Asset pricing

• Booms and Busts in House Prices Explained by Constraints in Housing Supply

  Staff Working Paper 2013-18 Narayan Bulusu, Jefferson Duarte, Carles Vergara-Alert

  We study the importance of supply constraints in explaining the heterogeneity in house price cycles across geographies in the United States.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Economic models JEL Code(s): R, R3, R31

• Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances

  Staff Working Paper 2013-16 Sermin Gungor, Richard Luger

  We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C15, C3, C33, G, G1, G11, G12

• Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics

  Staff Working Paper 2013-12 Jianjian Jin

  This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Economic models JEL Code(s): G, G1, G12, G17

• A New Linear Estimator for Gaussian Dynamic Term Structure Models

  Staff Working Paper 2013-10 Antonio Diez de los Rios

  This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C13, E, E4, E43, G, G1, G12

• An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt

  Staff Working Paper 2013-9 Shaofeng Xu

  This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Credit and credit aggregates, Economic models JEL Code(s): E, E2, E21, E4, E44, G, G1, G11, R, R2, R21