Board of Governors of the Federal Reserve System

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• The Fed - Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

  markets; (2) the predictability is short-run, in that it peaks around

  URL: https://www.federalreserve.gov/econres/feds/variance-risk-premia-asset-predictability-puzzles-and-macroeconomic-uncertainty.htm
  



• The Fed - Borrowing From Yourself: 401(k) Loans and Household Balance Sheets

  Skip to main content An official website of the United States Government Here's how you know Official websites use .gov A .gov website belongs

  URL: https://www.federalreserve.gov/econres/feds/borrowing-from-yourself-401k-loans-and-household-balance-sheets.htm
  



• The Fed - Jump-Diffusion Term Structure and Ito Conditional Moment Generator

  market prices of diffusion and jump risks are calibrated by minimizing...market price of risk PDF: Full Paper Disclaimer: The economic research

  URL: https://www.federalreserve.gov/econres/feds/jump-diffusion-term-structure-and-ito-conditional-moment-generator.htm
  



• The Fed - Zero Bound, Option-Implied PDFs, and Term Structure Models

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  URL: https://www.federalreserve.gov/econres/feds/zero-bound-option-implied-pdfs-and-term-structure-models.htm
  



• The Fed - Are Leveraged and Inverse ETFs the New Portfolio Insurers?

  market crash of October 19, 1987 (Brady Report, 1988). I show that a 1%...stock-market indexes induces LETFs to originate rebalancing flows equivalent

  URL: https://www.federalreserve.gov/econres/feds/are-leveraged-and-inverse-etfs-the-new-portfolio-insurers.htm
  



• The Fed - Cost Shifting and the Freezing of Corporate Pension Plans

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  URL: https://www.federalreserve.gov/econres/feds/cost-shifting-and-the-freezing-of-corporate-pension-plans.htm
  



• The Fed - Credit Constraints, Consumer Leasing and the Automobile Replacement Decision

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  URL: https://www.federalreserve.gov/econres/feds/credit-constraints-consumer-leasing-and-the-automobile-replacement-decision.htm
  



• The Fed - Relative prices and pure inflation since the mid-1990s

  market slack is the main driver of pure inflation and that energy prices

  URL: https://www.federalreserve.gov/econres/feds/relative-prices-and-pure-inflation-since-the-mid-1990s.htm
  



• The Fed - The Credit Card Act and Consumer Finance Company Lending

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  URL: https://www.federalreserve.gov/econres/feds/the-credit-card-act-and-consumer-finance-company-lending.htm
  



• The Fed - The Decline in Asset return Predictability and Macroeconomic Volatility

  Skip to main content An official website of the United States Government Here's how you know Official websites use .gov A .gov website belongs

  URL: https://www.federalreserve.gov/econres/feds/the-decline-in-asset-return-predictability-and-macroeconomic-volatility.htm
  

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