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Modeling Bond Yields in Finance and Macroeconomics
Diebold, Francis X. - 2005
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint...
Persistent link: https://www.econbiz.de/10012467596
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Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility
Collin-Dufresne, Pierre - 2004
-section of bond prices. Separately, we propose an alternative to the canonical representation of affine models introduced by Dai … available, and (v) it isolates those parameters which are not identifiable from bond prices alone if the model is specified to …
Persistent link: https://www.econbiz.de/10012467934
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Bond Risk Premia
Cochrane, John H. - 2002
This paper studies time variation in expected excess bond returns. We run regressions of annual excess returns on … in bond yields. Therefore, it represents a source of yield curve movement not captured by most term structure models …. Though the return-forecasting factor accounts for more than 99% of the time-variation in expected excess bond returns, we …
Persistent link: https://www.econbiz.de/10012469532
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Monetary Policy, Bond Risk Premia, and the Economy
Ireland, Peter N. - 2015
This paper develops an affine model of the term structure of interest rates in which bond yields are driven by …
Persistent link: https://www.econbiz.de/10012457093
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Corporate Discount Rates
Gormsen, Niels; Huber, Kilian - National Bureau of Economic Research - 2023
Standard theory implies that the discount rates used by firms in investment decisions (i.e., their required returns to capital) determine investment and transmit financial shocks to the real economy. However, there exists little evidence on how firms' discount rates change over time and affect...
Persistent link: https://www.econbiz.de/10014322717
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The Rest of the World's Dollar-Weighted Return on U.S. Treasurys
Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno - National Bureau of Economic Research - 2022
Since 1980, foreign investors have timed their purchases and sales of U.S. Treasurys to yield particularly low returns. Their annual dollar-weighted returns, measured by IRRs, are around 3% lower than a buy-and-hold strategy over the same horizon. In comparison, the IRRs achieved by domestic...
Persistent link: https://www.econbiz.de/10013210117
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A Factor Analysis of Bond Risk Premia
Ludvigson, Sydney C. - 2009
This paper uses the factor augmented regression framework to analyze the relation between bond excess returns and the … statistically significant predictive power for excess bond returns. We show how a bias correction to the parameter estimates of … real activity for excess bond returns is robust even after accounting for finite sample inference problems. Forecasts of …
Persistent link: https://www.econbiz.de/10012463461
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Rational Expectations, the Expectations Hypothesis, and Treasury Bill Yields : An Econometric Analysis
Jones, David S. - 1982
This paper tests the joint hypothesis of rational expectations and the expectations model of the term structure for three- and six-month Treasury bills. Previous studies are extended in three directions. First, common efficient markets-rational expectations tests are compared, and it is shown...
Persistent link: https://www.econbiz.de/10012478242
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Forecasting the Term Structure of Government Bond Yields
Diebold, Francis X. - 2003
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross...
Persistent link: https://www.econbiz.de/10012468646
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Time-Varying Volatility and the Dynamic Behavior of the Term Structure
Engle, Robert F. - 1991
In this paper, we consider a framework with which the cross sectional and time series behavior of the yield curve can be studied simultaneously. We examine the relationship between the yield curve and the time-varying conditional volatility of the Treasury bill market. We demonstrate that...
Persistent link: https://www.econbiz.de/10012475329