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Loss Aversion, Habit Formation and the Term Structures of Equity and Interest Rates

Curatola, Giuliano - 2014

I propose a consumption-based asset pricing model that jointly explains the high equity premium, the counter-cyclical behaviour of stock returns, the upward sloping term structure of interest rates and the downward sloping term structure of equity. The driving forces behind these results are...

Persistent link: https://www.econbiz.de/10013057031

Introducing Global Term Structure in a Risk Parity Framework

Stagnol, Lauren - 2017

In this paper, we aim at constructing a global risk model using the term structure from major bond-issuing countries. The goal is twofold: first this allows quantifying global interest rate risk (level, slope and curvature effects), providing insights on global risks at play. Secondly, such...

Persistent link: https://www.econbiz.de/10012958146

Macroeconomic Risk Revisited : Term Structure of Risk Premia and Long Run Risk in a Two-State Economy with Epstein-Zin Preferences

Golosov, Edward - 2017

Under what conditions can the term structure of risk premia be downward sloping, as reported in a number of recent empirical studies? I study fixed income and equity risk premium term structures and the long run risk in a continuous time Lucas-style economy subject to a persistent regime change...

Persistent link: https://www.econbiz.de/10012941694

Properties of Foreign Exchange Risk Premiums

Sarno, Lucio - 2016

We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the no-arbitrage condition relating the term structure of...

Persistent link: https://www.econbiz.de/10013009171

Economic Policy Uncertainty, CDS Spreads, and CDS Liquidity Provision

Wang, Xinjie - 2020

Using a news-based index of economic policy uncertainty (EPU), we find that EPU is positively associated with credit …

Persistent link: https://www.econbiz.de/10012853711

What determines the yen swap spread?

Azad, A. S. M. Sohel; Batten, Jonathan A.; Fang, Victor - In: International review of financial analysis 40 (2015), pp. 1-13

Persistent link: https://www.econbiz.de/10011475583

Macro risks and the term structure of interest rates

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Journal of financial economics 141 (2021) 2, pp. 479-504

Persistent link: https://www.econbiz.de/10013259807

The origins and effects of macroeconomic uncertainty

Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 855-896

We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an … endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and … business cycle fluctuations. Both demand‐ and supply‐side uncertainty imply large contractions in real activity and an increase …

Persistent link: https://www.econbiz.de/10014362538

The origins and effects of macroeconomic uncertainty

Bianchi, Francesco; Kung, Howard; Tirskikh, Mikhail - 2019

Persistent link: https://www.econbiz.de/10012040169

The Real Term Premium in a Stationary Economy with Segmented Asset Markets

Chien, YiLi - 2019

This paper proposes an equilibrium model to explain the positive and sizable term premia observed in the data. We introduce a slow mean-reverting process of consumption growth and a segmented asset market mechanism with heterogeneous trading technology to otherwise a standard heterogeneous agent...

Persistent link: https://www.econbiz.de/10012897692

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