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An empirical assessment of global capital productivity
Knolle, Julia; Lehmann, Kai - 2016 - This version: 26 April 2016
Does the world experience a secular decline in capital productivity? Due to the long-run downward trend in interest rates, some economists do think so. However, this reasoning equates capital productivity with interest, which is a critical assumption. This paper presents a new proxy that can be...
Persistent link: https://www.econbiz.de/10011488650
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The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity
Bakshi, Gurdip - 2012
The goal of this paper is to show that the growth rate of the Baltic Dry Index (BDI) has predictive ability for a range of stock markets, which is demonstrated through in-sample tests and out-of-sample statistics.The documented stock return predictability is also of economic significance, as...
Persistent link: https://www.econbiz.de/10013115046
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The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity
Bakshi, Gurdip - 2012
The goal of this paper is to show that the growth rate of the Baltic Dry Index (BDI) has predictive ability for a range of stock markets, which is demonstrated through in-sample tests and out-of-sample statistics.The documented stock return predictability is also of economic significance, as...
Persistent link: https://www.econbiz.de/10013115293
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Fundamentals or Fads? Pipes, Not Punting, Explain Commodity Prices and Volatility
Fenton, Colin P. - 2011
In assessing drivers of commodity prices and volatility at this stage of the current super-cycle in commodities (year 12 of a projected 25), it is vital to understand that production cost is a fundamental. Moreover, marginal production costs are among the most powerful drivers of commodity...
Persistent link: https://www.econbiz.de/10013120803
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Heterogeneity in Beliefs and Volatility Tail Behavior
Bakshi, Gurdip - 2012
We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in the volatility dimension. The model features investors...
Persistent link: https://www.econbiz.de/10013108996
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LIBOR : origins, economics, crisis, scandal, and reform
Hou, David; Skeie, David - 2014
The London Interbank Offered Rate (LIBOR) is a widely used indicator of funding conditions in the interbank market. As … of 2013, LIBOR underpins more than $300 trillion of financial contracts, including swaps and futures, in addition to … trillions more in variable-rate mortgage and student loans. LIBOR's volatile behavior during the financial crisis provoked …
Persistent link: https://www.econbiz.de/10010393220
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A value at risk analysis of credit default swaps
Raunig, Burkhard; Scheicher, Martin - 2008
We investigate the risk of holding credit default swaps (CDS) in the trading book and compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity using a sample of CDS stock price pairs for 86 actively traded firms over the period from March 2003 to...
Persistent link: https://www.econbiz.de/10003825863
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Linear-rational term structure models
Filipović, Damir; Larsson, Martin; Trolle, Anders B. - 2014
We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: i) ensures nonnegative interest rates, ii) easily...
Persistent link: https://www.econbiz.de/10010338764
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Option-implied Libor rate expectations across currencies
Gebbia, Nick - 2016
In this paper, I study risk-neutral probability densities regarding future Libor rates denominated in British pounds … future Libor rates. I use these estimates in case studies, detailing the evolution of probabalistic expectations for future … Libor rates over the course of several important market events. Next, I compute distributional moments from density …
Persistent link: https://www.econbiz.de/10011563200
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GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model
Dang, Duy-Minh - 2011
We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of exotic cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel pricing of long-dated foreign exchange (FX)...
Persistent link: https://www.econbiz.de/10013133913