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This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macro variables that are not subject to revisions, wefind that global macro factors have predictive power for bond returns unspanned by yield factors.Furthermore, we...
Persistent link: https://www.econbiz.de/10012856793
now than ever, only a financial mechanism can scale up capital to such an extent. However, climate risk represents the …-term investors by directly modelling the dynamics of the GMST. The evaluation of climate risk requires a model incorporating the … function, and include stochastic processes representing additional risk. We obtain a bivariate Ornstein-Uhlenbeck process and …
Persistent link: https://www.econbiz.de/10013018747
Planetary boundaries (PBs) and global catastrophic risk (GCR) have emerged in recent years as important paradigms for … integrates them into a unified PBs-GCR conceptual framework, which we call Boundary Risk for Humanity and Nature (BRIHN). PBs …
Persistent link: https://www.econbiz.de/10012987181
The World Economic Forum (WEF) recognises in their recent global risk reports the need to better understand the … the possibility of both single and multiple risk events occurring. This paper applies a cladistics analysis technique to …
Persistent link: https://www.econbiz.de/10012918325
We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the variance of a large set of financial and macroeconomic variables for 22 OECD countries spanning from 1960 onwards into contributions from country-specific uncertainty,...
Persistent link: https://www.econbiz.de/10012920180
We study spillover effects of US uncertainty fluctuations using panel data from fifteen emerging market economies (EMEs). A US uncertainty shock negatively affects EME stock prices and exchange rates, raises EME country spreads, and leads to capital outflows from them. Moreover, it decreases EME...
Persistent link: https://www.econbiz.de/10012930052
Using a broad range of uncertainty measures, we show that uncertainty dramatically slows down firms' adjustments toward their optimal capital structure. At the upper bound, the estimated speed of leverage adjustments almost halves when uncertainty is high. High quality institutions (common law...
Persistent link: https://www.econbiz.de/10012934442
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