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Balling, Morten (ed.); Berk, Jan Marc (ed.); … - Colloquium The Quest for Stability <2009, Utrecht>; … - 2010

On September 3-4, 2009, SUERF and Utrecht University School of Economics jointly organized the 28th SUERF Colloquium on "The Quest for Stability" in Utrecht, the Netherlands. The papers contained in this SUERF Study jointly published with DNB and Rabobank are based on contributions to this...

Persistent link: https://www.econbiz.de/10011706507

The transmission of unconventional monetary policy to the emerging markets : papers in this volume were prepared for a meeting of senior officials from central banks held at the Bank for International Settlements on 6-7 March 2014

2014

Persistent link: https://www.econbiz.de/10015203618

Sovereign risk premia : the link between fiscal rules and stability culture ; conference paper

Heinemann, Friedrich; Osterloh, Steffen; Kalb, Alexander - 2013

There is a growing empirical literature studying whether fiscal rules reduce borrowing costs. Nevertheless, it remains an open question whether these rules are effective genuinely or just because they mirror fiscal preferences of politicians and voters. In our analysis of European bond spreads,...

Persistent link: https://www.econbiz.de/10010336738

Risk of rare disasters, Euler equation errors and the performance of the C-CAPM : conference paper

Posch, Olaf; Schrimpf, Andreas - 2013

This paper shows that the consumption-based asset pricing model (C-CAPM) with low-probability disaster risk … rationalizes large pricing errors, i.e., Euler equation errors. This result is remarkable, since Lettau and Ludvigson (2009) show … that leading asset pricing models cannot explain sizeable pricing errors in the C-CAPM. We also show (analytically and in a …

Persistent link: https://www.econbiz.de/10010338284

States, banks, and the financing of the economy : fiscal policy and sovereign risk perspectives ; [... on 5 - 6 September 2012, SUERF held its 30th Colloquium "States, Banks, and the Financing of the Economy" at the University of Zürich, Switzerland ...]

Balling, Morten (contributor); Weber, Axel A. (contributor) - 2013

Persistent link: https://www.econbiz.de/10010210668

Sovereign bond market reactions to fiscal rules and no-bailout clauses : the Swiss experience ; conference paper

Feld, Lars P.; Kalb, Alexander; Moessinger, Marc-Daniel; … - 2013 - This version: March 2013

We investigate the political determinants of risk premiums which sub-national governments in Switzerland have to pay for their sovereign bond emissions. For this purpose we make use of financial market data from 288 tradable cantonal bonds in the period from 1981 to 2007. Our main focus is on...

Persistent link: https://www.econbiz.de/10010340959

On creditor seniority and sovereign bond prices in Europe : conference paper

Steinkamp, Sven; Westermann, Frank - 2013

The recent increase of interest rate spreads in Europe and their apparent detachment from underlying fundamental variables has generated a debate on multiple equilibria in the sovereign bond market (see De Grauwe and Ji (2012)). We critically evaluate this hypothesis, by pointing towards an...

Persistent link: https://www.econbiz.de/10010341164

Fluctuations of the real exchange rate, real interest rates, and the dynamics of the price of gold in a small open economy : conference paper

Pierdzioch, Christian; Rohloff, Sebastian; Risse, Marian - 2014

Economic theory predicts that, in a small open economy, the dynamics of the real price of gold should be linked to real interest rates and the rate of change of the real exchange rate. Using data for Australia, we use a real-time forecasting approach to analyze whether real interest rates and...

Persistent link: https://www.econbiz.de/10010485282

Asset pricing without garbage : conference paper

Kroencke, Tim-Alexander - 2014

relative risk aversion in the consumption-based asset pricing model than consumption based on the official National Income and …

Persistent link: https://www.econbiz.de/10010486748

Decomposing risk in dynamic stochastic general equilibrium : conference paper

Lan, Hong; Meyer-Gohde, Alexander - 2014 - This version: December 19, 2013

-varying risk adjustment channel that induces variability in conditional asset pricing measures and assigns a substantial portion of … key macroeconomic and asset pricing facts untouched. We calculate the theoretical moments directly and decomposes these … operates and through which conditional asset pricing measures vary over time. Under frictional investment and varying capital …

Persistent link: https://www.econbiz.de/10010487749