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Macroeconomic Fluctuations and Equilibrium Discount Factors

Macroeconomic Fluctuations and Equilibrium Discount Factors »

Source: Macroeconomic Fluctuations and Equilibrium Discount Factors

Volume/Issue: 1996/118

Series: IMF Working Papers

Author(s): Charles Kramer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1996

ISBN: 9781451940886

Keywords: time series, stock returns, stochastic discount, statistics, linear model

The estimation of discount factors is a central issue in empirical finance, particularly in the literature on excess volatility. In particular, it is difficult to find empirical discount factors that are volatile e...

Risk Sharing and Financial Contagion in Asia

Risk Sharing and Financial Contagion in Asia »

Source: Risk Sharing and Financial Contagion in Asia : An Asset Price Perspective

Volume/Issue: 2011/242

Series: IMF Working Papers

Author(s): Phurichai Rungcharoenkitkul

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463922634

Keywords: risk sharing, contagion, affine term structure model, financial contagion, stochastic discount, bond, Financial Aspects of Economic Integration,

This paper assesses financial integration in Asia in terms of risk-sharing benefit versus financial-contagion cost. We construct a new measure of risk sharing based on a term structure model, which allows identific...

Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment*

Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment* »

Source: Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment

Volume/Issue: 2020/53

Series: IMF Working Papers

Author(s): Ralph Chami , Thomas Cosimano , Celine Rochon , and Julieta Yung

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 March 2020

ISBN: 9781513531861

Keywords: Interest rate increases, Discount rates, Risk premium, Financial markets, Financial instruments, Interest rate risk, non-linear stochastic discount factor, investment portfolio, term structure model, risk aversion distribution

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a mar...

Macroeconomic Fluctuations and Equilibrium Discount Factors

Macroeconomic Fluctuations and Equilibrium Discount Factors »

Volume/Issue: 1996/118

Series: IMF Working Papers

Author(s): Charles Kramer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1996

DOI: http://dx.doi.org/10.5089/9781451940886.001

ISBN: 9781451940886

Keywords: time series, stock returns, stochastic discount, statistics, linear model

The estimation of discount factors is a central issue in empirical finance, particularly in the literature on excess volatility. In particular, it is difficult to find empirical discount factors that are volatile e...

Risk Sharing and Financial Contagion in Asia
			: An Asset Price Perspective

Risk Sharing and Financial Contagion in Asia : An Asset Price Perspective »

Volume/Issue: 2011/242

Series: IMF Working Papers

Author(s): Phurichai Rungcharoenkitkul

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

DOI: http://dx.doi.org/10.5089/9781463922634.001

ISBN: 9781463922634

Keywords: risk sharing, contagion, affine term structure model, financial contagion, stochastic discount, bond, Financial Aspects of Economic Integration,

This paper assesses financial integration in Asia in terms of risk-sharing benefit versus financial-contagion cost. We construct a new measure of risk sharing based on a term structure model, which allows identific...

Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment

Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment »

Volume/Issue: 2020/53

Series: IMF Working Papers

Author(s): Ralph Chami , Thomas Cosimano , Celine Rochon , and Julieta Yung

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 March 2020

DOI: http://dx.doi.org/10.5089/9781513531861.001

ISBN: 9781513531861

Keywords: Interest rate increases, Discount rates, Risk premium, Financial markets, Financial instruments, Interest rate risk, non-linear stochastic discount factor, investment portfolio, term structure model, risk aversion distribution

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a mar...