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van Binsbergen, Jules H. - 2019

We estimate risk-free interest rates unaffected by convenience yields on safe assets. We infer them from risky asset prices without relying on any specific model of risk. We obtain a term structure of convenience yields with maturities up to 2.5 years at a minutely frequency. The convenience...

Persistent link: https://www.econbiz.de/10012480084

Intermediary Balance Sheets and the Treasury Yield Curve

Du, Wenxin; Hébert, Benjamin; Li, Wenhao - National Bureau of Economic Research - 2022

We document regime change in the U.S. Treasury market post-Global Financial Crisis (GFC): dealers switched from a net short to a net long position in the Treasury market. We first derive bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net...

Persistent link: https://www.econbiz.de/10013334440

Inflation Hedging on Main Street? Evidence from Retail TIPS Fund Flows

Nagel, Stefan; Yan, Zhen - National Bureau of Economic Research - 2022

Households participating in financial markets pay attention to inflation news when making their investment decisions …, even in an environment of mostly low and stable inflation. ETFs and open-ended mutual funds holding Treasury Inflation …-based inflation expectations measures increase. Changes in household survey expectations or in measures of inflation uncertainty do …

Persistent link: https://www.econbiz.de/10013462740

Monetary Policy and Regional Interest Rates in the United States, 1880-2002

Landon-Lane, John - 2004

The long running debate among economic historians over how long it took regional financial markets in the United States to become fully integrated should be of considerable interest to students of monetary unions. This paper reviews the debate, discusses the implications of various hypotheses...

Persistent link: https://www.econbiz.de/10012467763

Inflation and Treasury Convenience

Cieślak, Anna; Li, Wenhao; Pflueger, Carolin E. - National Bureau of Economic Research - 2024

Using a century of data, we show that Treasury convenience yield and inflation comove positively during the … inflationary 1970s-1980s, but negatively pre-WWII and post-2000. An inflation decomposition reveals that higher supply inflation … predicts higher convenience, while lower demand inflation follows higher convenience. In our model, inflationary cost …

Persistent link: https://www.econbiz.de/10015056207

Macro Factors in Bond Risk Premia

Ludvigson, Sydeny C. - 2005

linear combinations we form are driven by both "real" and "inflation" macro factors, in addition to financial factors, and …

Persistent link: https://www.econbiz.de/10012466969

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

Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills

Nelson, Charles R. - 1985

A new model is proposed for representinq the term to maturity structure of interest rates at a point in time.The model produces humped, monotonic and S-shaped yield curves using four parameters. Conditional on a time decay parameter, estimates of the other three are obtained by least squares....

Persistent link: https://www.econbiz.de/10012477490

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models

Andersen, Torben G. - 2007

We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term structure models. To this end, we construct powerful and model-free empirical measures of the quadratic yield variation for a cross-section of fixed-maturity zero-coupon bonds...

Persistent link: https://www.econbiz.de/10012465694

Price Discovery in the U.S. Treasury Market : The Impact of Orderflow and Liquidity on the Yield Curve

Brandt, Michael W. - 2003

We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) can account for as much as 26 percent of the day-to-day variation in...

Persistent link: https://www.econbiz.de/10012469173

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