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The purpose of this paper is to determine the impact of rare disaster risks, captured by the El Niño-Southern Oscillation (ENSO) cycle, on the volatility of Treasury securities of the United States (US) involving 1- to 360-month maturities. We use a random coefficient panel-data-based heterogeneous autoregressive-realized variance (HAR-RV) model over the monthly period of 1961:06 to 2019:12, with the monthly RV derived from the sum of squared daily changes in yield within a month. Our results show a positive and statistically significant (at the 1% level) impact of the ENSO cycle on RV, with the results being robust to alternative metrics of the ENSO, consideration of lagged values, and decomposition of the ENSO cycle into El Niño and La Niña phases, with the former having a relatively stronger effect. Based on the panel estimation method using heterogeneous slope coefficients, we find that the impact on the entire term-structure is positive yet stronger at the two-ends and the middle-part of the term-structure. Our findings have important implications for investors in US Treasury securities. [ABSTRACT FROM AUTHOR]

We analyze the ability of a newspaper-based economic sentiment index of the United States to predict housing market movements using daily data from 2nd August, 2007 to 19th June, 2020. For this purpose, we use a nonparametric causality-in-quantiles test, which allows us to test for predictability over the entire conditional distribution of not only housing returns, but also volatility, by controlling for misspecification due to nonlinearity and structural breaks. Our results show that economic sentiment does predict housing returns (unlike the conditional mean-based Granger causality test) and volatility, barring the extreme upper ends of the respective conditional distributions. [ABSTRACT FROM AUTHOR]

In this paper, we first estimate the monthly realised correlation, based on daily data, between stock returns of the United States (US) and Bitcoin returns. Then, we relate the realised correlation over the period October 2011 to May 2019 with a news‐based measure of the growth of trade uncertainty of the US. Our results show that the realised correlation is negatively impacted by increases in trade uncertainty, which continues to hold under alternative robustness checks, suggesting that Bitcoin can act as a hedge relative to the conventional stock market in the wake of heightened trade policy‐related uncertainties, and provide diversification benefits for investors. [ABSTRACT FROM AUTHOR]

Recent evidence, based on a linear framework, tends to suggest that while mortgage default risks can predict weekly and monthly housing returns of the United States, the same does not hold at the daily frequency. We, however, indicate that the relationship between daily housing returns with mortgage default risks is in fact nonlinear, and hence a linear predictive model is misspecified. Given this, we use a k-th order nonparametric causality-in-quantiles test, which in turn allows us to test for predictability over the entire conditional distribution of not only housing returns, but also volatility, by controlling for misspecification due to nonlinearity. Based on this model, we show that mortgage default risks do indeed predict housing returns and volatility, barring at the extreme upper end of the respective conditional distributions. [ABSTRACT FROM AUTHOR]

The article discusses the importance of fine wine as an alternative investment during the equity market downturns. Topics discussed includes factors affecting wine prices, the risk-return relationship and hedge characteristics of fine wine and correlation between fine wines and the U.S. consumer price index.