.P. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1641-1696). 2016
Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to...
Persistent link: https://www.econbiz.de/10014024262
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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
endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and … analytical decomposition to illustrate how multiple distinct endogenous risk wedges account for these differences. Supply and …
Persistent link: https://www.econbiz.de/10014362538
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The Macroeconomic Effects of Fiscal Policy Shock in Ethiopia : Evidence from a Bayesian VAR Approach
Gemechu, Kumadebis - 2021
This paper investigated the macroeconomic effects of fiscal policy shocks in Ethiopiausing a Bayesian Vector Auto Regression model. We examined the dynamic responsesof output, inflation, interest rate and exchange rate to fiscal policy shocks employingquarterly data from 2000/01Q1 to 2015/16Q4....
Persistent link: https://www.econbiz.de/10013242241
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SVARs in the frequency domain using a continuum of restrictions
Guay, Alain; Pelgrin, Florian - 2021 - This version: June 15, 2021
This paper proposes a joint methodology for the identification and inference of structural vector autoregressive models in the frequency domain. We show that identifying restrictions can be written naturally as an asymptotic least squares problem (Gourieroux, Monfort and Trognon, 1985) in which...
Persistent link: https://www.econbiz.de/10012697868
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Same, but different : testing monetary policy shock measures
Ettmeier, Stephanie; Kriwoluzky, Alexander - Leibniz-Institut für Wirtschaftsforschung Halle - 2017
In this study, we test whether three popular measures for monetary policy, that is, Romer and Romer (2004), Barakchian and Crowe (2013), and Gertler and Karadi (2015), constitute suitable proxy variables for monetary policy shocks. To this end, we employ different test statistics used in the...
Persistent link: https://www.econbiz.de/10011630098
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Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity
Lütkepohl, Helmut; Woźniak, Tomasz - 2017
In order to identify structural shocks that affect economic variables, restrictions need to be imposed on the parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However, only over-identifying restrictions can be tested with...
Persistent link: https://www.econbiz.de/10011771740