Narrow search
Showing 1 - 10 of 2,589
Cover Image
The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
, premium components are less reactive to inflation shocks, while real rate responses change their sign from positive to …
Persistent link: https://www.econbiz.de/10012222610
Cover Image
Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2023
This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing...
Persistent link: https://www.econbiz.de/10014343097
Cover Image
Equity premium predictability over the business cycle
Mönch, Emanuel; Stein, Tobias - 2021
The equity premium follows a pronounced v-shape pattern around the beginning of recessions. It sharply drops into negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are preceded by an inverted yield curve. Thus probit models using...
Persistent link: https://www.econbiz.de/10012607106
Cover Image
Pricing the Bund term structure with linear regressions : without an observable short rate
Speck, Christian - 2023
Affine term structure models of bond yields are important tools for analyzing fixed income markets and monetary policy. Estimators of Adrian, Crump, and Mönch (2013) and Diez de Los Rios (2015) replace time-consuming nonlinear search procedures with a set of simple linear regressions. However,...
Persistent link: https://www.econbiz.de/10014320252
Cover Image
Decomposition of country-specific corporate bond spreads
Dötz, Niko - 2014
This paper presents a new approach, based on the Merton model, to decomposing corporate bond spreads into the expected loss, bond risk premium and liquidity premium components. The approach focuses on establishing the bond risk premium using the equity risk premium and the hedge ratio, which are...
Persistent link: https://www.econbiz.de/10010458538
Cover Image
Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2021
This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential...
Persistent link: https://www.econbiz.de/10012655372
Cover Image
Households' probabilistic inflation expectations in high-inflation regimes
Becker, Christoph; Dürsch, Peter; Eife, Thomas A.; … - 2023
Central bank surveys frequently elicit households’ probabilistic beliefs about future inflation. However, most … household surveys use a response scale that is tailored towards low-inflation regimes. Using data from a randomized controlled … trial included in the Bundesbank Online Panel Households, we show (i) that keeping the original scale in high-inflation …
Persistent link: https://www.econbiz.de/10014472800
Cover Image
The macroeconomic effects of inflation uncertainty
Metiu, Norbert; Prieto, Esteban - 2023
The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level … increase after a positive shock to core inflation uncertainty in a vector autoregression. Endogenous changes in household … inflation expectations help to understand the transmission mechanism through which an inflation uncertainty shock generates …
Persistent link: https://www.econbiz.de/10014436184
Cover Image
Extreme inflation and time-varying consumption growth
Dergunov, Ilya; Meinerding, Christoph; Schlag, Christian - 2019
In a parsimonious regime switching model, expected consumption growth varies over time. Adding in ation as a conditioning variable, we uncover two states in which expected consumption growth is low, one with high and one with negative expected in ation. Embedded in a general equilibrium asset...
Persistent link: https://www.econbiz.de/10012000570
Cover Image
An affine multifactor model with macro factors for the German term structure : changing results during the recent crises
Halberstadt, Arne; Stapf, Jelena - 2012
Using arbitrage-free affine models, we analyze the dynamics of German bond yields and risk premia for the period 1999 to 2010 (EMU). We estimate two model specifications, one with only latent factors, and another one with a Taylor-type rule comprising a price and a real activity factor drawn...
Persistent link: https://www.econbiz.de/10009656194