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The Volatility of Long-Term Bond Returns : Persistent Interest Shocks and Time-Varying Risk Premiums

Osterrieder, Daniela - 2018

We develop a model that can match two stylized facts of the term-structure. The first stylized fact is the predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of risk. The second stylized fact is that long-term yields are...

Persistent link: https://www.econbiz.de/10012940149

Changes in risk and asset prices

Schlesinger, Harris; Gollier, Christian - 2001

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...

Persistent link: https://www.econbiz.de/10011398103

Chapter 13 Consumption-based asset pricing

Campbell, John Y. - 2003

This chapter reviews the behavior of financial asset prices in relation to consumption. The chapter lists some important stylized facts that characterize U.S. data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which...

Persistent link: https://www.econbiz.de/10014023858

Valuation risk revalued

De Groot, Oliver; Richter, Alexander W.; Throckmorton, … - In: Quantitative economics : QE ; journal of the … 13 (2022) 2, pp. 723-759

This paper shows the success of valuation risk-time‐preference shocks in Epstein-Zin utility-in resolving asset pricing puzzles rests sensitively on the way it is introduced. The specification used in the literature is at odds with several desirable properties of recursive preferences because...

Persistent link: https://www.econbiz.de/10013382046

Expansionary and contractionary technology improvements : conference paper

Balleer, Almut; Enders, Zeno - 2013 - Preliminary and incomplete

This paper examines the effects of expansionary technology shocks (shocks that increase labor productivity and factor … inputs) as opposed to contractionary technology shocks (shocks that increase labor productivity, but decrease factor inputs … productivity and production inputs. In addition, these shocks trigger different reactions of certain variables, which can help …

Persistent link: https://www.econbiz.de/10010336790

Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities

Kizys, Renatas - 2006

price in inflation risk premia. Estimation results strongly suggest that the decline in macroeconomic volatilities might …

Persistent link: https://www.econbiz.de/10012734024

Why does the yield-curve slope predict recessions?

Benzoni, Luca; Chyruk, Olena; Kelley, David - 2018

Why is an inverted yield-curve slope such a powerful predictor of future recessions? We show that a decomposition of the yield curve slope into its expectations and risk premia components helps disentangle the channels that connect fluctuations in Treasury rates and the future state of the...

Persistent link: https://www.econbiz.de/10011924714

Asset returns, the business cycle, and the labor market: A sensitivity analysis for the German economy

Heer, Burkhard; Maußner, Alfred - 2011

We review the labor market implications of recent real-business-cycle models that successfully replicate the empirical equity premium. We document the fact that all models considered in this survey with the exception of Boldrin, Christiano, and Fisher (2001) imply a negative correlation of...

Persistent link: https://www.econbiz.de/10010275854

The effects of permanent technology shocks on labor productivity and hours in the RBC model

Lindé, Jesper - 2004

a positive permanent technology shock along with a rise in labor productivity that are in line with what the data … correlation between hours worked and labor productivity. In this paper, I show that this conjecture is not necessarily correct. In … the basic RBC model, I find that hours worked fall and labor productivity rises after a positive permanent technology …

Persistent link: https://www.econbiz.de/10011585319

The cross-section of firms over the business cycle : new facts and a DSGE exploration

Bachmann, Ruediger; Bayer, Christian - 2009

Using a German firm-level data set, this paper is the first to jointly study the cyclical properties of the cross-sections of firm-level real value added and Solow residual innovations, as well as capital and employment adjustment. We find two new business cycle facts: 1) The cross-sectional...

Persistent link: https://www.econbiz.de/10003888063