Do Stationary Risk Premia Explain It All
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Do Stationary Risk Premia Explain It All
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Author : Martin D. D. Evans
language : en
Publisher:
Release Date : 1992
Do Stationary Risk Premia Explain It All written by Martin D. D. Evans and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.
Do Stationary Risk Premia Explain It All
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Author : Karen K. Lewis
language : en
Publisher:
Release Date : 1990
Do Stationary Risk Premia Explain It All written by Karen K. Lewis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.
Most studies of the expectations theory of the term structure reject the model. However, the significance of the rejections depend strongly upon the form of the test. In this paper, we use the pattern of rejection across maturities to back out the implied behavior of time-varying risk premia and/or market forecasts. We then use a new technique to test whether stationary risk premia alone can be responsible for these rejections. Surprisirj1y, this test is rejected for short maturities up to 6 months, suggesting that time-varying risk premia do not explain it all. We also describe hew this method can be used to test other asset pricing relationships.
Do Stationary Risk Premia Explain It All Evidence From The Term Struct
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Author : Martin D.D. Evans
language : en
Publisher:
Release Date : 2002
Do Stationary Risk Premia Explain It All Evidence From The Term Struct written by Martin D.D. Evans and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Most studies of the expectations theory of the term structure reject the model. However, the significance of the rejections depend strongly upon the form of the test. In this paper, we use the pattern of rejection across maturities to back out the implied behavior of time-varying risk premia and/or market forecasts. We then use a new technique to test whether stationary risk premia alone can be responsible for these rejections. Surprisirj1y, this test is rejected for short maturities up to 6 months, suggesting that time-varying risk premia do not explain it all. We also describe hew this method can be used to test other asset pricing relationships.
Do Risk Premia Explain It All
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Author : Martin D. D. Evans
language : en
Publisher:
Release Date : 1990
Do Risk Premia Explain It All written by Martin D. D. Evans and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Bonds categories.
Do Risk Premia Explain It All Evidence From The Term Structure
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Author : Martin D.D. Evans
language : es
Publisher:
Release Date : 1990
Do Risk Premia Explain It All Evidence From The Term Structure written by Martin D.D. Evans and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.
Risk Premia In The Term Structure Of Interest Rates
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Author : Dennis Bams
language : en
Publisher:
Release Date : 2000
Risk Premia In The Term Structure Of Interest Rates written by Dennis Bams and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Interest rate risk categories.
Nonlinear Time Series Analysis Of Economic And Financial Data
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Author : Philip Rothman
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Nonlinear Time Series Analysis Of Economic And Financial Data written by Philip Rothman and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.
Financial Markets And Monetary Policy
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Author : Jeffrey A. Frankel
language : en
Publisher: MIT Press
Release Date : 1995
Financial Markets And Monetary Policy written by Jeffrey A. Frankel and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Business & Economics categories.
In this second collection of his writings on financial markets (the first, On Exchange Rates, covered international finance), Jeffrey Frankel turns his attention to domestic markets, with special attention to how national monetary policy is handled. The decade of the 1980s left many central bankers disillusioned with monetarism, so that the question of the optimal nominal anchor remains an open one. In this second collection of his writings on financial markets (the first, On Exchange Rates, covered international finance), Jeffrey Frankel turns his attention to domestic markets, with special attention to how national monetary policy is handled. The fifteen papers are divided into three sections, each introduced by the author. They cover, respectively, optimal portfolio diversification, indicators of expected inflation, and the determination of monetary policy in the face of uncertainty. In the first section, Frankel explores what information the theory of optimal portfolio diversification can give the macroeconomist. In the second section, he considers what economic variables central bankers might use to gauge whether monetary policy is too tight or too loose. And in the final section, he looks at the range of uncertainty over policy effects and how that complicates coordination of macroeconomic policymaking. The book concludes with a sympathetic analysis of nominal GDP targeting.
The Equity Risk Premium A Contextual Literature Review
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Author : Laurence B. Siegel
language : en
Publisher: CFA Institute Research Foundation
Release Date : 2017-12-08
The Equity Risk Premium A Contextual Literature Review written by Laurence B. Siegel and has been published by CFA Institute Research Foundation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-12-08 with Business & Economics categories.
Research into the equity risk premium, often considered the most important number in finance, falls into three broad groupings. First, researchers have measured the margin by which equity total returns have exceeded fixed-income or cash returns over long historical periods and have projected this measure of the equity risk premium into the future. Second, the dividend discount model—or a variant of it, such as an earnings discount model—is used to estimate the future return on an equity index, and the fixed-income or cash yield is then subtracted to arrive at an equity risk premium expectation or forecast. Third, academics have used macroeconomic techniques to estimate what premium investors might rationally require for taking the risk of equities. Current thinking emphasizes the second, or dividend discount, approach and projects an equity risk premium centered on 3½% to 4%.
Financial Markets And The Real Economy
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Author : John H. Cochrane
language : en
Publisher: Now Publishers Inc
Release Date : 2005
Financial Markets And The Real Economy written by John H. Cochrane and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.