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This paper analyzes recession prediction markets from Intrade and PredictIt where individuals bet on the binary outcome of a recession occurring by a certain date. Using a time series of such historical recession prediction market data to measure macroeconomic risk in a variety of asset classes,...
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model detects the occurrence of a large negative demand shock in consuming all kinds of goods, together with a large … negative demand shock in consuming contact-intensive products. On the supply side, our proposed method detects a large labor … supply shock to the general sector and a large labor productivity shock in the pandemic-sensitive sector …
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This paper studies equity price volatility in general equilibrium with news shocks about future productivity and monetary policy. As West (1998) shows, in a partial equilibrium present discounted value model, news about the future cash flow reduces asset price volatility. This paper shows that...
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a given shock can be represented as a weighted integral over that spectral decomposition. The weight assigned to each …
Persistent link: https://www.econbiz.de/10013076563
We quantify investors' preferences over the dynamics of shocks by deriving frequency - specific risk prices that capture the price of risk of consumption fluctuations at each frequency. The frequency-specific risk prices are derived analytically for leading models. The decomposition helps...
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