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Baumeister, Christiane - 2021

Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

Persistent link: https://www.econbiz.de/10012622575

Testing the Fisher hypothesis in the G-7 Countries using i(d) techniques

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017

This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more general than the standard ones based on the classical I(0)/I(1) dichotomy. Two sets of results are obtained under the alternative assumptions of white noise and Bloomfield (1973)...

Persistent link: https://www.econbiz.de/10011654734

Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …

Persistent link: https://www.econbiz.de/10003983199

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

Gollier, Christian - 2012

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

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

Macro news and bond yield spreads in the Euro area

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014

estimation of a VAR-GARCH model. The results can be summarized as follows. Negative news have significant positive effects on … reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …

Persistent link: https://www.econbiz.de/10010417491

Robust bond risk premia

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

Yield curve and financial uncertainty : evidence based on US data

Castelnuovo, Efrem - 2019

How do short and long term interest rates respond to a jump in financial uncertainty? We address this question by conducting a local projections analysis with US monthly data, period: 1962-2018. The state-of-the-art financial uncertainty measure proposed by Ludvigson, Ma, and Ng (2019) is found...

Persistent link: https://www.econbiz.de/10012029082

Movements in yields, not the equity premium : Bernanke-Kuttner redux

Nagel, Stefan; Xu, Zhengyang - 2024

We show that the stock market price reaction to monetary policy surprises upon announcements of the Federal Open Market Committee (FOMC) is explained mostly by changes in the default-free term structure of yields, not by changes in the equity premium. We reach this conclusion based on a new...

Persistent link: https://www.econbiz.de/10015052545

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