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The Term Structure of Real Interest Rates: Theory and Evidence from UK Index-Linked Bonds

Seppälä, Juha - Suomen Pankki - 2000

This paper studies the behavior of the default-risk-free real term structure and term premia in two general equilibrium endowment economies with complete markets but without money. In the first economy there are no frictions as in Lucas (1978) and in the second risk-sharing is limited by the...

Persistent link: https://www.econbiz.de/10005648948

Predictable Changes in Yields and Forward Rates

Backus, David; Wu, Liuren; Foresi, Silverio; Mozumdar, Abon - National Bureau of Economic Research (NBER) - 1998

We consider the patterns in the predictability of interest rates expectations hypothesis (EH), and attempt to account for them with affine models. We make the following points: (i) Discrepancies in the data from the EH take a particularly simple form with forward rates: as theory suggests, the...

Persistent link: https://www.econbiz.de/10005829923

Discrete-Time Models of Bond Pricing

Backus, David; Foresi, Silverio; Telmer, Chris - National Bureau of Economic Research (NBER) - 1998

We explore a variety of models and approaches to bond pricing, including those associated with Vasicek, Cox …

Persistent link: https://www.econbiz.de/10005830229

Identifying Taylor Rules in Macro-Finance Models

Backus, David; Zin, Stanley E.; Chernov, Mikhail - National Bureau of Economic Research (NBER) - 2013

Identification problems arise naturally in forward-looking models when agents observe more than economists. We illustrate the problem in several New Keynesian and macro-finance models in which the Taylor rule includes a shock unseen by economists. We show that identification of the rule's...

Persistent link: https://www.econbiz.de/10011250950

Testable Implications of Affine Term Structure Models

Hamilton, James; Wu, Jing Cynthia - National Bureau of Economic Research (NBER) - 2011

Affine term structure models have been used to address a wide range of questions in macroeconomics and finance. This paper investigates a number of their testable implications which have not previously been explored. We show that the assumption that certain specified yields are priced without...

Persistent link: https://www.econbiz.de/10008919731

Equity Yields

Binsbergen, Jules H. van; Hueskes, Wouter; Koijen, Ralph; … - National Bureau of Economic Research (NBER) - 2011

, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose these yields …

Persistent link: https://www.econbiz.de/10009294891

Betting Against Beta

Frazzini, Andrea; Pedersen, Lasse Heje - National Bureau of Economic Research (NBER) - 2010

We present a model in which some investors are prohibited from using leverage and other investors' leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin constraints....

Persistent link: https://www.econbiz.de/10008765617

The Liquidity Premium of Near-Money Assets

Nagel, Stefan - National Bureau of Economic Research (NBER) - 2014

Treasury bills and other near-money assets provide owners with liquidity service benefits that are reflected in prices in the form of a liquidity premium. I relate time variation in this liquidity premium to changes in the opportunity cost of money: The liquidity service benefits of near-money...

Persistent link: https://www.econbiz.de/10010796585

Flights to Safety

Bekaert, Geert; Baele, Lieven; Inghelbrecht, Koen; Wei, Min - National Bureau of Economic Research (NBER) - 2013

characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to … safety episodes for 23 countries. On average, FTS days comprise less than 5% of the sample, and bond returns exceed equity … in FTS episodes. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic growth and …

Persistent link: https://www.econbiz.de/10010696634

Global Sunspots and Asset Prices in a Monetary Economy

Farmer, Roger E. A. - National Bureau of Economic Research (NBER) - 2015

This paper constructs a simple model in which asset price fluctuations are caused by sunspots. Most existing sunspot models use local linear approximations: instead, I construct global sunspot equilibria. My agents are expected utility maximizers with logarithmic utility functions, there are no...

Persistent link: https://www.econbiz.de/10011165120

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