Limiting risk premia in EMEs: The role of FX reserves
Sign Up to like & getrecommendations! Published in 2020 at "Economics Letters"
DOI: 10.1016/j.econlet.2020.109567
Abstract: Abstract Low debt and inflation, and higher growth reduce default risk. FX reserves do not matter for risk whenever CDS spreads are below the median. But higher FX buffers clearly reduce risk at the higher… read more here.
Keywords: risk; role reserves; premia emes; limiting risk ... See more keywords
Reexamining time-varying bond risk premia in the post-financial crisis era
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2019.103777
Abstract: Abstract Since the 2008 financial crisis, international interest rates have moved trivially over time, and have become less autocorrelated. Some previous empirical findings are thus no longer valid. This paper reexamines the changes in interest… read more here.
Keywords: financial crisis; time; bond risk; risk premia ... See more keywords
Time to build and bond risk premia
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2020.104024
Abstract: Abstract This paper studies the impact of time to build on the term structure of interest rates in an otherwise standard (Cox et al., 1985a; Cox et al., 1985b, CIR) production economy. Due to time to build,… read more here.
Keywords: time build; production; bond; time ... See more keywords
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
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DOI: 10.1016/j.jfineco.2018.09.008
Abstract: This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We estimate a flexible affine model based on a joint time series of underlying… read more here.
Keywords: 500 vix; volatility; vix markets; risk premia ... See more keywords
Effects of debt mutualization in a monetary union with endogenous risk premia : Can Eurobonds contribute to debt stabilization?
Sign Up to like & getrecommendations! Published in 2017 at "Structural Change and Economic Dynamics"
DOI: 10.1016/j.strueco.2017.11.004
Abstract: This paper analyses debt stabilization in a monetary union that features endogenous risk premia. In particular, debt stabilization in two diametrically opposed regimes is compared. In the first regime, the “national fiscal discipline regime”, financial… read more here.
Keywords: risk; debt stabilization; risk premia; monetary union ... See more keywords
A Model of Monetary Policy and Risk Premia
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DOI: 10.1111/jofi.12539
Abstract: We develop a dynamic asset pricing model in which monetary policy affects the risk premium component of the cost of capital. Risk†tolerant agents (banks) borrow from risk†averse agents (i.e., take deposits) to fund… read more here.
Keywords: risk premia; risk; model monetary; monetary policy ... See more keywords
Risk Premia and the Real Effects of Money
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DOI: 10.1257/aer.20180203
Abstract: This paper proposes a flexible-price theory of the role of money in an economy with incomplete idiosyncratic risk sharing. When the risk premium goes up, money provides a safe store of value that prevents interest… read more here.
Keywords: risk; real effects; money; effects money ... See more keywords