Discussion Papers

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of...

In this paper we study the pricing of credit risk as reflected in the market for credit default swaps (CDS) between 2003 and 2008. This market has...

This is the first of three prospective papers examining how well forecasters can predict the future time path of short-term interest rates. Most prior...

In the first of three related, and consecutive, papers we showed that forecasts for short-term policy interest rates in NZ and UK deteriorated over...

This paper examines to what extent reputational concerns give rating agencies incen- tives to reveal information. It demonstrates that, in a simple...

Probably not. First, allowing the probabilities attached to the states of the economy to differ from their sample frequencies, the Consumption-CAPM is...

We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical...

The Bansal and Yaron (2004) model of long run risks (LLR) in aggregate consumption and dividend growth and its extension that captures potential co...

This paper investigates the relationship between a CEO’s social network, firm identity, and firm performance. There are two competing theories that...

This paper presents a general equilibrium analysis on the interactions between pen- sion plan funding, capital structure, technology choice and the...

This paper proposes an approach to estimating the relation between risk (conditional variance) and expected returns in the aggregate stock market that...

We study how the presence of multiple participation opportunities coupled with individual learning about payoffs affects the ability of agents to...

Over the last 25 years, labor income inequality has increased significantly; one may expect this would lead to significant increases in wealth and...

A stylized fact of US inflation dynamics is one of extreme persistence and possible unit root behavior. If so, the implications for macroeconomics and...

This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model...

We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are...