All Questions
Tagged with macroeconomics finance
24 questions with no upvoted or accepted answers
3
votes
1
answer
57
views
Have there been any structural changes in the market that would lead the indexes to be trading so high?
If you look at this graph of the SnP500:
You will see that it is trading at levels higher than pre 08 or 99. What systemic structural changes in the market have led it to be trading so high? I think ...
- 142
2
votes
0
answers
59
views
Habit formation ala Constantinides (1990)
Consider the following problem, from Constantinides (1990).
\begin{align}
V(W_0, x_0) \equiv \max_{c, \alpha} \mathrm{E}_0 \int_0^\infty e^{-\rho s}\gamma^{-1}[c(s) - x(s)]^\gamma \mathrm{d}s,
\end{...
2
votes
0
answers
55
views
Complete markets and convenience yields
I have been reading some papers on the safety/liquidity of US government debt and got a bit perplexed by the assumptions made in some of those papers. For example, this paper by Mehrotra and Sergeyev ...
2
votes
0
answers
45
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Can a government invest in public companies so their dividends can finance the government
Is it possible that a country could use the money in its sovereign wealth fund to invest in different country's Stock Market and use the dividends to finance its government thus increasing spending ...
- 21
2
votes
0
answers
162
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How to solve a variation of Merton's optimal portfolio problem?
Does anyone know how to solve the following problem?
I have tried to solve this but I'm lost since I have never dealt with a Stochastic Dynamic Programming problem with many variables.
$max_{c_{t},\...
- 21
2
votes
0
answers
65
views
Total market cap in country, and average p/e per country and continent(europe)
sorry I am not sure to post this question in quant stackexchange or in here. I have posted it previously in the below link
https://quant.stackexchange.com/questions/18633/total-market-cap-in-country-...
- 121
2
votes
0
answers
67
views
ICAPM when assets' mean returns and variance-covariance matrix are not constant over time
The intertemporal capital asset pricing model (ICAPM), under the usual assumptions, produces a multifactor pricing model like the one described in this question.
When and how would it be possible to ...
- 9,385
1
vote
0
answers
44
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Flow budget constraint in a paper by Garleanu and Panageas
I am reading this paper and got confused by Equation (6) in said paper. Suppose there is an investor that can trade in riskless bonds that pay interest rate $r_t$, and holds a market portfolio with ...
1
vote
0
answers
55
views
Background courses for MSc in Finance
I'm a Mathematics bachelor student and next year I am going to pursue a 2-year MSc in Finance.
In this question, as a total beginner in Finance and more generally in Economics, I'd like to get ...
- 111
1
vote
0
answers
51
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Question about money supply and the nominal interest rate
How does an increase in money supply, due to a decrease in the REPO rate, decrease the nominal interest rate?
If an increase in money supply means more inflation, how doesn't inflation lead to ...
- 21
1
vote
0
answers
37
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High Kurtosis with normal Distribution
I need help. Here is my problem, I am testing normal distribution on covid, 2008 crisis, and beetween these. So I have 3 timezone and 7 indexes. When I use SPSS to test the normal distribution with ...
- 11
1
vote
0
answers
71
views
Can the Equity Premium Puzzle apply equally to bonds?
Mehra and Prescott (JME, 1985) use the consumption-based asset price model to express the expected spread of equity returns over, e.g., a risk-free Treasury bond, as
\begin{equation*}
\mathbb{E}...
- 11
1
vote
0
answers
35
views
How to understand: interest income is a moving average of past interest rates
I encounter this question in the paper by DRECHSLER et al. (2021) (Banking on deposit). How to understand that "interest income is close to a moving average of past interest rates, consistent ...
- 11
1
vote
0
answers
31
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The coming US interest rates rise by the Fed. Will it affect the european bonds?
Recently, or maybe not so recently, there has been talk of the Fed going to enter in cycle of raising the interest rates. When interest rates are expected to be risen in the future, bonds with long-...
- 5,121
1
vote
0
answers
44
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Evidence of firm borrowing and loans
I'm absolutely not from firm financing and look to read up on the subject, but mostly onto empirical stuff.
Standard questions would be:
What is the ratio of firms that finance themselves with bank ...
- 10.8k
1
vote
2
answers
244
views
Transparent Fractional-reserve banking as an alternative to the current system
I come from a layman perspective, but I've been trying to understand macroeconomics and finance. Currently I'm struggling with the current topic. Here I'm not worried about the system transition just ...
- 21
1
vote
1
answer
55
views
Capital-safe Bonds?
What does it mean for a bond not to be capital-safe? I'm having some difficulty in finding in the web any explanation for this expression.
Any help would be appreciated.
- 5,121
0
votes
2
answers
56
views
Determinants of long term interest rates
Can you pls explain why long-term nominal interest rates should be around of the level of nominal potential GDP? What would be the macroeconomic forces behind it?
0
votes
0
answers
21
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What is the reason behind the growing Secured Overnight Financing Volume?
I was looking at the NY FED's page (https://www.newyorkfed.org/markets/reference-rates/sofr) and saw the following chart:
Question: Is there a straightforward explanation as to what drives the ...
- 70
0
votes
0
answers
34
views
What's a good textbook reference for interest rate models / term structure modelling?
There is a huge literature modelling the yield curve. For instance, the affine term structure literature, both in continuous and in discrete time, has many models with different factors, models that ...
0
votes
1
answer
121
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Logic behind uncovered interest rate parity?
So I am having trouble understanding the UIP equilibrium condition.
Namely, according to UIP, when the home country has a higher interest rate than the foreign country, its currency will depreciate ...
- 1
0
votes
0
answers
47
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Why is eurodollar future so popular
It's well-know that eurodollar futures contracts are the most liquid contracts in the world. Traders use them to express views on interest rates or hedge interest rate risks.
My questions is why are ...
- 163
0
votes
0
answers
133
views
Policy ineffectiveness proposition
Suppose,
the Aggregate supply is given by the Lucas Supply Curve -
$y_t = ȳ + b(P_t - E_{t-1}P_t) + μ_t$
where $μ_t$ is stochastic supply shock (following standard normal error properties).
Aggregate ...
- 499
0
votes
1
answer
216
views
J Curve and DD Schedule in the Short Run (International Finance)
Assume that the J-curve is true. What would the DD curve look like during the early period of the J-curve (where the value effect dominates)? What would the effect of temporary changes in monetary ...
