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Published in 2019 at "Empirical Economics"
DOI: 10.1007/s00181-018-1431-x
Abstract: This paper investigates the role of time-varying jump tail risk component of market variance risk premium for predicting credit spreads in US and Japanese corporate bond markets. Based on a semi-nonparametric estimation procedure from option…
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Keywords:
risk premium;
jump tail;
credit spreads;
risk ... See more keywords
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Published in 2020 at "Open Economies Review"
DOI: 10.1007/s11079-020-09605-3
Abstract: There exist several exchange rate models that associate macroeconomic variables with the exchanges rates. In this article, we focus on uncovered interest parity (UIP) which relates the expected exchange rate changes to the intercountry interest…
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Keywords:
time varying;
varying risk;
risk premium;
interest ... See more keywords
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Published in 2019 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2019.101135
Abstract: Abstract There is a general consensus emerging that the uncovered interest parity (UIP) does not hold or ex-post exchange rate change predicts the interest rate differential in the wrong direction. This paper provides a pioneer…
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Keywords:
failure;
risk;
risk premium;
uncovered interest ... See more keywords
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Published in 2018 at "Journal of Banking and Finance"
DOI: 10.1016/j.jbankfin.2018.07.005
Abstract: The illiquidity risk premium hypothesis implies the existence of a positive relation between illiquidity in the option market and option returns. Based on numerous studies within the extant literature examining the roles of informed traders…
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Keywords:
risk premium;
illiquidity risk;
illiquidity;
option ... See more keywords
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Published in 2019 at "Journal of Economic Behavior and Organization"
DOI: 10.1016/j.jebo.2019.09.006
Abstract: This paper proposes a hybrid two-horizon risk premium model with one- and two-period maturity debts, among which the risky asset and the riskless one depend on agents’ investment horizon. A representative investor compares at each…
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Keywords:
premium;
risk premium;
market;
term structure ... See more keywords
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Published in 2017 at "Journal of Economics and Business"
DOI: 10.1016/j.jeconbus.2017.06.003
Abstract: This paper analyzes the determinants of the inflation risk premium in Brazil during the Inflation Targeting period. In particular, different from the existing studies, we analyze the influence of both public debt expectations and disagreement…
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Keywords:
risk premium;
inflation;
debt;
inflation risk ... See more keywords
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Published in 2018 at "Journal of International Money and Finance"
DOI: 10.1016/j.jimonfin.2018.05.007
Abstract: We investigate the negative correlation between housing markets and the current account in Spain. By employing robust sign restrictions, which we derive from a DSGE model for a currency union, we analyze the effects of…
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Keywords:
savings glut;
risk premium;
housing;
current account ... See more keywords
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Published in 2020 at "Journal of Financial and Quantitative Analysis"
DOI: 10.1017/s0022109020000228
Abstract: Abstract This article investigates how the asset-return variance risk premium changes leverage. I find that the premium reduces leverage by increasing risk-neutral bankruptcy probability and costs in a model where asset returns have stochastic variance…
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Keywords:
variance;
leverage;
risk premium;
asset ... See more keywords
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Published in 2019 at "Journal of Asset Management"
DOI: 10.1057/s41260-019-00111-x
Abstract: There is much empirical evidence for the existence of a negative volatility risk premium. We consider how the volatility risk premium affects the returns of portfolios implementing seven popular option strategies. We find that option…
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Keywords:
risk premium;
expectations basic;
volatility risk;
performance expectations ... See more keywords
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Published in 2020 at "Applied Economics"
DOI: 10.1080/00036846.2020.1783430
Abstract: ABSTRACT The aims of this study are twofold. First, to determine the sign and magnitude of the skewness risk premium (SRP) in the Italian index option market using two procedures: (i) skewness swap contracts, (ii)…
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Keywords:
skewness risk;
risk;
risk premium;
term ... See more keywords
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Published in 2017 at "Journal of Financial Economic Policy"
DOI: 10.1108/jfep-12-2016-0096
Abstract: Purpose This study aims to examine short- and long-run effects of specific macroeconomic conditions on risk premium estimates on lending. Design/methodology/approach Empirical estimates are based on error correction and autoregressive distributed lag models. Findings The…
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Keywords:
risk;
risk premium;
uncertainty;
premium estimates ... See more keywords