We propose an approach to optimally select corporate bond portfolios based on bond-specific characteristics (maturity, credit rating, coupon, illiquidity, past performance, and issue size) and macroeconomic conditions (recessions and macroeconomic uncertainty measures). The approach relies on a parametric specification of the portfolio weights and allows us to consider a large cross-section of ...

This paper examines the capability of both accounting and market information in explaining the cross-sectional variation of five-year credit default swap spreads. The paper proposes a panel FAVAR methodological approach to combine the additional predictions from a long list of accounting and market fundamental variables, while controlling the macroeconomic environment of the firms. A comprehens...

developing countries, including iran, have a high degree of volatility of macroeconomic variables. fluctuations inex change rate, bank interest rate and inflation rate can create insecure environment for in vestorsin iran. hence, this study examined the impact of macroeconomic variables on the tobin’s q index for the sugar companies of tehran stock exchange (tse) during the period between1380-1...

In the wake of the global change of a new accumulation regime in major capitalist economies, the opening up and liberalisation process of emerging economies from the 1980s has provoked great expectations that resulted in recurrent disappointing crises. Studied as a stylized fact, the Turkish experience leads us to assess the role of liberalised macroeconomic environment, unsuitable economic pol...

Access to external finance, such as bank loans or trade credit, is a key determinant of a firm’s ability to develop, operate, and expand. Economic researchers have studied how various macroeconomic and microeconomic factors influence such access; for example, it has been shown to depend on the macroeconomic environment, since economic downturns tend to limit firms’ ability to borrow and banks’ ...

Like many in academia, Kocherlakota associates modern macroeconomics with a particular school of thought that takes something called the “Lucas critique” as its guiding principle. The Lucas critique refers to an argument put forth by the Nobel Prize-winning macroeconomist Robert Lucas about how the changing expectations of economic agents will confound forecasting and policy analysis based on m...

China presents several macroeconomic patterns that appear inconsistent with standard stylized facts about economic development and hence inconsistent with the standard neoclassical growth model. We show that Chinese macroeconomic patterns instead appear consistent with an environment where state control of factor markets can promote aggressive output goals. We consider the micro-institutional f...

Macroeconomic forecasts are used extensively in industry and government even though the historical accuracy and reliability is questionable. Moreover, professional forecasters lack a test environment in which they can test their forecasting ability. We design a play-money market game for economic variables that aggregates macro-economic information. We analyse participation and learning in such...