Zobrazeno 1 - 10
of 64
pro vyhledávání: '"Zhaogang Song"'
Publikováno v:
Journal of Finance and Data Science, Vol 8, Iss , Pp 255-295 (2022)
We find that interest rate variance risk premium (IRVRP) — the difference between implied and realized variances of interest rates — is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return ho
Externí odkaz:
https://doaj.org/article/f7f08a0e0f794d18a3c871d1897ffb2a
Autor:
Grishchenko, Olesya V.1 olesya.v.grishchenko@frb.gov, Zhaogang Song2 zsong8@jhu.edu, Hao Zhou3,4 zhouh7@sustech.edu.cn
Publikováno v:
Journal of Finance & Data Science. Nov2022, Vol. 8, p255-295. 41p.
Publikováno v:
The Journal of Finance and Data Science. 8:255-295
Bond returns are time-varying and predictable. What economic forces drive this variation? To answer this long-standing question, we propose a consumption-based model with recursive preferences, long-run risks, and inflation non-neutrality. Our model
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b52d91c9ad5a0dadae975ccf7b7fa4f6
https://doi.org/10.1016/j.jfds.2022.09.001
https://doi.org/10.1016/j.jfds.2022.09.001
Publikováno v:
The Journal of Finance. 77:3249-3287
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::90e01d094a9472956eccbb7e3e68be7e
https://doi.org/10.1111/jofi.13180
https://doi.org/10.1111/jofi.13180
Publikováno v:
Journal of Financial Economics. 143:57-79
In sharp contrast to most previous crisis episodes, the Treasury market experienced severe stress and illiquidity during the COVID-19 crisis, raising concerns that the safe-haven status of US Treasuries may be eroding. We document large shifts in Tre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::aa71fd4e61841ab0b67aaab34312288a
https://doi.org/10.1016/j.jfineco.2021.05.044
https://doi.org/10.1016/j.jfineco.2021.05.044
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8157ca4847989bd23ee07e431c3f62ae
https://doi.org/10.2139/ssrn.4053044
https://doi.org/10.2139/ssrn.4053044
Publikováno v:
Journal of International Money and Finance
We compare the interventions conducted by the Federal Reserve in response to the subprime and COVID–19 crises with respect to their effectiveness in reducing disaster risk. Using model-free measures of disaster risk derived from daily options data,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eaa7093f0364d7d2c64f85d79c8ab98e
https://pubmed.ncbi.nlm.nih.gov/34949899
https://pubmed.ncbi.nlm.nih.gov/34949899
Publikováno v:
Working paper (Federal Reserve Bank of Philadelphia).
Agency mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac have historically traded in separate forward markets. We study the consequences of this fragmentation, showing that market liquidity endogenously concentrated in Fannie Mae
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::286eccc487ac96c33f4187c13339b9a5
https://doi.org/10.21799/frbp.wp.2021.25
https://doi.org/10.21799/frbp.wp.2021.25
Publikováno v:
Management Science. 65:3111-3130
We show that the beta with respect to an index of global ex ante tail risk concerns (𝔾ℝ𝕀𝕏), which we construct using out-of-the-money options on multiple global assets, negatively drives cross-sectional return variations across asset class
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::03c65076ff1686ce988173ab0964be87
https://doi.org/10.1287/mnsc.2017.2949
https://doi.org/10.1287/mnsc.2017.2949