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Business-Cycle Variation in Macroeconomic Uncertainty and the Cross-Section of Expected Returns : Evidence for Scale-Dependent Risks
Xyngis, Georgios - 2017
A single factor that captures assets' exposure to business-cycle variation in macroeconomic uncertainty can explain the level and cross-sectional differences of asset returns. Specifically, based on portfolio-level tests I demonstrate that fluctuations in uncertainty with persistence ranging...
Persistent link: https://www.econbiz.de/10014133052
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Financial Market Risk Perceptions and the Macroeconomy
Pflueger, Carolin E. - 2019
-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVSt is high when perceived risk …
Persistent link: https://www.econbiz.de/10012902628
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The Announcement of Monetary Policy Intentions
Ferrero, Giuseppe - 2010
Whether a central bank should share with the public its views about the future evolution of short term interest rates is an unresolved issue. Disclosing this information might allow a more precise control of market expectations and a more effective achievement of the ultimate goals of the...
Persistent link: https://www.econbiz.de/10013149808
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What is the Real Story for Interest Rate Volatility?
Hornstein, Andreas - 2012
What is the source of interest rate volatility? Why do low interest rates precede business cycle booms? Most observers …
Persistent link: https://www.econbiz.de/10013101898
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Active Taylor Rules Still Breed Sunspots : Sunspot Volatility, Risk-Premium, and the Business Cycle
Lee, Seung Joo; Dordal i Carreras, Marc - 2023
alternate equilibrium where traditional Taylor rules give rise to self-fulfilling aggregate volatility and excess risk … generate endogenous volatility in a self-fulfilling manner, propelling the entire economy into crises (booms) characterized by …
Persistent link: https://www.econbiz.de/10014354223
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Macro News and Long-Run Volatility Expectations
Vilhelmsson, Anders - 2020
I propose a new model-free method for estimating long-run changes in expected volatility using VIX futures contracts …. The method is applied to measure the effect on stock market volatility of scheduled macroeconomic news announcements. I … when policy uncertainty is higher than average. Real side macro announcements increase long-run volatility during times of …
Persistent link: https://www.econbiz.de/10012846253
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Diagnostic Expectations and Macroeconomic Volatility
L'Huillier, Jean-Paul; Singh, Sanjay R.; Yoo, Donghoon - 2021
generality. Under some conditions, diagnostic expectations generate higher volatility than rational expectations. We show that …
Persistent link: https://www.econbiz.de/10013241641
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Why crises happen : nonstationary macroeconomics
Davidson, James E. H.; Meenagh, David; Minford, Patrick; … - 2010
A Real Business Cycle model of the UK is developed to account for the behaviour of UK nonstationary macro data. The model is tested by the method of indirect inference, bootstrapping the errors to generate 95% confidence limits for a VECM representation of the data; we find the model can explain...
Persistent link: https://www.econbiz.de/10008758527
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Modeling Persistent Interest Rates with Volatility-Induced Stationarity
Hansen, Anne Lundgaard - 2019
volatility-induced stationarity. Our model employs a level-dependent conditional volatility that maintains stationarity despite …
Persistent link: https://www.econbiz.de/10012897091
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Unspanned Volatility in Non-Affine Short Rate Models and Conformal Symmetry
Pelts, Gregory - 2016
We employ conformal symmetries to provide a generic tractable framework for interest rate modelling. The approach combines calibration flexibility of market models with tractability and computational efficiency of shot rate models. The methodology enables robust calibration to the whole variety...
Persistent link: https://www.econbiz.de/10012999730