Central Bank Research Hub - JEL classification G12: Asset Pricing; Trading volume; Bond Interest Rates
http://www.bis.org/cbhub/list/jel_classification/jel_G12/index.rss
Latest research hub papers with the JEL classification:G12en12Dec/Welfare and bond pricing implications of fiscal stabilization policies
http://www.suomenpankki.fi/en/julkaisut/tutkimukset/keskustelualoitteet/Documents/BoF_DP_1332.pdf
Bank of Finland Discussion Papers by Kai Christoffel - Ivan Jaccard - Juha KilponenWelfare and bond pricing implications of fiscal stabilization policies2013-12-12T06:17:59ZHow do cyclical fiscal stabilisation policies affect welfare and government bond risk premia? Using a new Keynesian model we find that the effects of fiscal policy rules on the bond premium and welfare crucially depend on the source of business cycle fluctuations. The overall effect is estimated using Bayesian methods and the mechanism is deconstructed by examining the propagation mechanism of the different shocks. We find that the impact of fiscal policy cyclicality on welfare and risk premia is highly non-linear and that these effects are of a policy relevant magnitude. Finally, we find that the welfare cost of highly procyclical fiscal policies are very large, but also excessive fiscal stabilization can generate non-negligible welfare losses.Welfare and bond pricing implications of fiscal stabilization policies2013-12-12T06:17:59ZAbstracthttp://www.suomenpankki.fi/en/julkaisut/tutkimukset/keskustelualoitteet/Pages/dp2013_32.aspxFull texthttp://www.suomenpankki.fi/en/julkaisut/tutkimukset/keskustelualoitteet/Documents/BoF_DP_1332.pdfKai ChristoffelJuha KilponenIvan JaccardKai Christoffel - Ivan Jaccard - Juha Kilponen2013-12-11Bank of Finland Discussion PapersE32E52E62G1228Sep/A Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics
http://www.frbatlanta.org/documents/pubs/wp/wp1308.pdf
Atlanta Fed Working papers by Hirbod Assa, Amal Dabbous, and Nikolay GospodinovA Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics2013-09-28T06:41:59ZThis paper embeds a staggered price feature into the standard speculative storage model of Deaton and Laroque (1996). Intermediate goods inventory speculators are added as an additional source of intertemporal linkage, which helps us to replicate the stylized facts of the observed commodity price dynamics. Incorporating this type of friction into the model is motivated by its ability to increase price stickiness which, gives rise to a higher degree of persistence in the first two conditional moments of commodity prices. The structural parameters of our model are estimated by the simulated method of moments using actual prices for four agricultural commodities. Simulated data are then employed to assess the effects of our staggered price approach on the time series properties of commodity prices. Our results lend empirical support to the possibility of staggered prices.A Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics2013-09-28T06:41:59ZAbstracthttp://www.frbatlanta.org//pubs/wp/13_08.cfmFull texthttp://www.frbatlanta.org/documents/pubs/wp/wp1308.pdfHirbod AssaAmal DabbousNikolay GospodinovHirbod Assa, Amal Dabbous, and Nikolay Gospodinov2013-09-20Atlanta Fed Working papersC15E21G12O13Q1127Sep/Price effects of sovereign debt auctions in the Euro-zone: the role of the crisis
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1595.pdf
European Central Bank Working papers by Roel Beetsma, Massimo Giuliodori, Frank de Jong, Daniel WidijantoPrice effects of sovereign debt auctions in the Euro-zone: the role of the crisis2013-09-27T12:35:00ZExploring the period since the inception of the euro, we show that secondary-market yields on Italian public debt increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present for German public debt. However, these yield movements on the Italian debt are largely confined to the period of the crisis since mid-2007. We also find that there is some tendency of the yield movements to be larger when the demand for the new issue is smaller relative to its supply. Our results are consistent with a framework in which a small group of primary dealers require compensation for inventory risk and this compensation needs to be higher when market uncertainty is larger. We also find that the secondary-market behaviour of series with a maturity close to the auctioned series, but for which there is no auction, is very similar to the secondary-market behaviour of the auctioned series. These findings support an explanation of yield movements based on the behaviour of primary dealers with limited risk-bearing capacity.Price effects of sovereign debt auctions in the Euro-zone: the role of the crisis2013-09-27T12:35:00ZECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1595.pdfRoel BeetsmaDaniel WidijantoMassimo GiuliodoriFrank de JongRoel Beetsma, Massimo Giuliodori, Frank de Jong, Daniel Widijanto2013-09-27European Central Bank Working papersG12G1824Apr/Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics
http://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-12.pdf
Bank of Canada Working papers by Jianjian JinJump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics2013-04-24T06:19:00ZThis paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities. I provide evidence that the jump risk in volatility of long run consumption growth is a key component of the equity risk premium and the variance risk premium in financial markets. Moreover, I find that matching the VIX dynamics during the calibration process is crucial when comparing different jump channels. Specifically, a jump-in-growth LRR model generates a good fit of the average variance risk premium, but a poor fit of the dynamics of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate predictability of returns by the variance risk premium that is more consistent with the data.Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics2013-04-24T06:19:00ZAbstracthttp://www.bankofcanada.ca/2013/04/research/working-paper-2013-12/Full texthttp://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-12.pdfJianjian JinJianjian Jin2013-04Bank of Canada Working papersG12G1723Apr/A New Linear Estimator for Gaussian Dynamic Term Structure Models
http://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-10.pdf
Bank of Canada Working papers by Antonio Diez de los RiosA New Linear Estimator for Gaussian Dynamic Term Structure Models2013-04-23T06:19:00ZThis paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. This new estimator is an asymptotic least squares estimator defined by the no-arbitrage conditions upon which these models are built. We discuss some efficiency considerations of this estimator, and show that it is asymptotically equivalent to maximum likelihood estimation. Further, we note that our estimator remains easy-to-compute and asymptotically efficient in a variety of situations in which other recently proposed approaches lose their tractability. We provide an empirical application in the context of the Canadian bond market.A New Linear Estimator for Gaussian Dynamic Term Structure Models2013-04-23T06:19:00ZAbstracthttp://www.bankofcanada.ca/2013/04/research/working-paper-2013-10/Full texthttp://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-10.pdfAntonio Diez de los RiosAntonio Diez de los Rios2013-04Bank of Canada Working papersC13E43G1208Nov/Robust Inference in Linear Asset Pricing Models
http://www.frbatlanta.org/documents/pubs/wp/wp1217.pdf
Atlanta Fed Working papers by Nikolay Gospodinov, Raymond Kan, and Cesare RobottiRobust Inference in Linear Asset Pricing Models2012-11-08T06:23:59ZWe derive new results on the asymptotic behavior of the estimated parameters of a linear asset pricing model and their associated t-statistics in the presence of a factor that is independent of the returns. The inclusion of this "useless" factor in the model leads to a violation of the full rank (identification) condition and renders the inference nonstandard. We show that the estimated parameter associated with the useless factor diverges with the sample size but the misspecification-robust t-statistic is still well-behaved and has a standard normal limiting distribution. The asymptotic distributions of the estimates of the remaining parameters and the model specification test are also affected by the presence of a useless factor and are nonstandard. We propose a robust and easy-to-implement model selection procedure that restores the standard inference on the parameters of interest by identifying and removing the factors that do not contribute to improved pricing. The finite-sample properties of our asymptotic approximations and the practical relevance of our results are illustrated using simulations and an empirical application.Robust Inference in Linear Asset Pricing Models2012-11-08T06:23:59ZAbstracthttp://www.frbatlanta.org//pubs/wp/12_17.cfmFull texthttp://www.frbatlanta.org/documents/pubs/wp/wp1217.pdfNikolay GospodinovCesare RobottiRaymond KanNikolay Gospodinov, Raymond Kan, and Cesare Robotti2012-11-06Atlanta Fed Working papersC13C32G1208Nov/Analytical Solution for the Constrained Hansen-Jagannathan Distance under Multivariate Ellipticity
http://www.frbatlanta.org/documents/pubs/wp/wp1218.pdf
Atlanta Fed Working papers by Nikolay Gospodinov, Raymond Kan, and Cesare RobottiAnalytical Solution for the Constrained Hansen-Jagannathan Distance under Multivariate Ellipticity2012-11-08T06:23:59ZWe provide an in-depth analysis of the theoretical properties of the Hansen-Jagannathan (HJ) distance that incorporates a no-arbitrage constraint. Under a multivariate elliptical distribution assumption, we present explicit expressions for the HJ-distance with a no-arbitrage constraint, the associated Lagrange multipliers, and the SDF parameters in the case of linear SDFs. This approach allows us to analyze the benefits and costs of using the HJ-distance with a no-arbitrage constraint to rank asset pricing models.Analytical Solution for the Constrained Hansen-Jagannathan Distance under Multivariate Ellipticity2012-11-08T06:23:59ZAbstracthttp://www.frbatlanta.org//pubs/wp/12_18.cfmFull texthttp://www.frbatlanta.org/documents/pubs/wp/wp1218.pdfNikolay GospodinovCesare RobottiRaymond KanNikolay Gospodinov, Raymond Kan, and Cesare Robotti2012-11-06Atlanta Fed Working papersG1227Aug/House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy
http://www.frbsf.org/publications/economics/papers/2012/wp12-11bk.pdf
San Francisco Fed Working Papers by Paolo Gelain, Kevin J. Lansing, Caterina MendicinoHouse Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy2012-08-27T18:25:59ZDeciding whether policy should respond directly to financial variables requires a realistic economic model that captures the links between asset prices, credit expansion, and real economic activity. We show that introducing simple moving-average forecast rules for a subset of households can significantly magnify the volatility and persistence of house prices and household debt relative to otherwise similar models with fully rational expectations.House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy2012-08-27T18:25:59ZFull texthttp://www.frbsf.org/publications/economics/papers/2012/wp12-11bk.pdfKevin J. LansingCaterina MendicinoPaolo GelainPaolo Gelain, Kevin J. Lansing, Caterina Mendicino2012-08-17San Francisco Fed Working PapersE32E44G12O4027Aug/House prices, credit growth, and excess volatility: Implications for monetary and macroprudential policy
http://www.norges-bank.no/en/about/published/publications/working-papers/2012/wp-201208/
Central Bank of Norway (Norges Bank) Working Papers by Paolo Gelain, Kevin J. Lansing and Caterina MendicinoHouse prices, credit growth, and excess volatility: Implications for monetary and macroprudential policy2012-08-27T18:23:00ZProgress on the question of whether policymakers should respond directly to financial variables requires a realistic economic model that captures the links between asset prices, credit expansion, and real economic activity. Standard DSGE models with fully-rational expectations have difficulty producing large swings in house prices and household debt thatresemble the patterns observed in many developed countries over the past decade. We introduce excess volatility into an otherwise standard DSGE model by allowing a fraction of households to depart from fully-rational expectations. Specifically, we show that theintroduction of simple moving-average forecast rules for a subset of households can significantly magnify the volatility and persistence of house prices and household debt relative to otherwise similar model with fully-rational expectations. We evaluate various policy actions that might be used to dampen the resulting excess volatility, including a direct response to house price growth or credit growth in the central bank's interest rate rule, the imposition of more restrictive loan-to-value ratios, and the use of a modified collateral constraint that takes into account the borrower's loan-to-income ratio. Of these, we find that a loan-to-income constraint is the most effective tool for dampening overall excess volatility in the model economy. We find that while an interest-rate response to house price growth or credit growth can stabilize some economic variables, it can significantly magnify the volatility of others, particularly inflation.House prices, credit growth, and excess volatility: Implications for monetary and macroprudential policy2012-08-27T18:23:00ZAbstracthttp://www.norges-bank.no/en/about/published/publications/working-papers/2012/wp-201208/Full texthttp://www.norges-bank.no/pages/89928/Norges_Bank_Working_Paper_2012_08.pdfKevin J. LansingCaterina MendicinoPaolo GelainPaolo Gelain, Kevin J. Lansing and Caterina Mendicino2012-08-16Central Bank of Norway (Norges Bank) Working PapersE32E44G12O4027Aug/Macroeconomic implications of time-varying risk premia
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1463.pdf
European Central Bank Working papers by François GourioMacroeconomic implications of time-varying risk premia2012-08-27T18:21:00ZA large empirical literature suggests that risk premia on stocks or corporate bonds are large and countercyclical. This paper studies a simple real business cycle model with a small, exogenously time-varying risk of disaster, and shows that it can replicate several important facts documented in the literature. In the model, an increase in disaster risk leads to a decline of output, investment, stock prices, and interest rates, and an increase in the expected return on risky assets. The model matches well business cycle data and asset price data, and the countercyclicality of risk premia. I present an extension of the model with endogenous choice of leverage and endogenous default, and show that the model accounts well for the level and cyclicality of credit spreads, and in particular the relation between investment and credit spreads.Macroeconomic implications of time-varying risk premia2012-08-27T18:21:00ZECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1463.pdfFrançois GourioFrançois Gourio2012-08-21European Central Bank Working papersE32E44G1214Aug/Forecasting Bond Yields with Segmented Term Structure Models
http://www.bcb.gov.br/pec/wps/ingl/wps288.pdf
Central Bank of Brazil Working Papers by Caio Almeida, Axel Simonsen and José VicenteForecasting Bond Yields with Segmented Term Structure Models2012-08-14T16:12:00ZRecent empirical analysis of interest rate markets documents that bond demand and supply directly affect yield curve movements and bond risk premium. Motivated by those findings we propose a parametric interest rate model that allows for segmentation and local shocks in the term structure. We split the yield curve in segments presenting their own local movements that are globally interconnected by smoothing conditions. Two classes of segmented exponential models are derived and compared to successful term structure models based on a sequence of out-of-sample forecasting exercises. Adopting U.S. interest rates data available from 1985 to 2008, the segmented models present overall better forecasting performance suggesting that local shocks might indeed be important determinants of yield curve dynamics.Forecasting Bond Yields with Segmented Term Structure Models2012-08-14T16:12:00ZAbstracthttp://www.bcb.gov.br/pec/wps/port/wp288.asp?idiom=IFull texthttp://www.bcb.gov.br/pec/wps/ingl/wps288.pdfAxel SimonsenJosé Valentim M. VicenteCaio AlmeidaCaio Almeida, Axel Simonsen and José Vicente2012-07Central Bank of Brazil Working PapersC53C58G1210Jul/Housing Bubbles and Interest Rates
http://www.snb.ch/n/mmr/reference/working_paper_2012_07/source/working_paper_2012_07.n.pdf
Swiss National Bank Working Papers by Christian Hott and Terhi JokipiiHousing Bubbles and Interest Rates2012-07-10T17:38:59ZIn this paper we assess whether persistently too low interest rates can cause housing bubbles. For a sample of 14 OECD countries, we calculate the deviations of house prices from their (theoretically implied) fundamental value and define them as bubbles. We then estimate the impact that a deviation of short term interest rates from the Taylor-implied interest rates have on house price bubbles. We additionally assess whether interest rates that have remained low for a longer period of time have a greater impact on house price overvaluation. Our results indicate that there is a strong link between low interest rates and housing bubbles. This impact is especially strong when interest rates are "too low for too long". We argue that, by ensuring that rates do not deviate too far from Taylorimplied rates, central banks could lean against house price fluctuations without considering house price developments directly. If this is not possible, e.g. because a single monetary policy is confronted with a very heterogenous economic development within the currency area, alternative counter cyclical measures have to be considered.Housing Bubbles and Interest Rates2012-07-10T17:38:59ZFull texthttp://www.snb.ch/n/mmr/reference/working_paper_2012_07/source/working_paper_2012_07.n.pdfChristian HottTerhi JokipiiChristian Hott and Terhi Jokipii2012-07-10Swiss National Bank Working PapersE52G12R2128Jun/Campbell and Cochrane meet Melino and Yang: Reverse engineering the surplus ratio in a Mehra-Prescott economy
http://www.dallasfed.org/assets/documents/research/papers/2012/wp1205.pdf
Dallas Fed Working Papers by Jim DolmasCampbell and Cochrane meet Melino and Yang: Reverse engineering the surplus ratio in a Mehra-Prescott economy2012-06-28T06:25:59ZThe habit model of Campbell and Cochrane (1999) specifies a process for the 'surplus ratio'-the excess of consumption over habit, relative to consumption-rather than an evolution for the habit stock. It's not immediately apparent if their formulation can be accommodated within the Markov chain framework of Mehra and Prescott (1985). This note illustrates one way to create a Campbell and Cochrane-like model within the Mehra-Prescott framework. A consequence is that we can perform another sort of reverse-engineering exercize-we can calibrate the resulting model to match the stochastic discount factor derived in the Mehra-Prescott framework by Melino and Yang (2003). The Melino-Yang SDF, combined with Mehra and Prescott's consumption process, yields asset returns that exactly match the first and second moments of the data, as estimated by Mehra and Prescott. A byproduct of the exercize is an equivalent (in terms of SDFs) representation of Campbell-Cochrane preferences as a state-dependent version of standard time-additively-separable, constant relative risk aversion preferences. When calibrated to exactly match the asset return data, both the utility discount factor and the coefficient of relative risk aversion vary with the Markov state. Not surprisingly, our Campbell-Cochrane preferences are equivalent to a state-dependent representation with strongly countercyclical risk aversion. Less expected is the equivalent utility discount factor-it is uniformly greater than one, and countercyclical. In their analysis, Melino and Yang ruled out state-dependent specifications where the utility discount factor exceeds one. Our model gives one plausible rationalization for such a specification.Campbell and Cochrane meet Melino and Yang: Reverse engineering the surplus ratio in a Mehra-Prescott economy2012-06-28T06:25:59ZFull texthttp://www.dallasfed.org/assets/documents/research/papers/2012/wp1205.pdfJim DolmasJim Dolmas2012Dallas Fed Working PapersE44G1227Jun/Learning from Experience in the Stock Market
http://www.federalreserve.gov/pubs/feds/2012/201241/201241pap.pdf
Board of Governors of the Federal Reserve System FEDS series by Anton NakovLearning from Experience in the Stock Market2012-06-27T06:23:59ZWe study the dynamics of a Lucas-tree model with finitely lived individuals who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic fluctuations around the rational expectations equilibrium. This heterogeneous-agents economy can be approximated by a representative-agent model with constant-gain learning, where the gain parameter is related to the survival rate.Learning from Experience in the Stock Market2012-06-27T06:23:59ZAbstracthttp://www.federalreserve.gov/pubs/feds/2012/201241/201241abs.htmlFull texthttp://www.federalreserve.gov/pubs/feds/2012/201241/201241pap.pdfAnton NakovAnton Nakov2012-06-26Board of Governors of the Federal Reserve System FEDS seriesD83D84G1207Jun/No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates
http://www.resbank.co.za/Lists/News%20and%20Publications/Attachments/4946/WP1201.pdf
South African Reserve Bank Working Papers by Peter Aling and Shakill HassanNo-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates2012-06-07T12:41:00ZShort-term interest rate processes determine the term-structure of interest rates in an arbitrage-free market, and are central to the valuation of interest-rate derivatives. We obtain parameter estimates and compare the empirical fit of alternative one-factor continuous-time processes for the South African short-term interest rate (and hence of arbitrage-free term-structure models), using Gaussian estimation methods. We find support only for diffusions where the interest rate volatility is moderately sensitive to the level of the interest rate - with particularly clear results after the adoption of inflation targeting. Other common models with restrictions that either preclude this effect, or restrict it to be too high, do not fit the data. Differences in the specification of the drift function have no evident effect on model performance.No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates2012-06-07T12:41:00ZAbstracthttp://www.resbank.co.za/Publications/Detail-Item-View/Pages/Publications.aspx?sarbweb=3b6aa07d-92ab-441f-b7bf-bb7dfb1bedb4&sarblist=21b5222e-7125-4e55-bb65-56fd3333371e&sarbitem=4946Full texthttp://www.resbank.co.za/Lists/News%20and%20Publications/Attachments/4946/WP1201.pdfShakill HassanPeter AlingPeter Aling and Shakill Hassan2012-02-02South African Reserve Bank Working PapersC13E43G1201Jun/Estimating Inflation Expectations with a Limited Number of Inflation-Indexed Bonds
http://www.ijcb.org/journal/ijcb12q2a4.pdf
IJCB International Journal of Central Banking by Richard Finlay and Sebastian WendeEstimating Inflation Expectations with a Limited Number of Inflation-Indexed Bonds2012-06-01T12:41:00ZWe develop a novel technique to estimate inflation expectations and inflation risk premia when only a limited number of inflation-indexed bonds are available. The method involves pricing coupon-bearing inflation-indexed bonds directly in terms of an affine term structure model, and avoids the usual requirement of estimating zero-coupon real yield curves. We estimate the model using a non-linear Kalman filter and apply it to Australia. The results suggest that long-term inflation expectations in Australia are well anchored within the Reserve Bank of Australia's inflation target range of 2 to 3 percent, and that inflation expectations are less volatile than inflation risk premia.Estimating Inflation Expectations with a Limited Number of Inflation-Indexed Bonds2012-06-01T12:41:00ZAbstracthttp://www.ijcb.org/journal/ijcb12q2a4.htmFull texthttp://www.ijcb.org/journal/ijcb12q2a4.pdfRichard FinlaySebastian WendeRichard Finlay and Sebastian Wende201205-06IJCB International Journal of Central BankingE31E43G1201Jun/Liquidity and credit risk premia in government bond yields
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1440.pdf
European Central Bank Working papers by Jacob Ejsing, Magdalena Grothe, Oliver GrotheLiquidity and credit risk premia in government bond yields2012-06-01T12:35:59ZThis paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model-free and model-based gauges of sovereign credit premia, which are an important alternative to the information based on CDS markets. The results allow us to quantify the price impact of so-called "safe haven flows", which strongly affected bond markets in late 2008/early 2009 and again during some phases of the sovereign debt crisis. Thus, we show to what extent these effects disguised the increase of sovereign credit premia in the government yields of core euro area countries.Liquidity and credit risk premia in government bond yields2012-06-01T12:35:59ZECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1440.pdfOliver GrotheJacob EjsingMagdalena GrotheJacob Ejsing, Magdalena Grothe, Oliver Grothe2012-06-01European Central Bank Working papersE44G01G1230May/Pricing Deflation Risk with U.S. Treasury Yields
http://www.frbsf.org/publications/economics/papers/2012/wp12-07bk.pdf
San Francisco Fed Working Papers by Jens H.E. Christensen, Jose A.Lopez, Glenn D. RudebuschPricing Deflation Risk with U.S. Treasury Yields2012-05-30T06:23:00ZWe use an arbitrage-free term structure model with spanned stochastic volatility to determine the value of the deflation protection option embedded in Treasury inflation-protected securities (TIPS). The model accurately prices the option prior to the financial crisis when its value was near zero; at the peak of the crisis in late 2008 when deflationary concerns spiked sharply; and in the post-crisis period.Pricing Deflation Risk with U.S. Treasury Yields2012-05-30T06:23:00ZFull texthttp://www.frbsf.org/publications/economics/papers/2012/wp12-07bk.pdfJose A. LopezGlenn D. RudebuschJens H. E. ChristensenJens H.E. Christensen, Jose A.Lopez, Glenn D. Rudebusch2012-05-29San Francisco Fed Working PapersE43E47G12G1307May/The 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity
http://www.dnb.nl/en/publications/dnb-publications/dnb-working-papers-series/dnb-working-papers/working-papers-2012/dnb272322.jsp
Netherlands Bank DNB Working Papers by Theoharry Grammatikos and Robert VermeulenThe 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity2012-05-07T17:36:59ZThe 2007-2009 Financial Crisis: Changing Market Dynamics and the Impact of Credit Supply and Aggregate Demand Sensitivity2012-05-07T17:36:59ZAbstracthttp://www.dnb.nl/en/publications/dnb-publications/dnb-working-papers-series/dnb-working-papers/working-papers-2012/dnb272322.jspFull texthttp://www.dnb.nl/en/binaries/Working%20Paper%20344_tcm47-272321.pdfTheoharry GrammatikosRobert VermeulenTheoharry Grammatikos and Robert Vermeulen2012-05-03Netherlands Bank DNB Working PapersG01G12G3218Apr/What determines bank stock price synchronicity? Global evidence
http://www.suomenpankki.fi/en/julkaisut/tutkimukset/keskustelualoitteet/Documents/BoF_DP_1216.pdf
Bank of Finland Discussion Papers by Bill Francis - Iftekhar Hasan - Liang Song - Bernard YeungWhat determines bank stock price synchronicity? Global evidence2012-04-18T17:34:59Z?This paper examines what institutional and bank-specific factors determine bank stock price synchronicity. Using data on 37 countries from 1996-2007, we find that bank stocks are more aligned with the whole market (1) during the financial crisis; (2) in countries that have more credit provided by banks; (3) in countries that do not have explicit depository insurance; and (4) in countries that have lower bank-level disclosure. The results hold for both emerging and developed economy subsamples. Furthermore, in emerging economies, bank stocks in countries with higher degree of state-owned bank are more synchronized with the whole market, similarly, in developed markets, lower banking freedom enhances bank stock price synchronicity. Finally, the effects of state ownership, protection of property rights, and bank size are all more pronounced when determining bank stock price synchronicity during the financial crisis period.What determines bank stock price synchronicity? Global evidence2012-04-18T17:34:59ZAbstracthttp://www.suomenpankki.fi/en/julkaisut/tutkimukset/keskustelualoitteet/Pages/dp2012_16.aspxFull texthttp://www.suomenpankki.fi/en/julkaisut/tutkimukset/keskustelualoitteet/Documents/BoF_DP_1216.pdfBernard YeungLiang SongBill FrancisIftekhar HasanBill Francis - Iftekhar Hasan - Liang Song - Bernard Yeung2012-04-18Bank of Finland Discussion PapersG12G14G15G21G38N2011Apr/The Risk Premium and Long-Run Global Imbalances
http://research.stlouisfed.org/wp/2012/2012-009.pdf
St Louis Fed Working Papers by YiLi Chien and Kanda NaknoiThe Risk Premium and Long-Run Global Imbalances2012-04-11T06:23:59ZOur paper investigates whether the valuation effect caused by a large risk premium and a low risk-free rate can help to explain the enormous US current account and trade deficit observed in the past decade. To answer this question, we set up an endowment growth model in which investors are endowed with heterogeneous trading technologies. In our model, the average US investors load up more aggregate risk by investing in a risky asset abroad and issuing a risk-free asset. Thanks to the large risk premium as well as the low risk-free rate, the US can sustain a long-run trade deficit even as a debtor country. Quantitatively, we find that the valuation effect caused solely by the high risk premium and the low risk-free rate in our model, which is calibrated to match the external assets and liabilities of the US economy, can account for more than half of the observed trade deficit and current account deficit. Our results suggest that the current US trade deficit might not necessarily lead to net export increases or dollar depreciation in the future.The Risk Premium and Long-Run Global Imbalances2012-04-11T06:23:59ZAbstracthttp://research.stlouisfed.org/wp/more/2012-009Full texthttp://research.stlouisfed.org/wp/2012/2012-009.pdfKanda NaknoiYiLi ChienYiLi Chien and Kanda Naknoi2012-03St Louis Fed Working PapersE21F32F41G1210Apr/Measuring sovereign contagion in Europe
http://www.norges-bank.no/Upload/English/Publications/Working%20Papers/2012/wp_2012_05.pdf
Central Bank of Norway (Norges Bank) Working Papers by Massimiliano CaporinMeasuring sovereign contagion in Europe2012-04-10T17:36:59ZThis paper analyzes the sovereign risk contagion using CDS spreads for the major euro area countries. Using several econometric approaches (non linear regression, quantile regression and Bayesian quantile with heteroskedasticity) we show that propagation of shocks in Europe's CDS's has been remarkably constant even though in a signi cant part of the sample periphery countries have been extremely a ected by their sovereign debt and scal situations. Thus, the integration among the di erent countries is stable, and the risk spillover among countries is not a ected by the size of the shock.Measuring sovereign contagion in Europe2012-04-10T17:36:59ZAbstracthttp://www.norges-bank.no/en/about/published/publications/working-papers/2012/5/Full texthttp://www.norges-bank.no/Upload/English/Publications/Working%20Papers/2012/wp_2012_05.pdfLoriana PelizzonMassimiliano CaporinRoberto RigobonFrancesco RavazzoloMassimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo and Roberto Rigobon2012-04-10Central Bank of Norway (Norges Bank) Working PapersE58F34F36G12G1510Apr/Measuring sovereign contagion in Europe
http://www.norges-bank.no/Upload/English/Publications/Working%20Papers/2012/wp_2012_05.pdf
Central Bank of Norway (Norges Bank) Working Papers by Massimiliano CaporinMeasuring sovereign contagion in Europe2012-04-10T17:36:59ZThis paper analyzes the sovereign risk contagion using CDS spreads for the major euro area countries. Using several econometric approaches (non linear regression, quantile regression and Bayesian quantile with heteroskedasticity) we show that propagation of shocks in Europe's CDS's has been remarkably constant even though in a signi cant part of the sample periphery countries have been extremely a ected by their sovereign debt and scal situations. Thus, the integration among the di erent countries is stable, and the risk spillover among countries is not a ected by the size of the shock.Measuring sovereign contagion in Europe2012-04-10T17:36:59ZAbstracthttp://www.norges-bank.no/en/about/published/publications/working-papers/2012/5/Massimiliano CaporinMassimiliano Caporin2012-04-10Central Bank of Norway (Norges Bank) Working PapersE58F34F36G12G1504Apr/Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
http://www.bankofcanada.ca/wp-content/uploads/2012/04/wp2012-11.pdf
Bank of Canada Working papers by Bruno Feunou, Jean-Sébastien Fontaine, Abderrahim Taamouti, Roméo TedongapRisk Premium, Variance Premium and the Maturity Structure of Uncertainty2012-04-04T06:21:00ZRisk Premium, Variance Premium and the Maturity Structure of Uncertainty2012-04-04T06:21:00ZAbstracthttp://www.bankofcanada.ca/2012/04/publications/research/working-paper-2012-11/Full texthttp://www.bankofcanada.ca/wp-content/uploads/2012/04/wp2012-11.pdfJean-Sébastien FontaineBruno FeunouAbderrahim TaamoutiRoméo TedongapBruno Feunou, Jean-Sébastien Fontaine, Abderrahim Taamouti, Roméo Tedongap2012-03Bank of Canada Working papersG12G1329Mar/Market perception of fiscal sustainability: An application to the largest euro area economies
http://www.bportugal.pt/en-US/BdP%20Publications%20Research/wp201209.pdf
Bank of Portugal Working papers by Maximiano PinheiroMarket perception of fiscal sustainability: An application to the largest euro area economies2012-03-29T06:23:00ZDebt intolerance may rule out fiscal trajectories which otherwise appear to be sustainable. If fiscal policy lacks credibility, the interest on the sovereign debt may rise sharply and the country may lose market access. Indicators for assessing the market perception of fiscal sustainability should complement the conventional empirical sustainability analysis. I propose an approach for extracting information from sovereign bond data, which provides snapshots of market sentiment. It is based on a multi-borrower default-intensity pricing model, allowing for the cross-section estimation (under a risk-neutral probability measure) of the term-structure of the unobservable default-free interest rates, as well as (for all sovereigns included in the sample) of the probabilities of default (for any horizon deemed relevant) and the associated recovery rates given default. The approach is illustrated by the estimation of the model for Germany, France, Italy and Spain for every Friday from October 2, 2009 to November 25, 2011.Market perception of fiscal sustainability: An application to the largest euro area economies2012-03-29T06:23:00ZAbstracthttp://www.bportugal.pt/en-US/EstudosEconomicos/Publicacoes/Pages/BdPPublicationsResearchDetail.aspx?PublicationId=670Full texthttp://www.bportugal.pt/en-US/BdP%20Publications%20Research/wp201209.pdfMaximiano PinheiroMaximiano Pinheiro2012-03Bank of Portugal Working papersG12H63H68