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Investors' Portfolio Behavior Under Alternative Models of Long-Term Interest Rate Expectations : Unitary, Rational, or Autoregressive
Friedman, Benjamin M. - 1980
This paper develops behavioral relationships explaining investors' demands for long-term bonds, using three alternative hypotheses about investors' expectations of future bond prices (yields). The results, based on U.S. 'data for six major categories of bond market investors, consistently...
Persistent link: https://www.econbiz.de/10012478678
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"Peso Problem" Explanations for Term Structure Anomalies
Bekaert, Geert - 1997
We examine the empirical evidence on the expectations hypothesis of the term structure of interest rates in the United States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector-autoregressive" methodology. We argue that anomalies in the U.S. term...
Persistent link: https://www.econbiz.de/10012472666
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Inflation-Indexed Bonds and the Expectations Hypothesis
Pflueger, Carolin E. - 2011
This paper empirically analyzes the Expectations Hypothesis (EH) in inflation-indexed (or real) bonds and in nominal bonds in the US and in the UK. We strongly reject the EH in inflation-indexed bonds, and also confirm and update the existing evidence rejecting the EH in nominal bonds. This...
Persistent link: https://www.econbiz.de/10012461754
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Interest Rate Skewness and Biased Beliefs
Bauer, Michael D.; Chernov, Mikhail - National Bureau of Economic Research - 2021
Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield curve. Most importantly, variation in yield skewness has...
Persistent link: https://www.econbiz.de/10012585438
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Expected Future Tax Policy and Tax-Exempt Bond Yields
Poterba, James M. - 1984
This paper tests several competing models of municipal bond market equilibrium. It analyzes the influence of changes in both personal and corporate tax reforms on the yield spread between taxable and tax-exempt interest rates. The findings suggest that changes in personal income tax rates have...
Persistent link: https://www.econbiz.de/10012477619
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On Expectations, Term Premiums and the Volatility of Long-Term Interest Rates
Pesando, James E. - 1980
The paper first identifies how large must be the range in which ex ante yields on long-relative to short-term bonds vary if term premiums -- are to account for a significant fraction of the variance of the holding- period yields on long-term bonds. This paper then extends Shiller's bound to the...
Persistent link: https://www.econbiz.de/10012478530
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A Quantity-Driven Theory of Term Premia and Exchange Rates
Greenwood, Robin - 2020
We develop a model in which specialized bond investors must absorb shocks to the supply and demand for long-term bonds in two currencies. Since long-term bonds and foreign exchange are both exposed to unexpected movements in short-term interest rates, a shift in the supply of long-term bonds in...
Persistent link: https://www.econbiz.de/10012481468
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Predictable Changes in Yields and Forward Rates
Backus, David - 1998
simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable …
Persistent link: https://www.econbiz.de/10012472439
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Yield Spreads and Interest Rate Movements : A Bird's Eye View
Campbell, John Y. - 1989
The expectations theory of the term structure implies that the spread between a longer-term interest rate and a shorter … the longer-term bond tends to fall, contrary to the expectations theory; at the same time, the shorter-term interest rate … tends to rise, just as the expectations theory requires. We discuss several possible interpretations of these findings. We …
Persistent link: https://www.econbiz.de/10012475890
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Exchange-Rate Expectations and Nominal Interest Differentials : A Test ofthe Fisher Hypothesis
Cumby, Robert E. - 1980
This note tests the hypothesis that nominal interest differentials between similar assets denominated in different currencies can be explained entirely by the expected change in the exchange rate over the holding period. This proposition, often called the "Fisher open" hypothesis or the...
Persistent link: https://www.econbiz.de/10012478598