A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets

By Ravi Bansal, Ivan Shaliastovich. 2012

521 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4e1ed4965508b07940053bb6d8eb9605e40096b7

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Citations in the corpus

Carry Trades and Global Foreign Exchange Volatility (2012, unknown): “A selected list includes Bacchetta and van Wincoop (2006), Bansal and Shaliastovich (2008), Farhi and Gabaix (2009), Gourinchas and Tornell (2004), and Ilut (2010).”
Appendix: Monetary Policy Drivers of Bond and Equity Risks (2020, unknown): “Endogenous responses of bond risk premia amplify these effects of monetary policy on bond risks.”
The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment (2012, background): “Many contributions to the long-run risks literature continue to use a half life of volatility shocks closer to that in BY (Bansal et al., 2007; Bansal and Shaliastovich, 2009; Bansal and Shaliastovich, 2010), so it remains important to understand the properties of the long-run risks model with lower”
Economic uncertainty and bank risk: Evidence from emerging economies (2020, unknown): “Bansal and Shaliastovich (2013) find that the risk premium on bonds declines with uncertainty on output growth but increases with uncertainty on expected inflation.”
Bond Market Exposures to Macroeconomic and Monetary Policy Risks (2017, unknown): “The real side of the model builds on the long-run risks (LRR) model of Bansal and Yaron (2004) and assumes that consumption growth contains a small predictable component (i.”
Trade Network Centrality and Currency Risk Premia (2019, background): “Theoretical explanations of conditional currency returns include Alvarez et al. (2009), Verdelhan (2010), Bansal and Shaliastovich (2012), and Gabaix and Maggiori (2014).”
Predictability of Returns and Cash Flows (2011, unknown): “, Bansal and Shaliastovich, 2010; Verdelhan, 2010; Gabaix and Farhi, 2009). Present value models have been used to explore return predictability in residential real estate (Campbell et al., 2009) and commercial real estate (Plazzi et al., 2010). Commodity returns are also predictable by interest rat”
Higher-order effects in asset-pricing models with long-run risks (2018, unknown): “As the focus of Bansal and Shaliastovich (2013) is the bond market, they do not include a process for dividends.”
Countercyclical Currency Risk Premia (2013, unknown): “6”
Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates (2012, unknown): “This evidence suggests that time variation in expected bond excess returns is explained, at least partially, by a time-varying aggregate price of risk, as in the external habit formation models of Campbell and Cochrane (1999) or in the long-run consumption risk model of Bansal and Yaron (2004). Inde”