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Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
(2015-02-01)
In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and ...
Mutual Excitation in Eurozone Sovereign CDS
(2014-05-01)
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting with credit default intensities driven by mutually exciting jump processes, to capture the salient features ...
Liquidity Premia in CDS Markets
(2017-07-14)
We develop a state-space model to decompose bid and ask quotes of CDS into two components, fair default premium and liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it ...
The FOMC Risk Shift
(2021-01-27)
We identify a component of monetary policy news that is extracted from high-frequency changes in risky asset prices. These surprises, which we call “risk shifts”, are uncorrelated, and therefore complementary, to risk-free ...