Similar Search Results

Bauer, Michael D.; Hamilton, James D. - 2015 - Rev.: September 25, 2015

A consensus has recently emerged that a number of variables in addition to the level, slope, and curvature of the term structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used to support this conclusion are subject to very...

Persistent link: https://www.econbiz.de/10011346306

Resolving the spanning puzzle in macro-finance term structure models

Bauer, Michael D.; Rudebusch, Glenn D. - 2015

Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is...

Persistent link: https://www.econbiz.de/10010476670

Interest rates under falling stars

Bauer, Michael D.; Rudebusch, Glenn D. - 2017

Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key determinants of the term structure of interest rates. However, term structure analyses generally assume that these endpoints are constant. Instead, we show that allowing for time...

Persistent link: https://www.econbiz.de/10011688099

Quantitative easing in the euro area : an event study approach

Urbschat, Florian; Watzka, Sebastian - 2017

We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....

Persistent link: https://www.econbiz.de/10011743065

Inflation, endogenous market segmentation and the term structure of interest rates

Vries, Casper G. de; Wang, Xuedong - 2015

The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...

Persistent link: https://www.econbiz.de/10011288797

Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes

Gollier, Christian - 2012

Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...

Persistent link: https://www.econbiz.de/10009689360

Asset pricing with uncertain betas : a long-term perspective

Gollier, Christian - 2013

How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...

Persistent link: https://www.econbiz.de/10009691703

Cash flow duration and the term structure of equity returns

Weber, Michael - 2016

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...

Persistent link: https://www.econbiz.de/10011521939

Restrictions on risk prices in dynamic term structure models

Bauer, Michael D. - 2015

Restrictions on the risk-pricing in dynamic term structure models (DTSMs) can unleash the power of no-arbitrage by creating a tighter link between cross-sectional and time-series variation of interest rates. This paper presents a new econometric framework for estimation of affine Gaussian DTSMs...

Persistent link: https://www.econbiz.de/10010491726

Liquidity, term spreads and monetary policy

Aksoy, Yunus; Basso, Henrique S. - 2012

profitability of banks’ portfolios affect their ability to cover for any liquidity shortage and hence influence the premium they … liquidity shock leads to a sharp decrease in long-term rates and term spreads. Third, such interventions have significant impact … on long-term investment, decreasing the amplitude of output responses after a liquidity shock. The short-term rate does …

Persistent link: https://www.econbiz.de/10009682825