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Term Structure Estimation with Survey Data on Interest Rate Forecasts

Kim, Don H.; Orphanides, Athanasios - C.E.P.R. Discussion Papers - 2005

The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk is beset by a severe small-sample problem arising from the highly persistent nature of interest rates. We propose using survey forecasts of a short-term interest rate as an...

Persistent link: https://www.econbiz.de/10005067482

Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach

Bams, Dennis; Wolff, Christian C - C.E.P.R. Discussion Papers - 2000

This paper proposes a panel data approach to modeling the risk premium in the term structure of interest rates. Specifically, we develop a fixed maturity/random time effects model that implies a time-invariant one-factor model. Our approach allows us to disentangle risk premia and unexpected...

Persistent link: https://www.econbiz.de/10005123603

Macroeconomics and the Term Structure

Gürkaynak, Refet S.; Wright, Jonathan - C.E.P.R. Discussion Papers - 2010

This paper provides an overview of the analysis of the term structure of interest rates with a special emphasis on recent developments at the intersection of macroeconomics and finance. The topic is important to investors and also to policymakers, who wish to extract macroeconomic expectations...

Persistent link: https://www.econbiz.de/10008642882

Identifying Taylor rules in macro-finance models

Backus, David; Chernov, Mikhail; Zin, Stanley E. - C.E.P.R. Discussion Papers - 2013

Identification problems arise naturally in forward-looking models when agents observe more than economists. We illustrate the problem in several macro-finance models with Taylor rules. When the shock to the rule is observed by agents but not economists, identification of the rule's parameters...

Persistent link: https://www.econbiz.de/10011083775

Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt

Guibaud, Stéphane; Nosbusch, Yves; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2013

We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at different lifecycle stages in an overlapping-generations economy. An optimal maturity structure exists in the absence of distortionary taxes and...

Persistent link: https://www.econbiz.de/10011083839

Identification and Inference Using Event Studies

Gürkaynak, Refet S.; Wright, Jonathan - C.E.P.R. Discussion Papers - 2013

that help address questions such as the slope of bond demand functions and the efficacy of central bank liquidity programs …

Persistent link: https://www.econbiz.de/10011084634

The Cross-Section and Time-Series of Stock and Bond Returns

Koijen, Ralph; Lustig, Hanno; van Nieuwerburgh, Stijn - C.E.P.R. Discussion Papers - 2012

Value stocks have higher exposure to innovations in the nominal bond risk premium than growth stocks. Since the nominal … bond risk premium measures cyclical variation in the market’s assessment of future output growth, this results in a value … recessions when nominal bond risk premia are low and declining, are associated with lower future dividend growth rates on value …

Persistent link: https://www.econbiz.de/10011083286

The Price of Liquidity: Bank Characteristics and Market Conditions

Fecht, Falko; Nyborg, Kjell G; Rocholl, Jörg - C.E.P.R. Discussion Papers - 2010

We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the overnight index swap. We have price data at the...

Persistent link: https://www.econbiz.de/10008530368

Banking and Sovereign Risk in the Euro Area

Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - C.E.P.R. Discussion Papers - 2010

We study the determinants of euro area sovereign bond spreads since the introduction of the euro. An aggregate risk …

Persistent link: https://www.econbiz.de/10008468513

Sovereign Risk Premia in the European Bond Market

Bernoth, Kerstin; Schuknecht, Ludger; von Hagen, Jürgen - C.E.P.R. Discussion Papers - 2004

This Paper provides a study of bond yield differentials among EU eurobonds issued between 1991 and 2002. Interest … and debt-service ratio and depend positively on the issuer's relative bond market size. Global investors' attitude towards … credit risk, measured as the yield spread between low grade US corporate bonds and government bonds, also affects bond yield …

Persistent link: https://www.econbiz.de/10005123697

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