scholarly journals Model and survey estimates of the term structure of US macroeconomic uncertainty

2017 ◽  
Vol 33 (3) ◽  
pp. 591-604 ◽  
Author(s):  
Michael P. Clements ◽  
Ana Beatriz Galvão
Author(s):  
Frederick van der Ploeg

AbstractEconomists have adopted the Pigouvian approach to climate policy, which sets the carbon price to the social cost of carbon. We adjust this carbon price for macroeconomic uncertainty and disasters by deriving the risk-adjusted discount rate. We highlight ethics- versus market-based calibrations and discuss the effects of a falling term structure of the discount rate. Given the wide range of estimates used for marginal damages and the discount rate, it is unsurprising that negotiators and policy makers have rejected the Pigouvian approach and adopted a more pragmatic approach based on a temperature cap. The corresponding cap on cumulative emissions is lower if risk tolerance and temperature sensitivity are more uncertain. The carbon price then grows much faster than under the Pigouvian approach and discuss how this rate of growth is adjusted by economic and abatement cost risks. We then analyse how policy uncertainty and technological breakthrough can lead to the risk of stranded assets. Finally, we discuss various obstacles to successful carbon pricing.


2020 ◽  
Author(s):  
Patrick Augustin ◽  
Roméo Tédongap

We solve a dynamic equilibrium model with generalized disappointment-aversion preferences and continuous state-endowment dynamics. We apply the framework to the term structure of interest rates and show that the model generates an upward-sloping term structure of nominal interest rates and a downward-sloping term structure of real interest rates and that it accounts for the failure of the expectations hypothesis. The key ingredients are preferences with disappointment aversion, preference for early resolution of uncertainty, and an endowment economy with three state variables: time-varying macroeconomic uncertainty, time-varying expected inflation, and inflation uncertainty. This paper was accepted by Karl Diether, finance.


2016 ◽  
Vol 51 (2) ◽  
pp. 541-587 ◽  
Author(s):  
Patrick Augustin ◽  
Roméo Tédongap

AbstractWe provide new empirical evidence that U.S. expected growth and consumption volatility are closely related to the strong comovement in sovereign spreads. We rationalize these findings in an equilibrium model with recursive utility for credit default swap (CDS) spreads. The framework links a reduced-form default process with country-specific sensitivity to expected growth and macroeconomic uncertainty. Exploiting the high-frequency information in the CDS term structure across 38 countries, we estimate the model and find parameters consistent with preference for early resolution of uncertainty. Our results confirm the existence of time-varying risk premia in sovereign spreads as compensation for exposure to common U.S. macroeconomic risk.


CFA Digest ◽  
1997 ◽  
Vol 27 (1) ◽  
pp. 56-57
Author(s):  
H. Kent Baker

2019 ◽  
Vol 3 (4) ◽  
Author(s):  
J Michael Brick ◽  
Andrew Caporaso ◽  
Douglas Williams ◽  
David Cantor

Decisions on public policy can be affected if important segments of the population are systematically excluded from the data used to drive the decisions. In the US, Spanishspeakers make up an important subgroup that surveys conducted in English-only underrepresent. This subgroup differs in a variety of characteristics and they are less likely to respond to surveys in English-only. These factors lead to nonresponse biases that are problematic for survey estimates. For surveys conducted by mail, one solution is to include both English and Spanish materials in the survey package. For addresses in the US where Spanish-speakers are likely to be living, this approach is effective, but it still may omit some non-English-speakers. Traditionally, including both English and Spanish materials for addresses not identified as likely to have Spanish-speakers was considered problematic due to concerns of a backlash effect. The backlash effect is that predominantly English-speakers might respond at a lower rate because of the inclusion of Spanish materials. Prior research found no evidence of a backlash, but used a twophase approach with a short screener questionnaire to identify the eligible population for an education survey. In this paper, we report on experiments in two surveys that extend the previous research to criminal victimization and health communication single-phase surveys. These experiments test the effect of the inclusion of Spanish language materials for addresses not identified as likely to have Spanish-speakers. Our findings confirm most results of the previous research; however we find no substantial increase in Spanish-only participation when the materials are offered in both languages for addresses that are not likely to have Spanish-speakers. We offer some thoughts on these results and directions for future research, especially with respect to collecting data by the Internet.


2015 ◽  
Vol 17 (4) ◽  
pp. 71-99 ◽  
Author(s):  
Jenny Castellanos ◽  
Nick Constantinou ◽  
Wing Lon Ng

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