Macroeconomic state variables as determinants of asset price covariances
Board of Governors of the Federal Reserve System, 1996 - Investments - 33 pages
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1-month UK Euro 1-year US bond 10-year US bond 3-month Eurorate actual cross-products alternative Asset Price Covariances asset returns bivariate bond 0.10 German call money rate conditional heteroskedasticity conditional variance correlations lower Covariance Matrix Determinants of Asset discount bond end-of-month estimated models factor loadings factor-based heteroskedastic GARCH factors GARCH Federal Reserve System Finance Discussion Papers GARCH in factors GARCH in returns GARCH models German 1-year homoskedastic model hypothesis of homoskedasticity interest rates International Finance Discussion Japan Japanese call money Japanese inflation likelihood ratio test linear function log likelihood functions lower triangular matrix Macroeconomic State Variables macroeconomic variables measured in dollars moments of returns monetary policy null hypothesis observable factors orthogonalized Panel portfolio weights residual risk management models simulated state-dependence statistic true std.dev Table true VaR GARCH U.S. industrial production U.S. inflation UK bond underlying state variables unemployment rate variance-covariance matrix variances and covariances variances on diagonal variation yield to maturity