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  • 2016
  • Working Paper

Credit-Market Sentiment and the Business Cycle

By: David Lopez-Salido, Jeremy C. Stein and Egon Zakrajsek
Using U.S. data from 1929 to 2013, we show that elevated credit-market sentiment in year t – 2 is associated with a decline in economic activity in years t and t + 1. Underlying this result is the existence of predictable mean reversion in credit-market conditions.... View Details
Keywords: Investment; Credit; Macroeconomics
Related
  • 10 Nov 2009
  • Working Paper Summaries

Endowments, Fiscal Federalism, and the Cost of Capital for States: Evidence from Brazil, 1891-1930

Keywords: by André C. Martínez Fritscher & Aldo Musacchio
  • 2023
  • Working Paper

The Market for Sharing Interest Rate Risk: Quantities and Asset Prices

By: Ishita Sen, Umang Khetan, Jane Li and Ioana Neamtu
We study the extent of interest rate risk sharing across the financial system using granular positions and transactions data in interest rate swaps. We show that pension and insurance (PF&I) sector emerges as a natural counterparty to banks and corporations: overall,... View Details
Keywords: Interest Rates; Investment Funds; Banks and Banking; Insurance; Investment Banking; Risk and Uncertainty
Related
  • 15 Jun 2012
  • Working Paper Summaries

Reaching for Yield in the Bond Market

Keywords: by Bo Becker & Victoria Ivashina
  • 24 Jun 2010
  • Working Paper Summaries

“An Unfair Advantage”? Combining Banking with Private Equity Investing

Keywords: by Lily Fang, Victoria Ivashina & Josh Lerner; Banking
  • 30 Jun 2015
  • First Look

First Look: June 30, 2015

strongly anti-inflationary monetary policy, while the decrease in bond risks after 2000 is attributed to a renewed focus on output fluctuations and a shift from transitory to persistent monetary policy shocks. Endogenous responses of bond... View Details
Keywords: Carmen Nobel
  • Research Summary

Output and asset price fluctuations

What are the sources of business cycles? How are these shocks propagated in the economy? Why are their effects so persistent? How can we explain asset price fluctuations? How are shocks transmitted internationally?To study these questions, I have developed a series... View Details

  • 12 Feb 2008
  • First Look

First Look: February 12, 2007

variation in average asset returns than aggregate or non-stockholder consumption risk and provides more plausible economic magnitudes. We find that risk aversion estimates around 10 can match observed View Details
Keywords: Martha Lagace
  • 10 Feb 2009
  • First Look

First Look: February 10, 2009

premia determined mainly by the product of risk aversion and the nominal-real covariance. The concavity of the yield curve—the level of intermediate-term bond yields, relative to the average of short- and... View Details
Keywords: Martha Lagace
  • Web

Behavioral Finance & Financial Stability

sentiment in the US stock market More Info Leverage and the Beta Anomaly By: Malcolm P. Baker & Jeffrey Wurgler AUG 2020 Baker, Hoeyer, and Wurgler propose a simple tradeoff theory to explain the well-known weak empirical relationship between beta View Details
  • Web

Finance - Faculty & Research

variation in bond risk premia. Specifically, bond risk premia are high when aggregate MBS duration is high. The model offers an explanation for why long-term rates could appear... View Details
  • Web

Research - Behavioral Finance & Financial Stability

Campbell , Carolin Pflueger & Luis M. Viceira JUN 2015 Campbell, Pflueger, and Viceira develop a macroeconomic model of habit formation that explains both bond and stock returns. They argue that the risk View Details
  • 26 Aug 2014
  • First Look

First Look: August 26

rates to monetary shocks appears to reflect changes in term premia. One mechanism that may generate such variation in term premia is based on demand effects due to the existence of what we call "yield-oriented" investors. We... View Details
Keywords: Sean Silverthorne
  • 22 Mar 2011
  • First Look

First Look: March 22

nominal and inflation-indexed bond excess returns even after adjusting for liquidity, providing evidence for both time-varying real interest rate risk premia and View Details
Keywords: Sean Silverthorne
  • 07 May 2013
  • First Look

First Look: May 7

decomposes excess return predictability in U.S. and U.K. inflation-indexed and nominal government bonds. We find that nominal bonds reflect time-varying inflation and real rate risk premia, while... View Details
Keywords: Carmen Nobel
  • 18 May 2010
  • First Look

First Look: May 18

payout policy, profitability, and industry. We consider interpretations of these results based on both time-varying risk premia and mispricing. Our results are primarily... View Details
Keywords: Martha Lagace
  • 11 Sep 2018
  • First Look

New Research and Ideas, September 11, 2018

M. Viceira Abstract—Our new model of consumption-based habit formation preferences generates loglinear, homoscedastic macroeconomic dynamics and time-varying risk premia on... View Details
Keywords: Dina Gerdeman
  • 08 Oct 2013
  • First Look

First Look: October 8

differential between inflation-indexed and nominal bond yields, we separately test for time-varying real rate risk premia, inflation risk premia, and liquidity View Details
Keywords: Sean Silverthorne
  • 27 May 2009
  • First Look

First Look: May 27, 2009

Finally, the long-run risks model implies extremely low yields and negative-term premia on inflation-indexed bonds. Download the paper from SSRN ($5): http://papers.nber.org/papers/W14788 Measuring the... View Details
Keywords: Martha Lagace
  • 20 Sep 2016
  • First Look

September 20, 2016

excessively countercyclical inflation in addition to the standard inflationary bias. With countercyclical inflation, investors require risk premia on nominal debt, making nominal debt issuance costly for low... View Details
Keywords: Sean Silverthorne