FRIC/Finance Seminar with Lorenzo Bretscher, HEC Lausanne

On Friday, November 20, 2020, Lorenzo Bretscher, HEC Lausanne will be giving an online seminar on the paper: "Uncertainty trends"

Friday, November 20, 2020 - 11:00 to 12:00

The Department of Finance and FRIC, Center for Financial Frictions, are proud to announce the upcoming online seminar with Lorenzo Bretscher, HEC Lausanne.

Lorenzo Bretscher will present: 

Uncertainty trends

ABSTRACT
Even after being orthogonalized with respect to the dividend price ratio, the volatility of total factor productivity (TFP volatility) is shown to have similar long-run predictive ability for excess market returns as the dividend price ratio itself. When seen through an asset pricing lens, this finding implies that TFP volatility should also predict real cash flows and/or real interest rates: it is found to mainly predict real cash flows through inflation rates. A model with endogenous growth, Epstein-Zin preferences and nominal price rigidities is shown to reconcile both uncertainty-driven long-run predictability and its real implications. Relying on the model, we justify why alternative notions of uncertainty (like market variance or economic policy uncertainty) have the same predictive ability as TFP volatility provided their priced low-frequency signal is extracted.

PDF iconFind the paper here.

Location and sign up:
This is an online seminar on Zoom.
Please contact us in order to sign up.

The page was last edited by: Department of Finance // 11/17/2020