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An affine multifactor model with macro factors for the German term structure : changing results during the recent crises
Halberstadt, Arne; Stapf, Jelena - 2012
Using arbitrage-free affine models, we analyze the dynamics of German bond yields and risk premia for the period 1999 to 2010 (EMU). We estimate two model specifications, one with only latent factors, and another one with a Taylor-type rule comprising a price and a real activity factor drawn...
Persistent link: https://www.econbiz.de/10009656194
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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10011940034
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Resilience and Asset Pricing in COVID-19 Disaster
Daadmehr, Elham - 2022
This paper develops a rare disaster asset pricing model with EZ preferences, in particular including the impact of … macroeconomic consequences of the COVID-19 disaster. I estimate the probability of disaster, disaster states, and the duration of … disaster to shed light on the frequency and size of this disaster and to obtain the macroeconomic sensitivity to COVID-19 as …
Persistent link: https://www.econbiz.de/10014235623
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Macroeconomic risk and higher-moment risk premia
Khrashchevskyi, Ian - 2020
In this paper I investigate the relation between macroeconomic risk and higher-moment risk premia. I use existing methodology on higher-moment swaps and estimate the excess returns for variance and skewness swaps. I also introduce new methodology for kurtosis swaps. The expected excess returns...
Persistent link: https://www.econbiz.de/10012847444
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Improving the Predictability of Real Economic Activity and Asset Returns with Forward Variances Inferred from Option Portfolios
Bakshi, Gurdip - 2012
This paper presents an option positioning that allows us to infer forward variances from option portfolios. The forward variances we construct from equity index options help to predict (i) growth in measures of real economic activity, (ii) Treasury bill returns, (iii) stock market returns, and...
Persistent link: https://www.econbiz.de/10013116049
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Unconventional Monetary Policy and Financialization of Commodities
Ordu-Akkaya, Beyza Mina - 2019
We examine whether volatility spillover between US equity and commodity markets has significantly changed with the heavy influx of index traders in commodity derivatives markets, which is a phenomenon referred to as financialization. Previous findings show that institutional traders enter...
Persistent link: https://www.econbiz.de/10012864250
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The Beta intervalling effect during a deep economic crisis : evidence from Greece
Mantsios, Georgios; Xanthopoulos, Stylianos - In: International journal of business and economic sciences … 9 (2016) 1, pp. 19-26
Purpose - The intervalling effect bias of beta refers to the sensitivity of beta estimation with respect to the …
Persistent link: https://www.econbiz.de/10011489951
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Macroeconomic News and Treasury Futures Return Volatility : Do Treasury Auctions Matter?
Smales, Lee A. - 2020
Various macroeconomic announcements are known to influence asset price volatility. While contemplating the impact of a variety of macro news surprises, we highlight the importance of Treasury auctions – a news event that has ramifications for interest rates across the economy and which are...
Persistent link: https://www.econbiz.de/10012849805
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The Marginal Profit-to-Q Ratio : Reassessing the Cash-Flow Channel
Cooper, Ilan; Maio, Paulo F.; Yang, Chunyu - 2021
We study a production-based present-value relation that implies that fluctuations in the marginal profit-to-marginal Q ratio (mq) are driven by variations in the expected growth of marginal profits (cash-flow channel), expected investment return changes (discount-rate channel), or both. We find...
Persistent link: https://www.econbiz.de/10013234295
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The Causal Impact of Macroeconomic Uncertainty on Expected Returns
Chaudhry, Aditya - 2021
I quantify the causal impact of macroeconomic uncertainty on time-varying expected returns. The exogenous timing of macroeconomic announcements provides an instrument for uncertainty. Using daily measures of macroeconomic uncertainty and expected equity market returns, I find announcements...
Persistent link: https://www.econbiz.de/10013240699