Download or read book Do Stationary Risk Premia Explain It All Evidence from the Term Struct written by Martin D. Evans and published by . This book was released on 1990 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Do Stationary Risk Premia Explain it All Evidence from the Term Struct written by Martin D.D. Evans and published by . This book was released on 2002 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Do Stationary Risk Premia Explain it All written by Martin D. D. Evans and published by . This book was released on 1992 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Do Risk Premia Explain it All written by Martin D. D. Evans and published by . This book was released on 1990 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Do risk premia explain it all evidence from the term structure written by Martin D.D. Evans and published by . This book was released on 1990 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Risk Premia in the Term Structure of Interest Rates written by Dennis Bams and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Nonlinear Time Series Analysis of Economic and Financial Data written by Philip Rothman and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Financial Markets and Monetary Policy written by Jeffrey A. Frankel and published by MIT Press. This book was released on 1995 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Essays on the Term Structure of Interest Rates Monetary Policy and Business Cycle written by Tong-hŏn Kim and published by . This book was released on 2000 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modelling the Term Structure written by Adrian Rodney Pagan and published by . This book was released on 1995 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The term structure of risk premia new evidence from the financial crisis written by Tobias Berg and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Statistical Methods in Finance written by G. S. Maddala and published by . This book was released on 1996-12-11 with total page 760 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference work for teaching at graduate level and research in empirical finance. The chapters cover a wide range of statistical and probabilistic methods applied to a variety of financial methods and are written by internationally renowned experts.
Download or read book Economics Letters Volume 55 No 1 15 August 1997 written by Eric Maskin,Editor and published by . This book was released on 1997 with total page 880 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of Empirical Finance written by and published by . This book was released on 1997 with total page 1096 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Download or read book The Canadian Journal of Economics written by and published by . This book was released on 2000 with total page 1234 pages. Available in PDF, EPUB and Kindle. Book excerpt: A general interest journal in economics.
Download or read book The C F A Digest written by Institute of Chartered Financial Analysts and published by . This book was released on 1990 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt:
