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Peso problem explanations for term structure anomalies [PDF]
Journal of Monetary Economics, 2001 Abstract We investigate whether term structure anomalies in U.S. data may be due to a generalized peso problem, in which a high-interest-rate regime occurred less frequently in the U.S. sample than was rationally anticipated. We formalize this idea by estimating a regime-switching model of short-term interest rates with data from seven countries ...
Geert Bekaert, Robert J Hodrick
exaly +3 more sources
The persistence of the ‘peso problem’ when policy is noisy
Journal of International Money and Finance, 1988 Abstract The ‘peso problem’, the market's belief that a discrete event may occur, has frequently been blamed for the persistence of on-average mistaken forecasts of macroeconomic variables. This paper demonstrates how beliefs that a policy process may have switched can induce apparent ex post biased forecasts of exchange rates even after the switch ...
Karen K Lewis
exaly +2 more sources
I discovered the peso problem: Irving Fisher and the UIP puzzle [PDF]
Journal of International Money and Finance, 2013 Irving Fisher was the first economist to posit what has come to be known as uncovered interest parity relation. He was also the first to offer a peso-problem type explanation for important episodes in which it was violated. After reviewing his theoretical and empirical work on this subject, we go on to reexamine both his data and several other bodies -
James R Lothian, Kees G Koedijk
exaly +2 more sources
Journal of International Financial Markets, Institutions and Money, 2014 Evidence from this study suggests that investor sentiment and the peso problem play a significant role in explaining expectation errors, rejecting the unbiased expectation hypothesis (UEH). The deviation of the UEH for long-term rates is mainly attributable to expectation errors, whereas the deviation of short-term rates is tied to the term premium. We
Cathy Yi-Hsuan Chen +2 more
exaly +3 more sources
Peso problems in the estimation of the C‐CAPM
Quantitative Economics, 2022 This paper shows that the consumption‐based capital asset pricing model (C‐CAPM) with low‐probability disaster risk rationalizes pricing errors. We find that implausible estimates of risk aversion and time preference are not puzzling if market participants expect a future catastrophic change in fundamentals, which just happens not to occur in the ...
Parra-Alvarez, Juan Carlos; id_orcid 0000-0001-9076-9021 +2 more
openaire +4 more sources
Is Ipo Underperformance a Peso Problem? [PDF]
Journal of Financial and Quantitative Analysis, 2005 AbstractRecent studies suggest that the underperformance of IPOs in the post-1970 sample may be a small sample effect or “Peso problem.” That is, IPO underperformance may result from observing too few star performers ex post than were expected ex ante.
Andrew Ang, Li Gu, Yael V. Hochberg
openaire +1 more source
A Sharpe-ratio-based measure for currencies
European Journal of Government and Economics, 2015 The Sharpe Ratio offers an excellent summary of the excess return required per unit of risk invested. This work presents an adaptation of the ex-ante Sharpe Ratio for currencies where we consider a random walk approach for the currency behavior and ...
Javier Prado-Dominguez +1 more
doaj +3 more sources
Hunting the Living Dead: A 'Peso Problem' in Corporate Liabilities Data [PDF]
SSRN Electronic Journal, 2005 Recent literature has pointed out that information asymmetries may be the reason for the poor performance of structural credit risk models to fit corporate bond data. It is well known in fact that these models lead to a strong understatement of the credit spread terms structure, particularly on the short maturity end.
Cherubini, U, MANERA, MATTEO
openaire +4 more sources
Cadernos de Saúde Pública, 2011 Estudos populacionais no Brasil apontam aumento da prevalência de excesso de peso e obesidade na população adulta, em todas as regiões. O objetivo deste estudo foi estimar a prevalência e identificar os principais fatores associados ao excesso de peso em
Marina Zago Ramos Lino +2 more
doaj +1 more source
Identificación del fenotipo ahorrador para la personalización del manejo del sobrepeso y la obesidad
Revista Médica Clínica Las Condes, 2022 Resumen: La obesidad es un problema grave que representa una alta carga para la salud de las personas y sus familias: genera una mayor discapacidad, pérdida de productividad, aumento de enfermedades y muerte prematura. Tradicionalmente, se ha considerado
N. Fernando Carrasco +1 more
doaj +1 more source