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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
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
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
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
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
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
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
-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