Zobrazeno 1 - 10
of 35
pro vyhledávání: '"Andrea Vedolin"'
Publikováno v:
The Journal of Finance. 76:935-976
We provide a theoretical characterization of international stochastic discount factors (SDFs) in incomplete markets under different degrees of market segmentation. Using 40 years of data on a cross-section of countries, we estimate model-free SDFs an
This paper studies asymmetry in economic activity over the business cycle. It develops a tractable multisector model of the economy in which complementarity across inputs causes aggregate activity to be left skewed with countercyclical volatility. We
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1f51ef820aa383b89f27d9fc52b4986a
https://doi.org/10.3386/w29499
https://doi.org/10.3386/w29499
This paper analyzes how limits to the complexity of statistical models used by market participants can shape asset prices. We consider an economy in which agents can only entertain models with at most k factors, where k may be distinct from the true
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4585d9c0d93f2b262f3984d04f14f663
https://doi.org/10.3386/w28408
https://doi.org/10.3386/w28408
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
Errors in survey expectations display waves of pessimism and optimism and significant sluggishness. This paper develops a novel theoretical framework of time-varying beliefs capturing these empirical facts. In our model, the dynamic beliefs arise end
Publikováno v:
SSRN Electronic Journal.
We provide a model-free framework to study the global factor structure of exchange rates. To this end, we propose a new methodology to estimate international stochastic discount factors (SDFs) that jointly price cross-sections of international assets
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f0ee7b87ab9eae52a4eaa5814b7b3288
https://doi.org/10.3386/w27892
https://doi.org/10.3386/w27892
This paper develops a theory of dynamic pessimism and its impact on asset prices. Notions of time-varying pessimism arise endogenously in our setting as a consequence of agents’ concern for model misspecification. We generalize the robust control a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3635356691feb2ed8ffef67e89ca890d
https://doi.org/10.3386/w26970
https://doi.org/10.3386/w26970
Publikováno v:
The Review of Financial Studies. 31:3019-3060
We revisit evidence of real effects of uncertainty shocks in the context of interest rate uncertainty. We document that adverse movements in interest rate uncertainty predict significant slowdowns in real activity, both at the aggregate and at the fi
Publikováno v:
The Journal of Finance. 72:1213-1252
We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with scheduled Federal Open Market Committee (FOMC) announcements. We show that these excess returns (i)