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1.
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We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrag[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jag[...]
2006 | Text | Staff Working Paper - Document de travail du personnel |
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3.
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In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, w[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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Asymmetric shocks are common in markets; securities' payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous[...]
2007 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the[...]
2008 | Text | Staff Working Paper - Document de travail du personnel |
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6.
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The authors examine the ability of economic models with regime shifts to rationalize and explain the risk-aversion and pricing-kernel puzzles put forward in Jackwerth (20[...]
2005 | Text | Staff Working Paper - Document de travail du personnel |
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7.
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The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount fa[...]
2005 | Text | Staff Working Paper - Document de travail du personnel |
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