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Interest Spreads and Margins in Collateral Equilibrium with Heterogeneous Beliefs
Barsky, Robert; Bogus, Avery; Easton, Matthew - 2022
There continues to be substantial interest in models combining heterogeneous beliefs about asset values with leverage generated by loans from pessimists to the optimistic natural buyers of the asset. This paper determines the size of the interest spread and margin on the loan as a function of...
Persistent link: https://www.econbiz.de/10013492168
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Inflation uncertainty and disagreement in bond risk premia
D'Amico, Stefania; Orphanides, Athanasios - 2014
This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …
Persistent link: https://www.econbiz.de/10010441139
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Predicting economic activity via Eurozone yield spreads : impact of credit risk
Schock, Matthias - 2015
A 'lost decade' for the Eurozone is looming on the horizon. Under these circumstances, stable indicators for future economic activity are especially valuable to decision makers. This paper examines the predictive power of the yield spread, one of the most reliable indicators for gross domestic...
Persistent link: https://www.econbiz.de/10010492457
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Do Eurozone yield spreads predict recessions?
Schock, Matthias - 2014 - Rev. September 2014
An OLS and probit framework is used to examine the predictive power of yield spreads with respect to GDP growth and recessions in the Eurozone from the 1990s to the recent past. Credit default swap (CDS) data on sovereign bonds, which provide a direct measure of default risk, are employed as...
Persistent link: https://www.econbiz.de/10010419649
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News-based indices on country fundamentals : do they help explain sovereign credit spread fluctuations?
Fulop, Andras; Kocsis, Zalán - 2018
This paper revisits the discussion about the role that fundamentals play in asset prices using sovereign credit spread data. We augment the standard macroeconomic proxy set by text-based measures of country and global fundamentals from a database of Reuters news articles between 2007 and 2016....
Persistent link: https://www.econbiz.de/10011798857
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An affine factor model of the Greek term structure
Balfoussia, Hiona - 2022
This paper aims to contribute to our understanding of the dynamics driving the Greek term structure of nominal interest rates and to explore their possible macroeconomic determinants. A canonical, Vasicek-type latent a¢ ne factor model of the Greek term structure is estimated on data spanning...
Persistent link: https://www.econbiz.de/10014080537
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Do Foreign Yield Curves Predict U.S. Recessions?
Ahmed, Rashad - 2022
This note shows that non-U.S. yield curves contain information about future U.S. recessions and economic activity. Using quarterly data from 1979-2021, a foreign term spread constructed from the bond yields of G-7 constituents is included in regressions of U.S. recession risk and U.S. real GDP...
Persistent link: https://www.econbiz.de/10013289150
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News Shocks and the Production-Based Term Structure of Equity Returns
Ai, Hengjie - 2017
We propose a production-based general equilibrium model to study the link between timing of cash flows and expected returns both in the cross section of stocks and along the aggregate equity term structure. Our model incorporates long-run growth news with time-varying volatility and slow...
Persistent link: https://www.econbiz.de/10012974822
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Inflation and Asset Returns
Cieślak, Anna; Pflueger, Carolin E. - National Bureau of Economic Research - 2023
The past half-century has seen major shifts in inflation expectations, how inflation comoves with the business cycle … on how inflation is priced in financial markets. Not all inflation episodes are created equal. Using in a New Keynesian … model, we show how "good" inflation can be linked to demand shocks and "bad" inflation to supply shocks driving the economy …
Persistent link: https://www.econbiz.de/10014247931
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Market liquidity risk and its incorporation into value at risk
Strnad, Petr - In: Acta Oeconomica Pragensia 2009 (2009) 2, pp. 21-37
Over the past few years, the Value at Risk indicator (VaR) has evolved, without doubt, into the most frequently used comprehensive tool for assessment of potential losses caused by adverse changes in market rates. However, the common models used for VaR assessment are based only on mid prices...
Persistent link: https://www.econbiz.de/10005079050