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Identifying long-run risks: a bayesian mixed-frequency approach

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Cited by:

  1. Segal, Gill & Shaliastovich, Ivan & Yaron, Amir, 2015. "Good and bad uncertainty: Macroeconomic and financial market implications," Journal of Financial Economics, Elsevier, vol. 117(2), pages 369-397.
  2. Christian Gouriéroux & Alain Monfort & Sarah Mouabbi & Jean-Paul Renne, 2021. "Disastrous Defaults [Risk premia and term premia in general equilibrium]," Review of Finance, European Finance Association, vol. 25(6), pages 1727-1772.
  3. Coimbra, Nuno & Kim, Daisoon & Rey, Hélène, 2022. "Central Bank Policy and the concentration of risk: Empirical estimates," Journal of Monetary Economics, Elsevier, vol. 125(C), pages 182-198.
  4. Wieland, Volker & Binder, Michael & Lieberknecht, Philipp & Quintana, Jorge, 2017. "Model Uncertainty in Macroeconomics: On the Implications of Financial Frictions," CEPR Discussion Papers 12013, C.E.P.R. Discussion Papers.
  5. Horvath, Jaroslav, 2020. "Macroeconomic disasters and the equity premium puzzle: Are emerging countries riskier?," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
  6. G. Gopalakrishna, 2017. "Robust test of Long Run Risk and Valuation risk model," Working Papers wp1107, Dipartimento Scienze Economiche, Universita' di Bologna.
  7. Timmermann, Allan & Pettenuzzo, Davide & Valkanov, Rossen, 2014. "A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics," CEPR Discussion Papers 10160, C.E.P.R. Discussion Papers.
  8. Dongho Song, 2017. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," The Review of Financial Studies, Society for Financial Studies, vol. 30(8), pages 2761-2817.
  9. Jaroslav Borovička & John Stachurski, 2020. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," Journal of Finance, American Finance Association, vol. 75(3), pages 1457-1493, June.
  10. Christopher Anderson, 2021. "Consumption-Based Asset Pricing When Consumers Make Mistakes," Finance and Economics Discussion Series 2021-015, Board of Governors of the Federal Reserve System (U.S.).
  11. Susanto Basu & Giacomo Candian & Ryan Chahrour & Rosen Valchev, 2021. "Risky Business Cycles," Boston College Working Papers in Economics 1029, Boston College Department of Economics, revised 17 Sep 2024.
  12. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2016. "A MIDAS approach to modeling first and second moment dynamics," Journal of Econometrics, Elsevier, vol. 193(2), pages 315-334.
  13. Ma, Qingyin & Stachurski, John & Toda, Alexis Akira, 2020. "The income fluctuation problem and the evolution of wealth," Journal of Economic Theory, Elsevier, vol. 187(C).
  14. Drew D. Creal & Jing Cynthia Wu, 2020. "Bond risk premia in consumption‐based models," Quantitative Economics, Econometric Society, vol. 11(4), pages 1461-1484, November.
  15. John Stachurski & Junnan Zhang, 2019. "Dynamic Programming with State-Dependent Discounting," Papers 1908.08800, arXiv.org, revised Oct 2020.
  16. Grammig, Joachim & Küchlin, Eva-Maria, 2018. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," Journal of Econometrics, Elsevier, vol. 205(1), pages 6-33.
  17. Mauro Bernardi & Daniele Bianchi & Nicolas Bianco, 2022. "Smoothing volatility targeting," Papers 2212.07288, arXiv.org.
  18. Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
  19. Borovička, Jaroslav & Stachurski, John, 2021. "Stability of equilibrium asset pricing models: A necessary and sufficient condition," Journal of Economic Theory, Elsevier, vol. 193(C).
  20. Bidder, R.M. & Smith, M.E., 2018. "Doubts and variability: A robust perspective on exotic consumption series," Journal of Economic Theory, Elsevier, vol. 175(C), pages 689-712.
  21. Iacopini, Matteo & Poon, Aubrey & Rossini, Luca & Zhu, Dan, 2023. "Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
  22. Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
  23. Elmar Mertens & James M. Nason, 2020. "Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility," Quantitative Economics, Econometric Society, vol. 11(4), pages 1485-1520, November.
  24. Flint O'Neil, 2020. "Existence and Uniqueness of Recursive Utility Models in $L_p$," Papers 2005.07067, arXiv.org.
  25. Segal, Gill & Shaliastovich, Ivan, 2023. "Uncertainty, risk, and capital growth," SAFE Working Paper Series 388, Leibniz Institute for Financial Research SAFE.
  26. Isoré, Marlène & Szczerbowicz, Urszula, 2017. "Disaster risk and preference shifts in a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 97-125.
  27. Ankargren, Sebastian & Jonéus, Paulina, 2021. "Simulation smoothing for nowcasting with large mixed-frequency VARs," Econometrics and Statistics, Elsevier, vol. 19(C), pages 97-113.
  28. Anmol Bhandari & David Evans & Mikhail Golosov & Thomas Sargent, 2019. "The Optimal Maturity of Government Debt," 2019 Meeting Papers 1011, Society for Economic Dynamics.
  29. David Alaminos & Ignacio Esteban & M. Belén Salas, 2023. "Neural networks for estimating Macro Asset Pricing model in football clubs," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(2), pages 57-75, April.
  30. Nam Gang Lee, 2019. "Trend Growth Shocks and Asset Prices," Working Papers 2019-4, Economic Research Institute, Bank of Korea.
  31. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2022. "Valuation risk revalued," Quantitative Economics, Econometric Society, vol. 13(2), pages 723-759, May.
  32. Patrick Kehoe & Elena Pastorino & Pierlauro Lopez & Virgiliu Midrigan, 2018. "Asset Prices and Unemployment Fluctuations," 2018 Meeting Papers 1119, Society for Economic Dynamics.
  33. Pooyan Amir‐Ahmadi & Christian Matthes & Mu‐Chun Wang, 2016. "Drifts and volatilities under measurement error: Assessing monetary policy shocks over the last century," Quantitative Economics, Econometric Society, vol. 7(2), pages 591-611, July.
  34. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers 17-01, University of Cologne, Centre for Financial Research (CFR).
  35. Jules Tinang & Nour Meddahi, 2016. "GMM estimation of the Long Run Risks model," 2016 Meeting Papers 1107, Society for Economic Dynamics.
  36. Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2022. "Accounting for Risk in a Linearized Solution: How to Approximate the Risky Steady State and Around It," Working Papers 22-14, Federal Reserve Bank of Cleveland.
  37. Wu, Jing Cynthia & Zhang, Ji, 2019. "A shadow rate New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
  38. Dergunov, Ilya & Meinerding, Christoph & Schlag, Christian, 2019. "Extreme inflation and time-varying consumption growth," Discussion Papers 16/2019, Deutsche Bundesbank.
  39. Zhang, Jian & Kong, Dongmin & Liu, Hening & Wu, Ji, 2019. "Asset pricing with time varying pessimism and rare disasters," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 165-175.
  40. He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
  41. Gao, Lin & Hitzemann, Steffen & Shaliastovich, Ivan & Xu, Lai, 2022. "Oil volatility risk," Journal of Financial Economics, Elsevier, vol. 144(2), pages 456-491.
  42. Pablo Guerróon‐Quintana & Molin Zhong, 2023. "Macroeconomic forecasting in times of crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 295-320, April.
  43. Manela, Asaf & Moreira, Alan, 2017. "News implied volatility and disaster concerns," Journal of Financial Economics, Elsevier, vol. 123(1), pages 137-162.
  44. Guanlong Ren & John Stachurski, 2018. "Dynamic Programming with Recursive Preferences: Optimality and Applications," Papers 1812.05748, arXiv.org, revised Jun 2020.
  45. Ascari, Guido & Magnusson, Leandro M. & Mavroeidis, Sophocles, 2021. "Empirical evidence on the Euler equation for consumption in the US," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 129-152.
  46. Andrew Y. Chen & Rebecca Wasyk & Fabian Winkler, 2017. "A Likelihood-Based Comparison of Macro Asset Pricing Models," Finance and Economics Discussion Series 2017-024, Board of Governors of the Federal Reserve System (U.S.).
  47. Augustin, P. & Chernov, M. & Schmid, L. & Song, D., 2021. "Benchmark interest rates when the government is risky," Journal of Financial Economics, Elsevier, vol. 140(1), pages 74-100.
  48. David Feldman & Xin Xu, 2018. "Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)," Annals of Operations Research, Springer, vol. 262(2), pages 493-518, March.
  49. Lars Ljungqvist & Thomas Sargent, 2021. "The fundamental surplus strikes again," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 38-51, July.
  50. Thomas J. Sargent & John Stachurski, 2024. "Dynamic Programming: Finite States," Papers 2401.10473, arXiv.org.
  51. Guy P. Nason & Ben Powell & Duncan Elliott & Paul A. Smith, 2017. "Should we sample a time series more frequently?: decision support via multirate spectrum estimation," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(2), pages 353-407, February.
  52. Jing Guo & Xue Dong He, 2021. "Recursive Utility with Investment Gains and Losses: Existence, Uniqueness, and Convergence," Papers 2107.05163, arXiv.org.
  53. Dongho Song & Jenny Tang, 2023. "News-Driven Uncertainty Fluctuations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(3), pages 968-982, July.
  54. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023. "The Variance Risk Premium in Equilibrium Models," Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
  55. Liu, Yang, 2023. "Government debt and risk premia," Journal of Monetary Economics, Elsevier, vol. 136(C), pages 18-34.
  56. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2021. "Asset pricing with heterogeneous agents and long-run risk," Journal of Financial Economics, Elsevier, vol. 140(3), pages 941-964.
  57. Christensen, Timothy M., 2022. "Existence and uniqueness of recursive utilities without boundedness," Journal of Economic Theory, Elsevier, vol. 200(C).
  58. Stachurski, John & Wilms, Ole & Zhang, Junnan, 2024. "Asset pricing with time preference shocks: Existence and uniqueness," Journal of Economic Theory, Elsevier, vol. 216(C).
  59. Gregory, Richard P., 2021. "Climate disasters, carbon dioxide, and financial fundamentals," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 45-58.
  60. Fang, Xiang & Liu, Yang, 2021. "Volatility, intermediaries, and exchange rates," Journal of Financial Economics, Elsevier, vol. 141(1), pages 217-233.
  61. Walter Pohl & Karl Schmedders & Ole Wilms, 2018. "Higher Order Effects in Asset Pricing Models with Long‐Run Risks," Journal of Finance, American Finance Association, vol. 73(3), pages 1061-1111, June.
  62. S. Borağan Aruoba, 2020. "Term Structures of Inflation Expectations and Real Interest Rates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 542-553, July.
  63. Bretscher, Lorenzo & Malkhozov, Aytek & Tamoni, Andrea, 2021. "Expectations and aggregate risk," Journal of Monetary Economics, Elsevier, vol. 123(C), pages 91-108.
  64. Andreas Tryphonides, 2018. "Tilting Approximate Models," Papers 1805.10869, arXiv.org, revised Mar 2024.
  65. Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
  66. Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series 572, Center for Financial Studies (CFS).
  67. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2018. "Valuation Risk Revalued," CDMA Working Paper Series 201803, Centre for Dynamic Macroeconomic Analysis.
  68. Taeyoung Doh & Shu Wu, 2015. "Cash flow and risk premium dynamics in an equilibrium asset-pricing model with recursive preferences," Research Working Paper RWP 15-12, Federal Reserve Bank of Kansas City.
  69. Pablo A. Guerron‐Quintana & Ryo Jinnai, 2019. "Financial frictions, trends, and the great recession," Quantitative Economics, Econometric Society, vol. 10(2), pages 735-773, May.
  70. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
  71. Fulop, Andras & Heng, Jeremy & Li, Junye & Liu, Hening, 2022. "Bayesian estimation of long-run risk models using sequential Monte Carlo," Journal of Econometrics, Elsevier, vol. 228(1), pages 62-84.
  72. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
  73. Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2016. "Choosing Prior Hyperparameters," Working Paper 16-9, Federal Reserve Bank of Richmond.
  74. Forneron, Jean-Jacques, 2024. "Detecting identification failure in moment condition models," Journal of Econometrics, Elsevier, vol. 238(1).
  75. Favero, Carlo A. & Tamoni, Andrea & Ortu, Fulvio & Yang, Haoxi, 2016. "Implications of Return Predictability across Horizons for Asset Pricing Models," CEPR Discussion Papers 11645, C.E.P.R. Discussion Papers.
  76. Myroslav Pidkuyko & Raffaele Rossi & Klaus Reiner Schenk-Hoppé, 2019. "The Resolution of Long-Run Risk," Economics Discussion Paper Series 1908, Economics, The University of Manchester.
  77. Timothy M. Christensen, 2020. "Existence and uniqueness of recursive utilities without boundedness," Papers 2008.00963, arXiv.org, revised Aug 2021.
  78. Leippold, Markus & Yang, Hanlin, 2019. "Particle filtering, learning, and smoothing for mixed-frequency state-space models," Econometrics and Statistics, Elsevier, vol. 12(C), pages 25-41.
  79. Martin M. Andreasen & Kasper Jørgensen, 2016. "Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution," CREATES Research Papers 2016-16, Department of Economics and Business Economics, Aarhus University.
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