Long Run Risk In The Term Structure Of Interest Rates PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Long Run Risk In The Term Structure Of Interest Rates PDF full book. Access full book title Long Run Risk In The Term Structure Of Interest Rates.
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 | : Olesya V. Grishchenko |
Publisher | : |
Total Pages | : 65 |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Term Structure of Interest Rates with Short-Run and Long-Run Risks Book in PDF, ePub and Kindle
Bond returns are time-varying and predictable. What economic forces drive this variation? To answer this long-standing question, we propose a consumption-based model with recursive preferences, long-run risks, and inflation non-neutrality. Our model offers two important insights. First, our model matches well the post-1990 nominal upward-sloping U.S. Treasury yield curve. Second, consistent with our model's implication, variance risk premium based on the U.S. interest rate derivatives data emerges as a strong predictor for short-horizon Treasury excess returns, above and beyond the predictive power of other popular factors. In the model equilibrium, the variance risk premium is related to the short-run risks in the economy, while standard forward-rate-based factors are associated with long-run risks in the economy.
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 | : |
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 | : 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 | : 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 | : Jessica A. Wachter |
Publisher | : |
Total Pages | : 52 |
Release | : 2011 |
Genre | : |
ISBN | : |
Download A Consumption-Based Model of the Term Structure of Interest Rates Book in PDF, ePub and Kindle
This paper proposes a consumption-based model that can account for many features of the nominal term structure of interest rates. The driving force behind the model is a time-varying price of risk generated by external habit. Nominal bonds depend on past consumption growth through habit and on expected inflation. When calibrated data on consumption, inflation, and the average level of bond yields, the model produces realistic volatility of bond yields and can explain key aspects of the expectations puzzle documented by Campbell and Shiller (1991) and Fama and Bliss (1987). When Actual consumption and inflation data are fed into the model, the model is shown to account for many of the short and long-run fluctuations in the short-term interest rate and the yield spread. At the same time, the model captures the high equity premium and excess stock market volatility.
Author | : |
Publisher | : Lulu.com |
Total Pages | : 294 |
Release | : 2004 |
Genre | : Bank capital |
ISBN | : 9291316695 |
Download International Convergence of Capital Measurement and Capital Standards 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
Author | : Ting Wu |
Publisher | : |
Total Pages | : 102 |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Essays on the Term Structure of Interest Rates and Long Run Variance of Stock Returns Book in PDF, ePub and Kindle
Abstract: In Chapter 1, I propose a term structure model based on risk-sensitive preferences. Following Hansen and Sargent (2008), I model a risk-sensitive consumer who shows aversion to uncertainties, and evaluates his utility using the max-min utility function. He considers three types of uncertainties: (a) uncertainty of future states; (b) uncertainty about current states; and (c) uncertainty about the model generating the data. I use a parameter to represent his aversion to the each uncertainty. The max-min utility function implies multiplicative adjustments to the standard pricing kernel.