Showing 1 - 10 of 94
The no-arbitrage affine Gaussian term structure model is used to analyse the impact of macroeconomic surprises on the nominal and the real term structure in the euro area and in the United States. We find that nominal rates are affected by surprises in economic growth, the labour market and the...
Persistent link: https://www.econbiz.de/10011099653
Estimates of the real term structure for the euro area implied by French index-linked bonds are obtained by means of a smoothing spline methodology. The real term structure allows computation of the constant-maturity inflation compensation, which is compared with the surveyed inflation...
Persistent link: https://www.econbiz.de/10009645794
This paper uses the celebrated no-arbitrage affine Gaussian term structure model applied to index-linked and standard government bonds to derive expected inflation rates and inflation risk premia, in the euro area and in the US. Maximum likelihood estimates show that the model describes the...
Persistent link: https://www.econbiz.de/10009645795
What kind of information do stock prices offer for predicting velocity? This paper develops previous work by Milton Friedman for the US economy and shows that a wealth effect derived from the stock market has negatively influenced the ratio of nominal income to a broad definition of money in a...
Persistent link: https://www.econbiz.de/10005780692
Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of a portfolio
Persistent link: https://www.econbiz.de/10005566195
This paper studies the effect of correlation in the retional beliefs of agents on the volatility of asset prices.
Persistent link: https://www.econbiz.de/10005640924
We examine the equity premium pizzle with the prespective of the theory of Rational Beliefs Equilibrium (RBE) and show that from the perspective of this theory there is no puzzle.
Persistent link: https://www.econbiz.de/10005640936
We empirically analyse the returns of both Italian and round-trip open-end funds managed by Italian asset management companies (SGRs) in the period 2003-2008. Taking into account a modified version of the capital asset pricing model (CAPM), we estimated a performance measure for each asset...
Persistent link: https://www.econbiz.de/10008865938
The ratio between current earnings per share and share price (the EP ratio) is widely considered to be an effective gauge of under/over-valuation of a corporation�s stock. Arguably, a more reliable indicator (the cyclically-adjusted EP ratio) can be obtained by replacing current earnings...
Persistent link: https://www.econbiz.de/10008764924
Financial markets witness high levels of activity at certain times, but remain calm at others. This makes the flow of physical time discontinuous. Therefore using physical time scales for studying financial time series, runs the risk of missing important activities. An alternative approach is...
Persistent link: https://www.econbiz.de/10009246864