Neither existing theory nor prior empirical work can tell us the impact of non-normality on required sample sizes for Student-t tests of the mean in U.S. stock returns. Prior empirical work and bounds from a modified Berry-Esseen theorem do suggest, however, that the answer should vary with...

We analyze the risk-return trade-off in the US Treasury market using a term-structure model that features volatility-in-mean effects of multiple sources, and yet preserves tractable bond prices. We find a strong positive relation between risks and risk premia over the 1966-2018 period. While...

This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar index futures and the commodity price index. The focus of the study is to analyze effects of Fed's unconventional monetary policy on the US financial markets. We use realized...

We examine the stock market valuation of large and systemic U.S. banks over the period 2003Q4-2014Q1. These are the banks included in a series of supervisory capital review and stress tests conducted annually since 2009 by the Federal Reserve. We extend Gordon's growth model of stock valuation,...

We analyze the dynamic interactions between credit and liquidity risk and their impact on bond prices and risk. We propose a novel way of modeling credit-liquidity interactions through mutually exciting processes and develop a corresponding Bayesian estimation procedure. Using US corporate bond...

We analyse how the future real economic activity is discounted to the current value of stocks in the US and European markets, and find that the extraordinary threat on future real GDP growth caused by the COVID-19 pandemic was obviously one of the main factors that affected the deep dive in the...

This paper develops and estimates a Quadratic-Gaussian model of the U.S. term structure that can accommodate the rich dynamics of inflation risk premia over the 1983-2013 period by allowing for time-varying market prices of inflation risk and incorporating survey information on inflation...

This paper investigates the impact of macroeconomic news on the dynamics of interest rates and stock returns during "low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our results suggest that securities volatility is higher...

This paper develops a technique to decompose price distributions into contributions from markups and marginal cost. The estimators are then used as a laboratory to measure the relationship between increasing Chinese competition and the components of U.S. import prices. The estimates suggest that...

This paper characterizes the risk-return trade-off in the U.S. Treasury market. We propose a discrete-time no-arbitrage term structure model, in which bond prices are solved in closed form and the conditional variances of bond yields are decomposed into a short-run component and a long-run...