Narrow search
Showing 1 - 10 of 483
Cover Image
Interest rate skewness and biased beliefs
Bauer, Michael D.; Chernov, Mikhail - 2021 - First draft: January 2021, this draft: June 16, 2021
curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …
Persistent link: https://www.econbiz.de/10012547050
Cover Image
Interest rates under falling stars
Bauer, Michael D.; Rudebusch, Glenn D. - 2017
*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of …
Persistent link: https://www.econbiz.de/10011688099
Cover Image
"Whatever It Takes!" : how tonality of TV-news affected government bond yield spreads during the European debt crisis
Hirsch, Patrick; Feld, Lars P.; Köhler, Ekkehard A.; … - 2024
Were government bond risk premia affected by the media in addition to the effects of major events? Revisiting the … European debt crisis, we analyze the role of television news in the rise and re-convergence of GIIPS bond spreads vis … stability and “international financial support” to distressed countries in reducing bond spreads. Moreover, weekend news enables …
Persistent link: https://www.econbiz.de/10014486807
Cover Image
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
Cover Image
An extended macro-finance model with financial factors
Dewachter, Hans; Iania, Leonardo - 2010
This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...
Persistent link: https://www.econbiz.de/10003937808
Cover Image
57 channels (and nothin on) : does TV-news on the Eurozone affect government bond yield spreads?
Wolfinger, Julia; Feld, Lars P.; Köhler, Ekkehard A.; … - 2018
This paper empirically investigates the relationship between TV news coverage and the GIIPS countries' bond yield …
Persistent link: https://www.econbiz.de/10011955600
Cover Image
US municipal green bonds and financial integration
Caporale, Guglielmo Maria; Spagnolo, Nicola - 2023
green bond returns and volatilities. On the whole, the evidence suggests weaker linkages, and thus a lower degree of …
Persistent link: https://www.econbiz.de/10014234020
Cover Image
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
Cover Image
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
Cover Image
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