منابع مشابه
Macro - Finance
Macro-finance addresses the link between asset prices and economic fluctuations. Many models reflect the same rough idea: the market’s ability to bear risk varies over time, larger in good times, and less in bad times. Models achieve this similar result by quite different mechanisms, and I contrast their strengths and weaknesses. I outline how macro-finance models may illuminate macroeconomics,...
متن کاملPredictive Macro-Finance With Dynamic Partition Models
Dynamic partition models are used to predict movements in the term structure of interest rates. This allows one to understand historic cycles in the performance of how interest rates behave, and to offer policy makers guidance regarding future expectations on their evolution. Our approach allows for a random number of possible change points in the term structure of interest rates. We use partic...
متن کاملMoney and Finance in the Macro-economic Process
The historic terrain of macro-economic theory is the explanation of the levels and fluctuations of overall economic activity. Macro-economists have been especially interested in the effects of alternative fiscal, financial, and monetary policies. With the publication of J. M. Keynes’s General Theory in 1936 and the mathematical formalizations of his theory by J. R. Hicks (1937) and others, the ...
متن کاملMacro, Money and Finance: A Continuous-Time Approach∗
This chapter puts forward a manual for how to set up and solve a continuous time model that allows to analyze endogenous (1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the Volatility Paradox. Concepts such as (4) illiquidity and liquidity mismatch, (5) endogenous leverage, (6) the Paradox of Prudence, (7) undercapitalized sectors (8) time-va...
متن کاملForecasting the Stock Return Distribution Using Macro-Finance Variables
This paper proposes a new method to forecast S&P 500 return distribution by combining quantile regression models using macro-finance variables with volatility-based models including various standard EGARCH and stochastic volatility specifications. 30 density forecasting models are compared and combined in an out-of-sample forecasting exercise. Using macro-finance variables is found to help subs...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Finance
سال: 2017
ISSN: 1572-3097,1573-692X
DOI: 10.1093/rof/rfx010