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Implications of asymmetry risk for portfolio analysis and asset pricing

Chabi-Yo, Fousseni; Leisen, Dietmar; Renault, Eric - 2007

Asymmetric shocks are common in markets; securities'; payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices. A three funds separation theorem...

Persistent link: https://www.econbiz.de/10010279908

Uncertainty, inflation, and welfare

Chiu, Jonathan; Molico, Miguel - 2008

This paper studies the welfare costs and the redistributive effects of inflation in the presence of idiosyncratic liquidity risk, in a micro-founded search-theoretical monetary model. We calibrate the model to match the empirical aggregate money demand and the distribution of money holdings...

Persistent link: https://www.econbiz.de/10010279920

Testing uncovered interest parity: A continuous-time approach

Diez de los Rios, Antonio; Sentana, Enrique - 2007

observations per contract period is large relative to the sample size, standard GMM asymptotic theory provides unreliable …

Persistent link: https://www.econbiz.de/10010279924

Price-level versus inflation targeting with financial market imperfections

Covas, Francisco; Zhang, Yahong - 2008

This paper compares price-level-path targeting (PT) with inflation targeting (IT) in a sticky-price, dynamic, general equilibrium model augmented with imperfections in both the debt and equity markets. Using a Bayesian approach, we estimate this model for the Canadian economy. We show that the...

Persistent link: https://www.econbiz.de/10010279931

Do central banks respond to exchange rate movements? Some new evidence from structural estimation

Dong, Wei - 2008

This paper investigates the impact of exchange rate movements on the conduct of monetary policy in Australia, Canada, New Zealand and the United Kingdom. We develop and estimate a structural general equilibrium two-sector model with sticky prices and wages and limited exchange rate pass-through....

Persistent link: https://www.econbiz.de/10010279936

Composition of international capital flows: A survey

Kirabaeva, Koralai; Razin, Assaf - 2010

We survey several key mechanisms that explain the composition of international capital flows: foreign direct investment …, foreign portfolio investment and debt flows (bank loans and bonds). In particular, we focus on the following market frictions … foreign and domestic investors leads to inefficient investment allocation and borrowing in a country that finances its …

Persistent link: https://www.econbiz.de/10010279956

Inventories, markups, and real rigidities in menu cost models

Kryvtsov, Oleksiy; Midrigan, Virgiliu - 2009

Real rigidities that limit the responsiveness of real marginal cost to output are a key ingredient of sticky price models necessary to account for the dynamics of output and inflation. We argue here, in the spirit of Bils and Kahn (2000), that the behavior of marginal cost over the cycle is...

Persistent link: https://www.econbiz.de/10010279958

Monetary policy lag, zero lower bound, and inflation targeting

Nishiyama, Shin-ichi - 2009

Although the concept of monetary policy lag has historical roots deep in the monetary economics literature, relatively little attention has been paid to the idea. In this paper, we build on Svensson's (1997) inflation targeting framework by explicitly taking into account the lagged effect of...

Persistent link: https://www.econbiz.de/10010279960

Estimation and inference by the method of projection minimum distance

Jordà, Òscar; Kozicki, Sharon - 2007

A covariance-stationary vector of variables has a Wold representation whose coefficients can be semi-parametrically estimated by local projections (Jordà, 2005). Substituting the Wold representations for variables in model expressions generates restrictions that can be used by the method of...

Persistent link: https://www.econbiz.de/10010279965

On portfolio separation theorems with heterogeneous beliefs and attitudes towards risk

Chabi-Yo, Fousseni; Ghysels, Eric; Renault, Eric - 2008

The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called...

Persistent link: https://www.econbiz.de/10010279966