Term Structure Of Interest Rates With Short Run And Long Run Risks PDF Download
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Author | : Olesya V. Grishchenko |
Publisher | : |
Total Pages | : 74 |
Release | : 2017 |
Genre | : |
ISBN | : |
Download Term Structure of Interest Rates with Short-Run and Long-Run Risks Book in PDF, ePub and Kindle
Interest rate variance risk premium (IRVRP), the difference between implied and realized variances of interest rates, emerges as a strong predictor of Treasury bond returns of maturities ranging between one and ten years for return horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk premium. These results are robust in a number of dimensions. We rationalize our findings within a consumption-based model with long-run risk, economic uncertainty, and inflation non-neutrality. In the model interest rate variance risk premium is related to short-run risk only, while standard forward-rate-based factors are associated with both short-run and long-run risks in the economy. Our model qualitatively replicates the predictability pattern of IRVRP for bond returns.
Author | : Henrik Hasseltoft |
Publisher | : |
Total Pages | : 184 |
Release | : 2009 |
Genre | : |
ISBN | : 9789172588059 |
Download Essays on the Term Structure of Interest Rates and Long-run Risks Book in PDF, ePub and Kindle
Author | : Rajna Gibson |
Publisher | : Now Publishers Inc |
Total Pages | : 171 |
Release | : 2010 |
Genre | : Business & Economics |
ISBN | : 1601983727 |
Download Modeling the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author | : Mirko Abbritti |
Publisher | : International Monetary Fund |
Total Pages | : 41 |
Release | : 2013-11-05 |
Genre | : Business & Economics |
ISBN | : 1475513313 |
Download Global Factors in the Term Structure of Interest Rates Book in PDF, ePub and Kindle
This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.
Author | : Taeyoung Doh |
Publisher | : |
Total Pages | : 44 |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Long Run Risks in the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Using Bayesian methods, this paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their timevarying volatility determine asset price variation. The analysis of the U.S. nominal term structure data from 1953 to 2006 shows that i) agents dislike high uncertainty and demand compensation for volatility risks, ii) the time variation of the term premium is driven by the compensation for fluctuating inflation volatility, and iii) estimates of risk factors are broadly consistent with survey data evidence.
Author | : Hwagyun Kim |
Publisher | : |
Total Pages | : 52 |
Release | : 2011 |
Genre | : |
ISBN | : |
Download A Monetary Explanation of the Term Structure of Interest Rates and Bond Risk Premia Book in PDF, ePub and Kindle
This paper presents a monetary model of the term structure of interest rates. This model is intended to explain the stylized facts in Treasury yields including counter cyclical variations of bond risk premia without challenging both short-run and long-run monetary facts. To this end, we study the roles of a segmented asset market, habit formation, and inflation targeting in a cash-in-advance model. We provide a monetary general equilibrium justification of an affine term structure model with a flexible market price of risk. Quantitative results show that the model can capture the features in the nominal term structure.
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Long Run Risk in the Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : Burton Gordon Malkiel |
Publisher | : Princeton University Press |
Total Pages | : 294 |
Release | : 2015-12-08 |
Genre | : Business & Economics |
ISBN | : 1400879787 |
Download Term Structure of Interest Rates Book in PDF, ePub and Kindle
Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.
Author | : Frank J. Bonello |
Publisher | : |
Total Pages | : 300 |
Release | : 1968 |
Genre | : Interest and usury |
ISBN | : |
Download The Term Structure of Interest Rates Book in PDF, ePub and Kindle
Author | : Jane Dokko |
Publisher | : |
Total Pages | : 76 |
Release | : 2009 |
Genre | : Monetary policy |
ISBN | : |
Download Monetary Policy and the Housing Bubble Book in PDF, ePub and Kindle