Essays On Economic Uncertainty And Macro-Finance

@inproceedings{Liu2017EssaysOE,
  title={Essays On Economic Uncertainty And Macro-Finance},
  author={Yang Liu},
  year={2017}
}
This dissertation studies topics in macro-finance with a focus on economic uncertainty. The first chapter (Government Debt and Risk Premia) studies the implications of government debt for asset prices. I document a set of new facts that government debt is related to risk premia in various asset markets. First, the debt-to-GDP ratio positively predicts excess stock returns. The forecast power is compelling, and it outperforms many popular predictors. Second, higher debt-to-GDP ratio is… CONTINUE READING

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