Economic events and the volatility of government bill rates
Chao Xiao,
Yu Lou,
Jie Liu,
Yuan Zhao and
Yikang Tian
PLOS ONE, 2022, vol. 17, issue 10, 1-21
Abstract:
Many studies show that in many countries (especially the G7), volatility in government bill rates far exceeds that in consumption growth rates. This volatility puzzle cannot be predicted by traditional disaster models, in which rare economic disasters are defined as a peak-to-trough percent fall in consumption (or real per capita GDP) by a high threshold (≥10%). For this purpose, we extend the traditional definition of rare economic disasters and propose a novel asset pricing model that models both good and bad events. We define a bad (or good) event as a peak-to-trough absolute decline (or a trough-to-peak absolute rise) in consumption growth rates by a low threshold (
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0276345 (text/html)
https://journals.plos.org/plosone/article/file?id= ... 76345&type=printable (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0276345
DOI: 10.1371/journal.pone.0276345
Access Statistics for this article
More articles in PLOS ONE from Public Library of Science
Bibliographic data for series maintained by plosone ().