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Campbell, John Y. - 1998

According to conventional wisdom, long-term bonds are appropriate for long-term investors who value stability of income. We develop a model of optimal consumption and portfolio choice for infinitely-lived investors facing stochastic interest rates, solve it using an approximate analytical...

Persistent link: https://www.econbiz.de/10012472012

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

Investing Retirement Wealth : A Life-Cycle Model

Campbell, John Y. - 1999

If household portfolios are constrained by borrowing and short-sales restrictions asset markets, then alternative retirement savings systems may affect household welfare by relaxing these constraints. This paper uses a calibrated partial-equilibrium model of optimal life-cycle portfolio choice...

Persistent link: https://www.econbiz.de/10012471771

Portfolio Choice with Sustainable Spending : A Model of Reaching for Yield

Campbell, John Y. - 2020

We show that reaching for yield--a tendency to take more risk when the real interest rate declines while the risk premium remains constant--results from imposing a sustainable spending constraint on an otherwise standard infinitely lived investor with power utility. When the interest rate is...

Persistent link: https://www.econbiz.de/10012481982

Strategic Asset Allocation in a Continuous-Time VAR Model

Campbell, John Y. - 2003

This note derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and Viceira (1999), in which the expected excess return on a risky asset follows...

Persistent link: https://www.econbiz.de/10012469153

Foreign Currency for Long-Term Investors

Campbell, John Y. - 2002

rate falls, as implied by the theory of uncovered interest parity. Empirically this effect is important and can lead …

Persistent link: https://www.econbiz.de/10012469638

The Term Structure of Euromarket Interest Rates : An Empirical Investigation

Campbell, John Y. - 1986

Persistent link: https://www.econbiz.de/10012477126

Stock Returns and the Term Structure

Campbell, John Y. - 1985

It is well known that in the postwar period stockreturns have tended to be low when the short term nominal interest rate is high. In this paper I show that more generally the state of the term structure of interest rates predicts stock returns. Risk premia on stocks appear to move closely...

Persistent link: https://www.econbiz.de/10012477454

A Defense of Traditional Hypotheses About the Term Structure of InterestRates

Campbell, John Y. - 1984

constant through time. Under the former interpretation, different versions of the expectations theory of the term structure are … the theory. Furthermore, I argue that differences among expectations theories are of 'second order" in a precise …

Persistent link: https://www.econbiz.de/10012477578

A Simple Account of the Behavior of Long-Term Interest Rates

Campbell, John Y. - 1983

described by adistributed lag on short-term interest rates, but does not conform to the expectations theory of the term … risk premia, or deviations from the expectations theory. This enables the hypothesis of overreaction to be formally stated … long rate is primarily responsible for the failure of the expectations theory …

Persistent link: https://www.econbiz.de/10012477896