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Towards a Stable Monetary Union: What Role for Eurobonds?

Gilbert, Niels; Hessel, Jeroen; Verkaart, Silvie - de Nederlandsche Bank - 2013

This paper investigates the role that Eurobonds could play in making EMU stable in the long run. We establish that EMU … ECB form the ideal backstop, and that Eurobonds potentially offer a more stable solution, but at the price of important … and moral hazard by using Eurobonds themselves to further enforce budgetary discipline. Even then, however, EMU governance …

Persistent link: https://www.econbiz.de/10010757280

Keynes und die Finanzmärkte: Auf halbem Weg vom "homo oeconomicus" zum "homo humanus"

Schulmeister, Stephan - 2019

John Maynard Keynes war ein Ökonom, der stets zwischen der Welt der Theorien und der Realität pendelte, er prüfte und verwarf theoretische Annahmen aufgrund seiner Beobachtungen, die er wiederum als Ausgangspunkte für die Entwicklung neuer Theorien nutzte. Gleichzeitig betrieb er als...

Persistent link: https://www.econbiz.de/10012140970

The Rate of Market Efficiency

Karapandza, Rasa - 2014

We define two measures: the Model Performance Ratio (MPR), which ranks asset pricing models based on their ability to price random portfolios, and the Rate of Market Efficiency (RME), which measures market efficiency assuming the best pricing model (largest MPR). We find that: (i) market...

Persistent link: https://www.econbiz.de/10013066370

Classical Portfolio Performance Measures : A Primer

Francois, Pascal - 2020

In this primer, we review the classical methods for assessing the performance of a financial portfolio. The analysis relies on benchmarking the return on the portfolio with that of a peer group. We define and discuss the pros and cons of four performance metrics that are theoretically consistent...

Persistent link: https://www.econbiz.de/10012844038

Measuring Interest Rate Risk Using a Duration Vector

Jaeger-Ambrozewicz, Manfred - 2017

The duration of a bond approximately measures the interest rate risk caused by parallel shifts of the yield curve. This paper uses a generalization of the duration suggested by Diebold et al. (2006a), that takes the variations of the level, the slope and the curvature of the yield curve into...

Persistent link: https://www.econbiz.de/10012960612

Capital Depreciation and the Underdetermination of Rate of Return : A Unifying Perspective

Magni, Carlo Alberto - 2017

This paper shows that the notion of rate of return is best understood through the lens of the average-internal-rate-of-return (AIRR) model, first introduced in Magni (2010a). It is an NPV-consistent approach based on a coherent definition of rate of return and on the notion of Chisini mean, it...

Persistent link: https://www.econbiz.de/10012962027

An Illustration of a Modified-Machlup (mM) Assessment for Resolving When Experts Disagree (WED) Issues as Applied to Three Archetypal Examples for Model Validation : Yule-Simpson P...

Wurts, Henry - 2019

This paper (1) introduces a modified-Machlup (mM) assessment, as well as DQA and DQE concerns and a DQXY Thesis that tie the mM assessment to the Duhem-Quine (DQ) Thesis and theories of model validation (TMV), and then (2) applies the mM and DQA/DQE concepts to three archetypal models (i.e.,...

Persistent link: https://www.econbiz.de/10012896445

Ball and Brown (1968) After Fifty Years

Ball, Ray - 2019

The Editor commissioned this replication of Ball and Brown (1968) for a special issue of the Pacific-Basin Finance Journal commemorating the 50th anniversary of its publication. We also describe the background to the original paper and its research design, and offer observations on its...

Persistent link: https://www.econbiz.de/10012896453

The Legacy of Stephen A. Ross

Fabozzi, Frank J. - 2019

Stephen A. Ross had an uncanny talent for translating economic theory into intuitive and rigorous concepts that were useful to researchers and practitioners alike. His most famous accomplishment, the arbitrage pricing theory, has inspired the ongoing search for factors that explain security...

Persistent link: https://www.econbiz.de/10012897772

A 50-Year Retrospect of the Put-Call Parity (PCP) Through Three Questions

Wurts, Henry - 2019

A half-century retrospect of Stoll (1969) provides lessons to be learned from the Put-Call Parity (PCP) and its applications. Many of the lessons are generalizable to models for risk assessment, valuation, and exposure that have been developed for more-complex financial derivatives. Yet since...

Persistent link: https://www.econbiz.de/10012897915