Search Results
Showing results 1 to 10 of approximately 164.
(refine search)
Report
Broker-dealer risk appetite and commodity returns
Etula, Erkko
(2009-11-01)
This paper shows that the risk-bearing capacity of U.S. securities brokers and dealers is a strong determinant of risk premia in commodity derivatives markets. Commodity derivatives are the principal instrument used by producers and purchasers of commodities to hedge against commodity price risk. Broker-dealers play an important role in this hedging process because commodity derivatives are traded primarily over the counter. I capture the limits of arbitrage in this market in a simple asset pricing model where producers and purchasers of commodities share risk with broker-dealers who are ...
Staff Reports
, Paper 406
Working Paper
Consumption and asset prices with recursive preferences: Continuous-time approximations to discrete-time models
Fisher, Mark
(1999)
This paper presents tractable and efficient numerical solutions to general equilibrium models of asset prices and consumption where the representative agent has recursive preferences. It provides a discrete-time presentation of the approach of Fisher and Gilles (1999), treating continuous-time representations as approximations to discrete-time "truth." First, exact discrete-time solutions are derived, illustrating the following ideas: (i) The price-dividend ratio (such as the wealth-consumption ratio) is a perpetuity (the canonical infinitely lived asset), the value of which is the sum of ...
FRB Atlanta Working Paper
, Paper 99-18
Journal Article
Monetary policy and asset price bubbles
Rudebusch, Glenn D.
(2005)
The appropriate monetary policy response to an asset price bubble remains unclear and is one of the most contentious issues currently facing central banks. Some have argued that monetary policy should be used to contain or reduce an asset price bubble in order to alleviate its adverse consequences on the economy, while others have argued that such a policy would be both impractical and unproductive given real-world uncertainties about the nature or even existence of bubbles. This Economic Letter examines how policymakers might choose between alternative courses of action when confronted with ...
FRBSF Economic Letter
Speech
Recessions and recoveries associated with asset-price movements: what do we know? : a speech at the Stanford Institute for Economic Policy Research, Stanford, California, January 12, 2005, and the Real Estate Roundtable, Washington, D.C., January 27, 2005
Ferguson, Roger W.
(2005)
Speech
, Paper 69
Working Paper
Quantitative asset pricing implications of endogenous solvency constraints
Jermann, Urban J.; Alvarez, Fernando
(1999)
The authors study the asset pricing implications of an economy where solvency constraints are determined to efficiently deter agents from defaulting. The authors present a simple example for which efficient allocations and all equilibrium elements are characterized analytically. The main model produces large equity premia and risk premia for long-term bonds with low risk aversion and a plausibly calibrated income process. The authors characterize the deviations from independence of aggregate and individual income uncertainty that produce equity and term premia.
Working Papers
, Paper 99-5
Working Paper
Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models
Robotti, Cesare; Gospodinov, Nikolay; Kan, Raymond
(2015-10-01)
This paper derives explicit expressions for the asymptotic variances of the maximum likelihood and continuously updated GMM estimators under potentially misspecified models. The proposed misspecification-robust variance estimators allow the researcher to conduct valid inference on the model parameters even when the model is rejected by the data. Although the results for the maximum likelihood estimator are only applicable to linear asset-pricing models, the asymptotic distribution of the continuously updated GMM estimator is derived for general, possibly nonlinear, models. The large ...
FRB Atlanta Working Paper
, Paper 2015-9
Working Paper
Examining macroeconomic models through the lens of asset pricing
Hansen, Lars Peter; Borovicka, Jaroslav
(2012)
Dynamic stochastic equilibrium models of the macro economy are designed to match the macro time series including impulse response functions. Since these models aim to be structural, they also have implications for asset pricing. To assess these implications, we explore asset pricing counterparts to impulse response functions. We use the resulting dynamic value decomposition (DVD) methods to quantify the exposures of macroeconomic cash flows to shocks over alternative investment horizons and the corresponding prices or compensations that investors must receive because of the exposure to such ...
Working Paper Series
, Paper WP-2012-01
Working Paper
Taxes, regulations, and asset prices
Prescott, Edward C.; McGrattan, Ellen R.
(2001)
U.S. stock prices have increased much faster than gross domestic product GDP) in the postwar period. Between 1962 and 2000, corporate equity value relative to GDP nearly doubled. In this paper, we determine what standard growth theory says the equity value should be in 1962 and 2000, the two years for which our steady-state assumption is a reasonable one. We find that the actual valuations were close to the theoretical predictions in both years. The reason for the large run-up in equity value relative to GDP is that the average tax rate on dividends fell dramatically between 1962 and 2000. We ...
Working Papers
, Paper 610
Working Paper
Implications of heterogeneity in preferences, beliefs and asset trading technologies for the macroeconomy
Cole, Harold L.; Chien, YiLi; Lustig, Hanno
(2014-07-14)
This paper analyzes and computes the equilibria of economies with large numbers of heterogeneous agents who have different asset trading technologies, preferences, and beliefs. We illustrate the value of our method by using it to evaluate the implications of these heterogeneities through several quantitative exercises.
Working Papers
, Paper 2014-14
Working Paper
What happened to the US stock market? Accounting for the last 50 years
Peralta-Alva, Adrian; Boldrin, Michele
(2009)
The extreme volatility of stock market values has been the subject of a large body of literature. Previous research focused on the short run because of a widespread belief that, in the long run, the market reverts to well understood fundamentals. Our work suggests this belief should be questioned as well. First, we show actual dividends cannot account for the secular trends of stock market values. We then consider a more comprehensive measure of capital income. This measure displays large secular fluctuations that roughly coincide with changes in stock market trends. Under perfect foresight, ...
Working Papers
, Paper 2009-042
FILTER BY year
FILTER BY Bank
Federal Reserve Bank of St. Louis 24 items
Board of Governors of the Federal Reserve System (U.S.) 23 items
Federal Reserve Bank of New York 23 items
Federal Reserve Bank of San Francisco 22 items
Federal Reserve Bank of Atlanta 19 items
Federal Reserve Bank of Minneapolis 12 items
Federal Reserve Bank of Cleveland 9 items
Federal Reserve Bank of Chicago 7 items
Federal Reserve Bank of Philadelphia 7 items
Federal Reserve Bank of Dallas 6 items
Federal Reserve Bank of Kansas City 6 items
Federal Reserve Bank of Boston 4 items
Federal Reserve Bank of Richmond 2 items
show more (8)
show less
FILTER BY Series
Working Papers 29 items
Staff Reports 18 items
FRB Atlanta Working Paper 16 items
Speech 12 items
Finance and Economics Discussion Series 11 items
Working Paper Series 11 items
FRBSF Economic Letter 9 items
Working Papers (Old Series) 9 items
Staff Report 8 items
Proceedings 5 items
Proceedings - Economic Policy Symposium - Jackson Hole 4 items
Economic Review 3 items
Economic Synopses 3 items
International Finance Discussion Papers 3 items
Business Review 2 items
Economic Policy Review 2 items
Globalization Institute Working Papers 2 items
Liberty Street Economics 2 items
Research Working Paper 2 items
Review 2 items
Chicago Fed Letter 1 items
Current Issues in Economics and Finance 1 items
Econ Focus 1 items
Economic Perspectives 1 items
National Economic Trends 1 items
Quarterly Review 1 items
Southwest Economy 1 items
Supervisory Research and Analysis Working Papers 1 items
The Region 1 items
Working Paper 1 items
Working Papers in Applied Economic Theory 1 items
show more (26)
show less
FILTER BY Content Type
Working Paper 86 items
Journal Article 28 items
Report 26 items
Speech 12 items
Conference Paper 9 items
Discussion Paper 2 items
Newsletter 1 items
show more (2)
show less
FILTER BY Author
Robotti, Cesare 8 items
Rocheteau, Guillaume 7 items
Adrian, Tobias 6 items
Guo, Hui 6 items
Lansing, Kevin J. 6 items
Guidolin, Massimo 5 items
Kan, Raymond 5 items
Lagos, Ricardo 5 items
Atkeson, Andrew 4 items
Gospodinov, Nikolay 4 items
Lettau, Martin 4 items
Alvarez, Fernando 3 items
Chien, YiLi 3 items
Ferguson, Roger W. 3 items
Juvenal, Luciana 3 items
Kohn, Donald L. 3 items
Ludvigson, Sydney 3 items
Sack, Brian P. 3 items
Wang, Pengfei 3 items
Weill, Pierre-Olivier 3 items
Yellen, Janet L. 3 items
Zha, Tao 3 items
Benzoni, Luca 2 items
Boldrin, Michele 2 items
Boyarchenko, Nina 2 items
Etula, Erkko 2 items
Fisher, Mark 2 items
Goldstein, Robert S. 2 items
Haubrich, Joseph G. 2 items
Kambhu, John 2 items
Kamstra, Mark 2 items
Kehoe, Patrick J. 2 items
Larrain, Borja 2 items
Lustig, Hanno 2 items
Miao, Jianjun 2 items
Pennacchi, George 2 items
Peralta-Alva, Adrian 2 items
Rigobon, Roberto 2 items
Ritchken, Peter H. 2 items
Rudebusch, Glenn D. 2 items
Savickas, Robert 2 items
Shin, Hyun Song 2 items
Swanson, Eric T. 2 items
Vissing-Jorgensen, Annette 2 items
Wen, Yi 2 items
Williams, John C. 2 items
http://fedora:8080/fcrepo/rest/objects/authors/ 2 items
Abel, Andrew B. 1 items
Ackert, Lucy F. 1 items
Adam, Klaus 1 items
Afonso, Gara 1 items
Afonso, Gara M. 1 items
Anderson, Christopher 1 items
Armenter, Roc 1 items
Balduzzi, Pierluigi 1 items
Barczi, Nathan 1 items
Barlevy, Gadi 1 items
Bartolini, Leonardo 1 items
Bekaert, Geert 1 items
Bergin, Paul R. 1 items
Berkowitz, Jeremy 1 items
Bernhardt, Robert 1 items
Bocola, Luigi 1 items
Bogusz, Theodore 1 items
Bolmatis, Athanasios 1 items
Bordo, Michael D. 1 items
Borovicka, Jaroslav 1 items
Braun, Matias 1 items
Cakir Melek, Nida 1 items
Calomiris, Charles W. 1 items
Campello, Murillo 1 items
Carlstrom, Charles T. 1 items
Cerrato, Mario 1 items
Chatterjee, Satyajit 1 items
Chen, Kaiji 1 items
Chen, Long 1 items
Christiano, Lawrence J. 1 items
Church, Bryan K. 1 items
Cipriani, Marco 1 items
Cogley, Timothy 1 items
Cole, Harold L. 1 items
Collin-Dufresne, Pierre 1 items
Collins, Susan M. 1 items
Croce, Mariano 1 items
Crosby, John 1 items
D'Amico, Stefania 1 items
Dennis, Richard 1 items
Diercks, Anthony M. 1 items
Dolmas, Jim 1 items
Duca, John V. 1 items
Durham, J. Benson 1 items
Eisfeldt, Andrea L. 1 items
Eitelman, Paul 1 items
Engel, Charles 1 items
Engstrom, Eric 1 items
Falato, Antonio 1 items
Fawley, Brett W. 1 items
Filardo, Andrew J. 1 items
Fostel, Ana 1 items
Fratzscher, Marcel 1 items
Friedman, Evan 1 items
Fuerst, Timothy S. 1 items
Fugazza, Carolina 1 items
Garlappi, Lorenzo 1 items
Gelain, Paolo 1 items
Gilchrist, Simon 1 items
Gilles, Christian 1 items
Giorgianni, Lorenzo 1 items
Goernemann, Nils 1 items
Goodhart, Charles A. E. 1 items
Guerrieri, Veronica 1 items
Gürkaynak, Refet S. 1 items
Hansen, Lars Peter 1 items
Hatchondo, Juan Carlos 1 items
Heuvel, Skander J. van den 1 items
Himmelberg, Charles P. 1 items
Hodges, Stewart 1 items
Hofmann, Boris 1 items
Houser, Daniel 1 items
Huang, Kevin X. D. 1 items
Huberman, Gur 1 items
Hugonnier, Julien 1 items
Hyde, Stuart 1 items
Ilut, Cosmin 1 items
Iwata, Kazumasa 1 items
Jahan-Parvar, Mohammad R. 1 items
Jermann, Urban J. 1 items
Killgo, Kory A. 1 items
Kishor, N. Kundan 1 items
Knox, Benjamin 1 items
Kocherlakota, Narayana R. 1 items
Koenig, Evan F. 1 items
Kondor, Peter 1 items
Kovner, Anna 1 items
Krishnamurthy, Arvind 1 items
Leduc, Sylvain 1 items
Lev, Baruch 1 items
Lewis, Karen K. 1 items
Li, Yiting 1 items
Ling, David C. 1 items
Liu, Zheng 1 items
Maasoumi, Esfandiar 1 items
Mamaysky, Harry 1 items
Marcet, Albert 1 items
Martin, Robert F. 1 items
Mattesini, Fabrizio 1 items
McGrattan, Ellen R. 1 items
Mishkin, Frederic S. 1 items
Motto, Roberto 1 items
Muir, Tyler 1 items
Nakajima, Makoto 1 items
Naknoi, Kanda 1 items
Nandi, Saikat 1 items
Natal, Jean-Marc 1 items
Nicodano, Giovanna 1 items
Nicolini, Juan Pablo 1 items
Nosal, Ed 1 items
Ono, Sadayuki 1 items
Ozdagli, Ali K. 1 items
Pintus, Patrick A. 1 items
Plosser, Charles I. 1 items
Poole, William 1 items
Prescott, Edward C. 1 items
Ren, Jue 1 items
Ria, Federica 1 items
Robinson, Kenneth J. 1 items
Rosen, Samuel 1 items
Rosenberg, Joshua V. 1 items
Rostagno, Massimo 1 items
Sarno, Lucio 1 items
Sekeris, Evan G. 1 items
Shanken, Jay 1 items
Smith, Stephen D. 1 items
Steelman, Aaron 1 items
Stern, Gary H. 1 items
Stock, James H. 1 items
Thornton, Daniel L. 1 items
Timmerman, Allan 1 items
Trehan, Bharat 1 items
Velikov, Mihail 1 items
Vitanza, Justin 1 items
Wachter, Jessica A. 1 items
Waggoner, Daniel F. 1 items
Wang, Jian 1 items
Wang, Zhenyu 1 items
Watson, Mark W. 1 items
Wei, Chenyang 1 items
Wheelock, David C. 1 items
Whitelaw, Robert 1 items
Winkler, Fabian 1 items
Wright, Randall 1 items
Wu, Hao 1 items
Xing, Yuhang 1 items
Ying, Chao 1 items
Yogo, Motohiro 1 items
Zhang, Lu 1 items
Zhang, Ping 1 items
Zhang, Xiaoyan 1 items
Zhu, Qi 1 items
anonymous 1 items
show more (195)
show less
FILTER BY Jel Classification
G12 23 items
C13 5 items
E32 5 items
E44 5 items
G14 4 items
C12 3 items
E52 3 items
F31 3 items
G10 3 items
G11 3 items
G15 3 items
G24 3 items
C52 2 items
E02 2 items
E22 2 items
F30 2 items
G1 2 items
G18 2 items
G21 2 items
G23 2 items
G28 2 items
G32 2 items
C22 1 items
D40 1 items
D51 1 items
D83 1 items
D84 1 items
E12 1 items
E21 1 items
E31 1 items
E4 1 items
E5 1 items
E58 1 items
F10 1 items
F40 1 items
G00 1 items
G13 1 items
G17 1 items
G3 1 items
G33 1 items
G40 1 items
G50 1 items
G51 1 items
H74 1 items
Q47 1 items
R33 1 items
show more (41)
show less
FILTER BY Keywords
Asset pricing 164 items
Monetary policy 26 items
Stock market 15 items
Financial markets 12 items
Econometric models 11 items
Risk 11 items
Inflation (Finance) 10 items
Liquidity (Economics) 9 items
Interest rates 7 items
Foreign exchange rates 6 items
Consumption (Economics) 5 items
Investments 5 items
Rate of return 5 items
Forecasting 4 items
Risk management 4 items
Stock - Prices 4 items
Uncertainty 4 items
Wealth 4 items
Liquidity 4 items
Arbitrage 3 items
Financial crises 3 items
Housing - Prices 3 items
Macroeconomics 3 items
continuously updated GMM 3 items
maximum likelihood 3 items
model misspecification 3 items
Balance of trade 2 items
Capital 2 items
Federal Open Market Committee 2 items
Financial risk management 2 items
Income 2 items
Learning 2 items
Portfolio management 2 items
Prices 2 items
Recessions 2 items
Repurchase agreements 2 items
Swaps (Finance) 2 items
bank loans 2 items
congestion 2 items
endogenous TFP 2 items
financial intermediaries 2 items
heterogeneous firms 2 items
rank test 2 items
search 2 items
unidentified models 2 items
Bond Interest Rates 2 items
Business cycles 2 items
Capital Structure 2 items
Exchange rates 2 items
Financial Frictions 2 items
Money 2 items
Trading Volume 2 items
Alternative asset classes 1 items
Asset-liability management 1 items
Balance of payments 1 items
Bank deregulation 1 items
Bank liquidity 1 items
Bankruptcy 1 items
Banks and banking, Central - Japan 1 items
Basel capital accord 1 items
Capital and Ownership Structure 1 items
Cash flow 1 items
Coase Conjecture 1 items
Commercial real estate 1 items
Commitment 1 items
Commodity Markets 1 items
Consumer mistakes 1 items
Consumption-based asset pricing 1 items
Corporations 1 items
Corporations - Finance 1 items
Cost of Business Cycles 1 items
Counterfeits and counterfeiting 1 items
Credit 1 items
Credit Constraints 1 items
Credit Spreads 1 items
Credit and Equity Shocks 1 items
Credit derivatives 1 items
Duration 1 items
Economic growth 1 items
Employment forecasting 1 items
Energy Forecasting 1 items
Equilibrium (Economics) - Mathematical models 1 items
Equity 1 items
Eurodollar market 1 items
Expectations 1 items
External Positions 1 items
Federal funds rate 1 items
Financial Risk and Risk Management 1 items
Financial leverage 1 items
Financing Policy 1 items
Foreign exchange 1 items
Fraud 1 items
Going public (Securities) 1 items
Goodwill 1 items
Great Britain 1 items
Hedging (Finance) 1 items
Hellinger distance 1 items
Heterogeneous Agents 1 items
Households - Economic aspects 1 items
Households - Finance 1 items
Housing 1 items
Illinois budget 1 items
Inflation risk 1 items
Institutional investors 1 items
Intermediation (Finance) 1 items
Internal rationality 1 items
International finance 1 items
International risk sharing 1 items
Intertemporal CAPM 1 items
Issuance Costs 1 items
Japanese yen 1 items
Liabilities (Accounting) 1 items
Liquidation 1 items
Long-run risk 1 items
Long-run risks 1 items
Market segmentation 1 items
Markets 1 items
Markov processes 1 items
Model Validation 1 items
Monetary policy - United States 1 items
Mortgage-backed securities 1 items
Municipal bonds 1 items
Over-the-counter markets 1 items
Pricing 1 items
Random walks (Mathematics) 1 items
Rational expectations (Economic theory) 1 items
Regression analysis 1 items
Regulation 1 items
Regulatory arbitrage 1 items
Return decomposition 1 items
Securities 1 items
Speculation 1 items
Stochastic analysis 1 items
Stock exchanges 1 items
Subjective beliefs 1 items
Survey Data 1 items
Survey Forecasts 1 items
Taxation 1 items
Taylor's rule 1 items
Technology 1 items
Tobin taxes 1 items
Trade volume 1 items
Value of Firms 1 items
Vector autoregression 1 items
Welfare 1 items
asymptotic approximation 1 items
balance sheets 1 items
betting against beta 1 items
bonds 1 items
bubbles 1 items
capital asset pricing model 1 items
capital regulations 1 items
central banks and their policies 1 items
commodity prices 1 items
comovements 1 items
cost of capital 1 items
cutoff productivity 1 items
debt 1 items
dynamic equilibrium models 1 items
economic conditions - United States 1 items
entropy 1 items
entrusted loans 1 items
equilibrium survival 1 items
equity premiums 1 items
estimation theory 1 items
financial intermediation 1 items
financial stability 1 items
futures markets 1 items
general equilibrium 1 items
goodness-of-fit 1 items
heterogeneity 1 items
heterogeneous beliefs 1 items
heterogeneous preferences. 1 items
house prices 1 items
institutional asymmetry 1 items
irrelevant risk factors 1 items
large banks 1 items
liquidity constraints 1 items
liquidity premium 1 items
macro-finance 1 items
macroprudential 1 items
misspecification-robust tests 1 items
misspecified models 1 items
model aggregation 1 items
municipal liquidity facility 1 items
nonbank trustees 1 items
nonloan investment 1 items
optimal decisions 1 items
oracle inequality 1 items
over-the-counter 1 items
private equity 1 items
production economy 1 items
risk appetite 1 items
risk factors 1 items
risk parity 1 items
risk taking 1 items
shadow loans 1 items
small banks 1 items
spurious risk factors 1 items
state and local borrowing 1 items
stochastic discount factor 1 items
technological innovations 1 items
term structures 1 items
test for overidentifying restrictions 1 items
trading halts 1 items
working capital 1 items
show more (215)
show less