Showing 693,281 - 693,290 of 698,511
idiosyncratic coskewness betas are positive (negative). Standard risk factors, such as the market, size, book-to-market, and …
Persistent link: https://www.econbiz.de/10010279891
from our models and firm-specific variables related to default risk, such as credit ratings, equity volatility, and …
Persistent link: https://www.econbiz.de/10010279892
The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy. To this end, we consider six alternative approaches. Three of these models follow from the work of Diebold and Li (2003) with a generalization in Bolder...
Persistent link: https://www.econbiz.de/10010279893
The paper examines how the Balassa-Samuelson hypothesis is affected by a modern variation of the standard model that allows product differentiation (within the traded and nontraded goods sectors) with the number of firms determined exogenously or endogenously. The hypothesis is found to be...
Persistent link: https://www.econbiz.de/10010279899
This paper develops a model of settlement system to study the endogenous structure of settlement networks, and the welfare consequences of clearing agent failure. The equilibrium degree of tiering is endogenously determined by the cost structure and the information structure. The degree of...
Persistent link: https://www.econbiz.de/10010279906
risk-neutral volatilities is a function of the risk premium and of skewness. In fact, the equity premium is twice the ratio … conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory …
Persistent link: https://www.econbiz.de/10010279907
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
observations per contract period is large relative to the sample size, standard GMM asymptotic theory provides unreliable …
Persistent link: https://www.econbiz.de/10010279924
We study a model with repeated moral hazard where financial contracts are not fully indexed to inflation because nominal prices are observed with delay as in Jovanovic & Ueda (1997). More constrained firms sign contracts that are less indexed to the nominal price and, as a result, their...
Persistent link: https://www.econbiz.de/10010279925
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