Abhay Abhyankar

Publications (3)0 Total impact

• Source

  Available from: abdn.ac.uk

  Article: Dynamic Factors and the Predictability of Consumption Growth

  Abhay Abhyankar, Olga Klinkowska
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  ABSTRACT: In this paper we study the predictability of aggregate consumption growth using common factors extracted from a large panel of macroeconomic and financial time series. The stochastic process followed by consumption growth and its predictability by other variables is a key assumption in theoretical models in finance such as consumption-based asset pricing models. Research using empirical data to investigate these aspects of consumption growth is sparse. We find that selected dynamic factors are able to explain up to 36% of the consumption growth variability at quarterly frequency using both in-sample and out-of-sample predictive regressions. We find as well that a single common factor, which summarizes short term interest rates and spreads on bond rates, individually accounts for as much as 23% of this variation. We also conduct a battery of robustness check which further support our main conclusion.
  Capital Markets: Asset Pricing & Valuation eJournal. 09/2011;
• Source

  Available from: SSRN

  Article: Salvaging the C-CAPM: Currency Carry Trade Risk Premia and Conditioning Information

  Abhay Abhyankar, Angelica Gonzalez, Olga Klinkowska
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  ABSTRACT: We use a standard consumption-based asset pricing model incorporating conditioning information to explain the risk-return profile of currency carry trade portfolios. We use a scaled stochastic discount factor instead of scaled or managed portfolio returns as in previous work. Our conditioning variable is a forward-looking measure of net foreign assets. It arises from an intertemporal budget constraint and has predictive power for exchange rates. We find that our conditional consumption-CAPM is able to price a large part of the variation in cross-section of carry trade portfolios using cross-sectional as well as time series regression-based tests. Taken together, our results imply that the consumption-based models do still have a role to play in explaining excess returns on carry trade strategies.
  Information Systems & Economics eJournal. 09/2011;
• Source

  Available from: uc3m.es

  Article: Consumption Risk and the Cross-Section of Government Bond Returns

  Abhay Abhyankar, Olga Klinkowska, Soyeon Lee
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  ABSTRACT: We use a consumption-based asset pricing model with Epstein-Zin-Weil recursive preferences to explain the cross-section of excess returns on nominal US Treasury bond portfolios. We use a novel approach to extract the model factors from a FAVAR using a large panel; of macro and financial data. We find, over the period 1975-2006, that nominal government bonds are risky assets that pay off in good times characterized by good prospects for future consumption growth. Further, our model explains well the cross-sectional variation in average excess government bond returns, provides plausible estimates of the structural parameter and compares favourably with competing models. estimation methods.
  Capital Markets: Asset Pricing & Valuation eJournal. 03/2008;