1,721,039 research outputs found
Conditional Dynamics and the Multihorizon Risk-Return Trade-Off
No full textThese files contain code for the implementation of the MHR tes
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Essays Concerning the Fundamental Determinants of International Asset Prices
Full text linkIn the first chapter of this dissertation, I uncover an economic source of exposure to global risk that drives international asset prices. Countries which are more central in the global trade network have lower interest rates and currency risk premia. As a result, an investment strategy that is long in currencies of peripheral countries and short in currencies of central countries explains unconditional carry trade returns. To explain these findings, I present a general equilibrium model where central countries’ consumption growth is more exposed to global consumption growth shocks. This causes the currencies of central countries to appreciate in bad times, resulting in lower interest rates and currency risk premia. In the data, central countries’ consumption growth is more correlated with world consumption growth than peripheral countries’, further validating the proposed mechanism.In the second chapter of this dissertation (with Hanno Lustig), we show that measures of distance explain exchange rate covariation. Exchange rates strongly co-vary across currencies against a base currency (e.g., the dollar). We uncover a gravity equation in the factor structure: The key determinant of a currency’s exchange rate (e.g., the CHF/USD) beta on the common base factor (e.g., the dollar factor) is the distance between this country (e.g., Switzerland) and the base country (e.g., the U.S.): the farther the country, the larger the beta. Shared language, legal origin, shared border, resource similarity and colonial linkages significantly lower the betas. On average, the exchange rates of peripheral countries tend to have high R2s in factor regressions, while central countries have low R2s. If the pricing kernel loadings on global risk factors are more similar for country pairs that are closer, a no-arbitrage model of interest rates and exchange rates replicates this distance-dependent factor structure
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
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The Valuation of Mortgage-Backed Securities
Full text linkThis dissertation focuses on a major challenge to asset pricing theory: the valuation of mortgage-backed securities.In the first chapter of this dissertation (with Mikhail Chernov and Francis A. Longstaff), we develop a three-factor no-arbitrage model for valuing mortgage-backed securities in which we solve for the implied prepayment function from the cross-section of market prices. This model closely fits the cross-section of mortgage-backed security prices without needing to specify an econometric prepayment model. We find that implied prepayments are generally higher than actual prepayments, providing direct evidence of significant macroeconomic-driven prepayment risk premiums in mortgage-backed security prices. We also find evidence that mortgage-backed security prices were significantly affected by Fannie Mae credit risk and the Federal Reserve’s quantitative easing programs.In the second chapter, I study the relationship between funding liquidity and the valuation of mortgage-backed securities. Most of the financing for mortgage-backed securities occurs through a trade known as a dollar roll, the simultaneous sale and purchase of forward contracts on mortgage-backed securities that is analogous to a repurchase agreement. I develop a four-factor no-arbitrage model for valuing mortgage-backed securities that allows for the valuation of dollar rolls. Unlike previous models of the dollar roll, I allow for the possibility of a prepayment risk premium. I develop a new measure of mortgage specialness that is independent of prepayment risk premia and agency credit spreads. I find that specialness is related to measures of balance sheet constraints and primary dealer positions in mortgage-backed securities
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How Does the Bond Market Perceive Macroeconomic Risks under Zero Lower Bound?
Full text linkI present a joint model of yield curves and macroeconomic variables with an explicit effective zero lower bound by employing the concept of shadow interest rates. Bond yields are derived by assuming no arbitrage opportunities. However, they are not affine due to the zero lower bound. I thus develop a new approximate bond pricing formula that is correct up to a second order. To describe macroeconomic dynamics, I employ a standard New Keynesian macroeconomic model and estimate the model parameters for the US and Japan. In the first chapter, I conduct three different types of counterfactual analyses of monetary policy. First, I evaluate a counterfactual analysis of raising the target inflation level. For both the US and Japan, I find that a higher inflation target steepens the yield curve when the current policy interest rate is not constrained by the zero lower bound. On the other hand, a higher inflation target increases long-term nominal yields while keeping short-term nominal yields unchanged when the current policy interest rate is constrained by the zero lower bound. Second, I study the effect of suddenly ending the zero interest rate policy. Third, I examine the impact of introducing a negative interest rate on the bond markets and the macro economy. In the second chapter, I investigate whether the empirical findings documented before the zero lower bound period holds during the zero lower bound period. For example, I study how macroeconomic risks impact the shape of yield curves by looking at their decompositions and their factor loadings. In the third chapter, I conduct two additional exercises. First, I incorporate a Markov regime switching feature into a New Keynesian macro finance model with the zero lower bound for nominal bond pricing. Second, I study the excess sensitivity of long-distant real forward interest rates to changes in the short-term nominal interest rate using a dataset of Japanese fixed income investors
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