Zobrazeno 1 - 10
of 39
pro vyhledávání: '"Riccardo Colacito"'
We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks to macroeconomic aggregates, equity prices, and currencies. An increase in country’s output volatility is associated with a decrea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::df8b38834d5722b1830757d9904a8536
http://hdl.handle.net/11565/4039285
http://hdl.handle.net/11565/4039285
Autor:
Riccardo Colacito, Fousseni Chabi-Yo
Publikováno v:
Management Science. 65:3541-3558
We propose a new entropy-based correlation measure (coentropy) to evaluate the performance of international asset pricing models. Coentropy captures the codependence of two random variables beyond normality. We document that the coentropy of internat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::64f042497b091f5e69df0d8f8abcda15
https://doi.org/10.1287/mnsc.2017.3017
https://doi.org/10.1287/mnsc.2017.3017
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f4df1209539974399fc16befab06f74e
https://doi.org/10.2139/ssrn.4015823
https://doi.org/10.2139/ssrn.4015823
Publikováno v:
Journal of Financial Economics
We find a strong link between currency excess returns and the relative strength of the business cycle. Buying currencies of strong economies and selling currencies of weak economies generates high returns both in the cross section and time series of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7a836c4e67502a1cecd2f02cdb222f19
https://openaccess.city.ac.uk/id/eprint/22867/1/BusCycleRisk.pdf
https://openaccess.city.ac.uk/id/eprint/22867/1/BusCycleRisk.pdf
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f69dbe7dccd9384de5c8f02f656e7615
https://doi.org/10.2139/ssrn.3743205
https://doi.org/10.2139/ssrn.3743205
Publikováno v:
The Journal of Finance. 73:2719-2756
We study a risk-sharing model featuring multiple countries with recursive prefer- ences defined over bundles of consumption goods whose supply is subject to both global and local short- and long-run shocks. First, we quantify the extent of con- tagio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a9cf7ff4a4cf6584bae00f619b619ed2
https://doi.org/10.1111/jofi.12720
https://doi.org/10.1111/jofi.12720
We characterize the equilibrium of a complete markets economy with multiple agents featuring a preference for the timing of the resolution of uncertainty. Utilities are defined over an aggregate of two goods. We provide conditions under which the sol
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c8e65cddf7b3c85cb711bdb13cf85f17
http://hdl.handle.net/11565/4012544
http://hdl.handle.net/11565/4012544
Publikováno v:
Review of Financial Studies. 29:2069-2109
We show that introducing time-varying skewness in the distribution of ex- pected growth prospects in an otherwise standard endowment economy can up to double the model implied equity Sharpe ratios, and produce a substantial amount of fluctuation in e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4bde1c6ff345746d4f2e835b3172e0d4
https://doi.org/10.1093/rfs/hhw009
https://doi.org/10.1093/rfs/hhw009
We produce novel empirical evidence on the relevance of output volatility (vol) shocks for both currency and international quantity dynamics. Focusing on G-17 countries, we document that: (1) consumption and output vols are imperfectly correlated wit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3817e945cbd30c88585124b539ff8b28
https://doi.org/10.3386/w25276
https://doi.org/10.3386/w25276