Author: Gene Amromin
Publisher:
ISBN:
Category : Households
Languages : en
Pages : 54
Book Description
Precautionary Savings Motives and Tax Efficiency of Household Portfolios
Precautionary Savings Motives and Tax Efficiency of Household Portfolios
Author: Andreas Lehnert
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 32
Book Description
"This paper proposes a method for predicting the probability density of a variable of interest in the presence of model ambiguity. In the first step, each candidate parametric model is estimated minimizing the Kullback-Leibler 'distance' (KLD) from a reference nonparametric density estimate. Given that the KLD represents a measure of uncertainty about the true structure, in the second step, its information content is used to rank and combine the estimated models.
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 32
Book Description
"This paper proposes a method for predicting the probability density of a variable of interest in the presence of model ambiguity. In the first step, each candidate parametric model is estimated minimizing the Kullback-Leibler 'distance' (KLD) from a reference nonparametric density estimate. Given that the KLD represents a measure of uncertainty about the true structure, in the second step, its information content is used to rank and combine the estimated models.
Regulatory Restructuring
Author: United States. Congress. House. Committee on Financial Services. Subcommittee on Domestic Monetary Policy and Technology
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 256
Book Description
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 256
Book Description
Sectoral Productivity in the United States
Author:
Publisher:
ISBN:
Category : Industrial productivity
Languages : en
Pages : 48
Book Description
Publisher:
ISBN:
Category : Industrial productivity
Languages : en
Pages : 48
Book Description
Shifting Trends in Semiconductor Prices and the Pace of Technological Progress
Author: Ana Aizcorbe
Publisher:
ISBN:
Category : Semiconductors
Languages : en
Pages : 68
Book Description
Publisher:
ISBN:
Category : Semiconductors
Languages : en
Pages : 68
Book Description
Realized Jumps on Financial Markets and Predicting Credit Spreads
Author: George Eugene Tauchen
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 60
Book Description
This paper extends the jump detection method based on bi-power variation to identify realized jumps on financial markets and to estimate parametrically the jump intensity, mean, and variance. Finite sample evidence suggests that jump parameters can be accurately estimated and that the statistical inferences can be reliable, assuming that jumps are rare and large. Applications to equity market, treasury bond, and exchange rate reveal important differences in jump frequencies and volatilities across asset classes over time. For investment grade bond spread indices, the estimated jump volatility has more forecasting power than interest rate factors and volatility factors including option-implied volatility, with control for systematic risk factors. A market jump risk factor seems to capture the low frequency movements in credit spreads.
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 60
Book Description
This paper extends the jump detection method based on bi-power variation to identify realized jumps on financial markets and to estimate parametrically the jump intensity, mean, and variance. Finite sample evidence suggests that jump parameters can be accurately estimated and that the statistical inferences can be reliable, assuming that jumps are rare and large. Applications to equity market, treasury bond, and exchange rate reveal important differences in jump frequencies and volatilities across asset classes over time. For investment grade bond spread indices, the estimated jump volatility has more forecasting power than interest rate factors and volatility factors including option-implied volatility, with control for systematic risk factors. A market jump risk factor seems to capture the low frequency movements in credit spreads.
Yesterday's Bad Times are Today's Good Old Times
Author: Alan Kackmeister
Publisher:
ISBN:
Category : Prices
Languages : en
Pages : 68
Book Description
"This paper compares nominal price rigidity in retail stores during two 28-month periods: 1889- 1891 and 1997-1999. The 1889-1891 microdata price quotes show: 1. a lower frequency of price changes; 2. a smaller average magnitude of price changes; 3. fewer "small" price changes; and, 4. fewer temporary price reductions. These differences are consistent with the 1889-1891 period having a higher cost of changing prices resulting in less adjustment to transitory price shocks. Changes in the retailing environment that may have led to a higher cost of changing prices in 1889-1891 are discussed."
Publisher:
ISBN:
Category : Prices
Languages : en
Pages : 68
Book Description
"This paper compares nominal price rigidity in retail stores during two 28-month periods: 1889- 1891 and 1997-1999. The 1889-1891 microdata price quotes show: 1. a lower frequency of price changes; 2. a smaller average magnitude of price changes; 3. fewer "small" price changes; and, 4. fewer temporary price reductions. These differences are consistent with the 1889-1891 period having a higher cost of changing prices resulting in less adjustment to transitory price shocks. Changes in the retailing environment that may have led to a higher cost of changing prices in 1889-1891 are discussed."
A Closer Look at the Sensitivity Puzzle
Author: Meredith Beechey
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 46
Book Description
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 46
Book Description
Branch Banking, Bank Competition, and Financial Stability
Author: Mark Carlson
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 78
Book Description
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 78
Book Description
Does Trading Frequency Affect Subordinated Debt Spreads?
Author: Christopher Bianchi
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 58
Book Description
"Because illiquid bonds may be relatively poorly priced, the ability to infer investor perceptions of changes in a banking organization's financial health from such bonds may be obscured. To examine the time-series effect of trading frequency on subordinated debt spreads, we consider the liquidity of subordinated debt for large, complex U.S. banking organizations over the 1987:Q2 - 2002:Q4 period. Since trade volumes are unobservable, we construct various measures of weekly trading frequency from observed bond prices. Using these indirect liquidity measures, we find evidence that trading frequency does significantly affect observed subordinated debt spreads. We also provide estimates for the premium of illiquidity"--Abstract.
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 58
Book Description
"Because illiquid bonds may be relatively poorly priced, the ability to infer investor perceptions of changes in a banking organization's financial health from such bonds may be obscured. To examine the time-series effect of trading frequency on subordinated debt spreads, we consider the liquidity of subordinated debt for large, complex U.S. banking organizations over the 1987:Q2 - 2002:Q4 period. Since trade volumes are unobservable, we construct various measures of weekly trading frequency from observed bond prices. Using these indirect liquidity measures, we find evidence that trading frequency does significantly affect observed subordinated debt spreads. We also provide estimates for the premium of illiquidity"--Abstract.