Jump tail risk premium and predicting US and Japanese credit spreads
Sign Up to like & getrecommendations! 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… read more here.
Keywords: risk premium; jump tail; credit spreads; risk ... See more keywords
A Panel Data Analysis of Uncovered Interest Parity and Time-Varying Risk Premium
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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… read more here.
Keywords: time varying; varying risk; risk premium; interest ... See more keywords
Does risk premium help uncover the uncovered interest parity failure?
Sign Up to like & getrecommendations! 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… read more here.
Keywords: failure; risk; risk premium; uncovered interest ... See more keywords
The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market
Sign Up to like & getrecommendations! 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… read more here.
Keywords: risk premium; illiquidity risk; illiquidity; option ... See more keywords
Term structure of interest rates: Modelling the risk premium using a two horizons framework
Sign Up to like & getrecommendations! 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… read more here.
Keywords: premium; risk premium; market; term structure ... See more keywords
Disagreement in expectations about public debt, monetary policy credibility and inflation risk premium
Sign Up to like & getrecommendations! 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… read more here.
Keywords: risk premium; inflation; debt; inflation risk ... See more keywords
Current account dynamics and the housing cycle in Spain
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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… read more here.
Keywords: savings glut; risk premium; housing; current account ... See more keywords
Asset Variance Risk Premium and Capital Structure
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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… read more here.
Keywords: variance; leverage; risk premium; asset ... See more keywords
Performance expectations of basic options strategies may be different than you think
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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… read more here.
Keywords: risk premium; expectations basic; volatility risk; performance expectations ... See more keywords
The use of option prices to assess the skewness risk premium
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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)… read more here.
Keywords: skewness risk; risk; risk premium; term ... See more keywords
Expectations, uncertainty and risk premium
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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… read more here.
Keywords: risk; risk premium; uncertainty; premium estimates ... See more keywords