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Data & statistics on US Short Rates in Premium and Equity Shocks – 4780 results
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US Short Rates in Premium and Equity Shocks
12 more results from this site ▶

US Short Rates in Premium and Equity Shocks

www.niesr.ac.uk/event/macro/davis.pdf

of the US equity price shock can be attenuated by a monetary response, notably ...
of a larger US monetary response in cutting interest rates beyond the rule to stimulate ...
banks outside the US is doubled16. Given the disnflationary impact of the equity

May 2003 | National Institute of Economic and Social Research – 12 more results from this site
Original Url: http://www.niesr.ac.uk/event/macro/davis.pdf
The statistics from the simulated models along with their empirical counterparts from the historical US data. The standard deviation of the baseline model generates an equity premium of 5.0957%, which falls short of its empirical counterpart, 6.18%. The standard deviation of excess returns is 17.2153%, which is broadly consistent with the empirical magnitude of the standard deviation of excess returns ...

The statistics from the simulated models along with their empirical counterparts from the historical US data. The standard deviation of the baseline model generates an equity premium of 5.0957%, which ...

www.columbia.edu/~rc2374/teaching/colloquium_papers/November%207,%202008/iohetero_Oct22th_unedited.pdf

Equity premium For comparison purpose, we report …ve types of models ...
The average risk-free rate is 0.6341%, which is reasonably close to the low 0.80% in the US data. The volatility of the average risk-free rate is 5.7454%, which acheives ...
that the standard RBC model with technology shock generates a downward-sloping real term

Jan 2003 | Columbia University in the City of New York
Original Url: http://www.columbia.edu/~rc2374/teaching/colloquium_papers/November%207,%202008/iohetero_Oct22th_unedited.pdf
Optimal Policy Response in US to Temporary OECD-wide Equity Risk Premium Shocks Deviation from baseline; inflation/employment versus inflation targeting

Optimal Policy Response in US to Temporary OECD-wide Equity Risk Premium Shocks Deviation from baseline; inflation/employment versus inflation targeting

www.rba.gov.au/PublicationsandResearch/Conferences/2003/Conference_Volume_2003.pdf

of the shock. Note that equity prices are almost unchanged when conditioned on the monetary ...
premium in interest rates is lower. Employment is importantly affected by monetary ...
Figure 2: Optimal Policy Response in US to Temporary OECD-wide Equity Risk Premium Shocks Deviation from baseline; inflation/employment versus inflation targeting ppt Employment Inflation ppt ppt Nominal interest rates Real interest rates

2025 (projection) | Reserve Bank of Australia
Original Url: http://www.rba.gov.au/PublicationsandResearch/Conferences/2003/Conference_Volume_2003.pdf
top US insurance companies by group life premiums

top US insurance companies by group life premiums

United States top 10 insurance companies by in-force group life insurance premiums in dollars and percent change for 2010, and ranking for 2009 ...
X X Prudential of America XXXXXX X, XXX, XXX, XXX XX.X Group ...
XXXXXX XXX, XXX, XXX -X.X X X ING USA Life Group XXXXXX XXX

Sep 2011 | Best's Review
Below. We repeat our shock for the US, but assume that equity markets correctly discount expected future profit streams, long term interest rates are the forward convolution of expected future short rates, and consumers operate in relation to their expected incomes, and anticipate them correctly. Under these assumptions the response of the US economy is much more muted, and overshooting is limited. ...

Below. We repeat our shock for the US, but assume that equity markets correctly discount expected future profit streams, long term interest rates are the forward convolution of expected future short ...

www.ecomod.net/conferences/ecomod2001/papers_web/Barrell_Bruss4.PDF

we observe between Europe and the US come almost entirely from the wage price system ...
united states

Jul 2001 | EcoMod: Global Economic Modeling Network
Original Url: http://www.ecomod.net/conferences/ecomod2001/papers_web/Barrell_Bruss4.PDF
Generalized Impulse Responses of a Negative Unit (1 s.e.) Shock to US Real Equity Prices on Nominal Short-Term Interest Rates Across Countries (Bootstrap Mean Estimates with 90 percent Bootstrap Error Bounds)
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Generalized Impulse Responses of a Negative Unit (1 s.e.) Shock to US Real Equity Prices on Nominal Short-Term Interest Rates Across Countries (Bootstrap Mean Estimates with 90 percent Bootstrap Error ...

www.econ.cam.ac.uk/dae/repec/cam/pdf/cwpe0661.pdf

China Short-Term Interest Rate US EA Short-Term Interest Rate Short-Term Interest Rate Q ua rt e rs Q ua rt e rs Q ua rt e rs ...
Exchange Rate New Zealand Exchange Rate Q ua rt e rs Japan Short-Term Interest Rate Canada Short-Term Interest Rate UK Short-Term Interest Rate Australia Short-Term Interest Rate Sweden Short-Term Interest Rate Switzerland Short-Term Interest Rate ...
china, united states

Jan 2007 | University of Cambridge: Faculty of Economics – 14 more results from this site
Original Url: http://www.econ.cam.ac.uk/dae/repec/cam/pdf/cwpe0661.pdf
Q2* 08 Short-term interest rates (%)1 Official interest rate Euribor 3 month Euribor 12 month Exchange rates2 Dollar/euro Yen/euro Credit risk premiums: BBB-AAA spread (basis points)3 Euro zone 3 year 5 year 10 year U.S. 3 year 5 year 10 year Equity markets Performance of main world stock indices (%)4 Euro Stoxx 50 Dow Jones Nikkei Other indices (%) Merval (Argentina) Bovespa (Brazil) Shanghai Comp ...

Q2* 08 Short-term interest rates (%)1 Official interest rate Euribor 3 month Euribor 12 month Exchange rates2 Dollar/euro Yen/euro Credit risk premiums: BBB-AAA spread (basis points)3 Euro zone 3 year ...

www.cnmv.es/DocPortal/Publicaciones/Boletin/CNMVTrimestreII08_een.pdf

2 International financial background 2.1 Short-term interest rates The fallout of the sub-prime lending crisis in North America is still being felt on international financial ...
Summary of financial indicators TABLE 1 Q2* 08 Short-term interest rates (%)1 Official interest rate Euribor 3 month Euribor 12 month Exchange rates2 Dollar/euro Yen ...
10 year U.S. 3 year 5 year 10 year Equity markets Performance of main world stock

Jan 2008 | CNMV Comisi?n Nacional del Mercado de Valores
Original Url: http://www.cnmv.es/DocPortal/Publicaciones/Boletin/CNMVTrimestreII08_een.pdf
Baseline Calibration. Intertemporal elasticity of substitution Risk aversion Subjective discount factor Autoregressive coefficient of the long run component xt Ratio of long run shock and short run shock volatilities Standard error of the short run shock to consumption (in %) Cross country correlation of the long run shock Cross country correlation of the short run shock to consumption

Baseline Calibration. Intertemporal elasticity of substitution Risk aversion Subjective discount factor Autoregressive coefficient of the long run component xt Ratio of long run shock and short run ...

faculty.fuqua.duke.edu/areas/finance/SG.seminars/Papers/20061017.Colacito.pdf

to what is commonly found in the equity premium puzzle literature and with the number proposed ...
xt Ratio of long run shock and short run shock volatilities Standard error of the short run shock to consumption (in %) Cross country correlation of the long run shock Cross country correlation of the short run shock to consumption Ψ γ δ ρ φe 68 ...
is to reproduce the average behavior of consumption growth is the United States

Oct 2006 | faculty.fuqua.duke.edu
Original Url: http://faculty.fuqua.duke.edu/areas/finance/SG.seminars/Papers/20061017.Colacito.pdf
A di¤erent picture appears for the real wage. More than half of the FEV of the real wage is accounted by wage shocks at the shortest horizon and by risk premium and foreign interest rate shocks at the longest horizon. Shocks to foreign prices and export demand are not very important at any horizon and less so at longer horizons. Technology shocks are also not very important suggesting that the wage ...

A di¤erent picture appears for the real wage. More than half of the FEV of the real wage is accounted by wage shocks at the shortest horizon and by risk premium and foreign interest rate shocks at the ...

www.unc.edu/%7Esalemi/Papers/Hong%20Kong%203_22_10.pdf

quarters. Shocks to the US interest rate and to export demand also account for some ...
in the short run. As the horizon lengthens, risk premium shocks become more important ...
in employment to shocks in the foreign interest rate, the risk premium, and, to a lesser

Apr 2010 | The University of North Carolina at Chapel Hill
Original Url: http://www.unc.edu/%7Esalemi/Papers/Hong%20Kong%203_22_10.pdf
Reports the sample moments of annualized consumption growth and stock and bond returns for the constrained model, in which agents are permitted to borrow at most one percent of their wealth by shorting bonds. It is generated by simulating the constrained model at its solution for the same sequence of exogenous shocks used to simulate the unconstrained model. The sample moments are computed as in Table ...

Reports the sample moments of annualized consumption growth and stock and bond returns for the constrained model, in which agents are permitted to borrow at most one percent of their wealth by ...

www.international-macro.economics.uni-mainz.de/Dateien/ES_Paper_010404robinbrook.pdf

ratio of the actual equity premium. In other words, the constrained model goes a long way towards resolving the equity premium puzzle in the unconstrained model. It ...
Table 3 shows that the risk premium on capital is 4.99 percent per annum ...
Table 2. The Unconstrained Model: Sample Moments for Decision Variables, 20-Year Holding Period Returns and the Wage Rate (Means, Standard Deviations and Correlations) ret+1 rft wt+1 ct+11 ct+12 set+11 set+12 sbt+11 sbt+12 Mean St Dev ret+1 rft

2087 (projection) | Professor of International Economics
Original Url: http://www.international-macro.economics.uni-mainz.de/Dateien/ES_Paper_010404robinbrook.pdf
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