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Analyzing interest rate risk: stochastic volatility in the term structure of government bond yields
(2009)
We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying uncertainty of the yield curve’s level, slope and curvature. Estimating the model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the factor volatilities follow highly persistent processes. We show that slope and curvature risk have explanatory power for bond excess returns and illustrate that the yield and volatility factors are closely related to industrial capacity utilization, inflation, monetary policy and employment growth. JEL Classification: C5, E4, G1
This paper provides a joint analysis of household stockholding participation, stock location among stockholding modes, and participation spillovers, using data from the US Survey of Consumer Finances. Our multivariate choice model matches observed participation rates, conditional and unconditional, and asset location patterns. Financial education and sophistication strongly affect direct stockholding and mutual fund participation, while social interactions affect stockholding through retirement accounts only. Household characteristics influence stockholding through retirement accounts conditional on owning retirement accounts, unlike what happens with stockholding through mutual funds. Although stockholding is more common among retirement account owners, this fact is mainly due to their characteristics that led them to buy retirement accounts in the first place rather than to any informational advantages gained through retirement account ownership itself. Finally, our results suggest that, taking stockholding as given, stock location is not arbitrary but crucially depends on investor characteristics. JEL Classification: G11, E21, D14, C35
Milah books & manuals
(2009)
The ENVISAT validation programme for the atmospheric instruments MIPAS, SCIAMACHY and GOMOS is based on a number of balloon-borne, aircraft, satellite and ground-based correlative measurements. In particular the activities of validation scientists were coordinated by ESA within the ENVISAT Stratospheric Aircraft and Balloon Campaign or ESABC. As part of a series of similar papers on other species [this issue] and in parallel to the contribution of the individual validation teams, the present paper provides a synthesis of comparisons performed between MIPAS CH4 and N2O profiles produced by the current ESA operational software (Instrument Processing Facility version 4.61 or IPF v4.61, full resolution MIPAS data covering the period 9 July 2002 to 26 March 2004) and correlative measurements obtained from balloon and aircraft experiments as well as from satellite sensors or from ground-based instruments. In the middle stratosphere, no significant bias is observed between MIPAS and correlative measurements, and MIPAS is providing a very consistent and global picture of the distribution of CH4 and N2O in this region. In average, the MIPAS CH4 values show a small positive bias in the lower stratosphere of about 5%. A similar situation is observed for N2O with a positive bias of 4%. In the lower stratosphere/upper troposphere (UT/LS) the individual used MIPAS data version 4.61 still exhibits some unphysical oscillations in individual CH4 and N2O profiles caused by the processing algorithm (with almost no regularization). Taking these problems into account, the MIPAS CH4 and N2O profiles are behaving as expected from the internal error estimation of IPF v4.61 and the estimated errors of the correlative measurements.
Stocks are exposed to the risk of sudden downward jumps. Additionally, a crash in one stock (or index) can increase the risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its impact on the portfolio decision of a CRRA investor both in complete and in incomplete market settings. We find that the investor significantly adjusts his portfolio when contagion is more likely to occur. Capturing the time dimension of contagion, i.e. the time span between jumps in two stocks or stock indices, is thus of first-order importance when analyzing portfolio decisions. Investors ignoring contagion completely or accounting for contagion while ignoring its time dimension suffer large and economically significant utility losses. These losses are larger in complete than in incomplete markets, and the investor might be better off if he does not trade derivatives. Furthermore, we emphasize that the risk of contagion has a crucial impact on investors' security demands, since it reduces their ability to diversify their portfolios.
We provide explicit solutions to life-cycle utility maximization problems simultaneously involving dynamic decisions on investments in stocks and bonds, consumption of perishable goods, and the rental and the ownership of residential real estate. House prices, stock prices, interest rates, and the labor income of the decision-maker follow correlated stochastic processes. The preferences of the individual are of the Epstein-Zin recursive structure and depend on consumption of both perishable goods and housing services. The explicit consumption and investment strategies are simple and intuitive and are thoroughly discussed and illustrated in the paper. For a calibrated version of the model we find, among other things, that the fairly high correlation between labor income and house prices imply much larger life-cycle variations in the desired exposure to house price risks than in the exposure to the stock and bond markets. We demonstrate that the derived closed-form strategies are still very useful if the housing positions are only reset infrequently and if the investor is restricted from borrowing against future income. Our results suggest that markets for REITs or other financial contracts facilitating the hedging of house price risks will lead to non-negligible but moderate improvements of welfare.
This paper relates recursive utility in continuous time to its discrete-time origins and provides a rigorous and intuitive alternative to a heuristic approach presented in [Duffie, Epstein 1992], who formally define recursive utility in continuous time via backward stochastic differential equations (stochastic differential utility). Furthermore, we show that the notion of Gâteaux differentiability of certainty equivalents used in their paper has to be replaced by a different concept. Our approach allows us to address the important issue of normalization of aggregators in non-Brownian settings. We show that normalization is always feasible if the certainty equivalent of the aggregator is of expected utility type. Conversely, we prove that in general L´evy frameworks this is essentially also necessary, i.e. aggregators that are not of expected utility type cannot be normalized in general. Besides, for these settings we clarify the relationship of our approach to stochastic differential utility and, finally, establish dynamic programming results. JEL Classifications: D81, D91, C61
1.Vermehrung der Sprachhürden in einer Union, die mit dem Zweck, alle Menschen trennende Hürden abzuschaffen, gegründet ist, als unerwünschtes Paradox. 2.Die durch diese Tatsache bestimmte Notwendigkeit einer für internationalen Umgang zu verwendenden Sprache. 3.Unannehmbarkeit der Verwendung jedweder heute gebräuchlichen Nationalsprache als Mittels des internationalen Umgangs in demokratischer Gesellschaft (Unbilliges Vorrecht). 4.Unannehmbarkeit der Verwendung jedweder künstlichen Sprache als eines Internationalumgangs-Mittels in Gesellschaft, die früher eine traditions- und wirkungsreiche allgemeine Sprache besaß (Kultur-historische Vergesslichkeit). 5.Latein als diese allgemeine Sprache. 6.Ursachen der Langlebigkeit des Lateins im nachantiken Europa: a) äußere: Latein als Sprache des antiken Erbes und der kirchlichen Tradition); b) innere: Latein als Schöpfung des hellenischen Geistes außer Hellas. 7.Ursachen des Verfalls der Latinität im neueren Europa: a) soziale: Kulturelle Gleichmachung); b) ästhetische: Romantisch-dekadente Neigung zum Unstetigen, Unbestimmten und Zweideutigen. 8.Was soll man heute machen, um das neue Leben dem Latein einzuflößen? – Linguistische Bemühungen (Verfassen und Publizieren der so oder so mit Lateinkenntnis verknüpften Forschungswerke und Lehrmittel in lateinischer Sprache, um damit dem Lateinstudieren ein praktisches Interesse zu geben, sowie Vorbereitung einer möglichst offenen und breiten Diskussion über das Internationalsprache-Problem) mit der ästhetisch- kulturellen Erklärung vereinen.