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Understanding Mortgage Spreads (1)

Nina Boyarchenko (Federal Reserve Bank of New York)

TSE, March 31, 2014, 12:30–14:00, room MF 323

Agency mortgage-backed securities (MBS), which carry essentially no credit risk from the point of view of investors, nevertheless often trade at significant spreads to other credit-risk free instruments, even after accounting for the prepayment option embedded in MBS. In this paper, we argue that “...

Information Percolation, Momentum, and Reversal (1)

Daniel Andrei (UCLA)

March 25, 2014

Option-Implied Currency Risk Premia (1)

Jakub Jurek (University of Princeton)

IDEI, March 24, 2014, 11:00–12:30, room MF 323

We use cross-sectional information on the prices of G10 currency options to calibrate a non-Gaussian model of pricing kernel dynamics and construct estimates of conditional currency risk premia. We find that the mean historical returns to short dollar and carry factors (HMLFX) are statistically...

Do People Understand Monetary Policy? (1)

Fernanda Nechio (SF Fed)

March 20, 2014

Optimal Collateralization with Bilateral Default Risk (1)

Enrico Biffis (Imperial College London)

March 18, 2014

To be announced (1)

Stijn Van Nieuwerburgh (University of New York)

TSE, March 17, 2014, 12:30–14:00, room MF 323

Climate campaigns, cap-and-trade and carbon leakage: Why reducing your carbon footprint can harm the climate (1)

Grischa Perino (Universität Hamburg)

Toulouse: TSE, March 17, 2014, 11:00–12:30, room MS 001

Governments and environmental NGOs campaign for carbon footprint reductions by households. Many of the behavioral changes recommended reduce demand for goods produced by sectors covered by cap-and-trade schemes. With a binding cap, greenhouse gas emissions from those sectors do not change. I show...

Great Moderation and Great Leverage: Financial trade and asset prices when investors disagree about risk (1)

Tobias Broer (IIES)

March 14, 2014

Limits to model-based regulation (1)

Vikrant Vig (LBS)

March 5, 2014

Time-varying risk premiu in large cross-sectional equity datasets (1)

Olivier Scaillet (Lausanne)

March 4, 2014

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