Time-varying risk aversion and unexpected inflation ☆

By Michael W. Brandt, Kevin Q. Wang. 2003

301 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/025e85ac4fdd77b1b21b27d58dfed781ab18137e

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Citations in the corpus

On the Relationship between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach (2004, methodology): “(1987) and Campbell and Hentschel (1992) estimate a positive correlation, while Campbell (1987), Breen et al. (1989), Nelson (1991), and Glosten et al. (1993) all report a negative correlation. Koopman and Uspensky (1999) find evidence of a weak negative relationship with an SV-in-mean model but a w”
Inflation Illusion and Stock Prices (2004, background): “Thus the Fed model implies that stock yields are highly correlated with inflation.”
Inflation and the Stock Market: Understanding the 'Fed Model' (2009, unknown): “Wt = μ w +AWt−1 +Σ εt (11) to obtain estimates of nc μw, c Aw, c Σwo and then calculate nbθ, b Θo = F1 nc μw, c Aw, c Σwo where F1 is a matrix function such that b Yt = bθ + b ΘWt (12)”
What Ties Return Volatilities to Price Valuations and Fundamentals? (2013, unknown): “Brandt and Wang ð2003Þ and Bekaert and Grenadier ð2010Þ use habit formation models to study stocks and bonds, but they do not focus on the dynamics of their conditional covariance and, in particular, what economic mechanism is responsible for its sign changes.”
The Time Variation in Risk Appetite and Uncertainty (2019, unknown): “Another special case is the model in Brandt and Wang (2003), in which the risk aversion process speci ﬁ cally depends on in ﬂ ation in addition to consumption growth.”
Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates (2012, background): “…argument in Glosten et al. (1993) builds on the Fisher hypothesis, which establishes a direct link between expected inflation and the short rate, and on the fact that empirically there is a positive relation between inflation volatility and its level (Fischer 1981, Brandt and Wang 2003).”
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance (2012, unknown): “14Several authors have models where inflation is higher in bad times, which makes the yield curve slope up (Brandt and Wang 2003, Piazzesi and Schneider 2006, Wachter 2006).”
A Factor Analysis of Bond Risk Premia (2009, methodology): “Forni, Hallin, Lippi, and Reichlin (2005) showed that when N and T are both large, the space spanned by gt can also be consistently estimated using the method of dynamic principal components originally developed in Brillinger (1981). Boivin and Ng (2005) finds that static and dynamic principal compo”
Variance Risk-Premium Dynamics: The Role of Jumps (2010, result): “Recent empirical evidence in 2This latter measure also coincides with the new VIX index computed from CBOE. favor of time-varying risk aversion have also been reported by, e.g., Bollerslev et al. (2005) and Brandt and Wang (2003).”
Risk, uncertainty, and asset prices (2005, unknown): “In this sense, our preference shock specification is closer in spirit to that of Brandt and Wang (2003) who allow for Qt to be correlated with other business-cycle factors, or Lettau and Watcher (2007), who also allow for shocks to preferences uncorrelated with fundamentals.”