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An Application of Index Numbers Theory to Interest Rates
Huerga, Javier; Steklacova, Lucia - 2021
This paper uses index number theory to disentangle changes in aggregate retail interest rates due to changes in … optimal calculation of a binary index using axiomatic index number theory; on that basis, chain and direct indices are …"), on the basis of the "difference" index numbers recently revisited by Diewert (2005). The paper, first discusses the …
Persistent link: https://www.econbiz.de/10013316478
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Liquidity and Credit Risk Premia in Government Bond Yields
Ejsing, Jacob - 2012
This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences...
Persistent link: https://www.econbiz.de/10013106056
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Consumption Volatility Risk and the Inversion of the Yield Curve
Grasso, Adriana - 2018
We propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In our framework the agent is subject to time-varying macroeconomic risk and interest rates at all maturities depend on her risk perception which shape saving propensities over...
Persistent link: https://www.econbiz.de/10012921898
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Predicting Risk Premia in Short-Term Interest Rates and Exchange Rates
Gräb, Johannes - 2018
We assess the ability of yield curve factors to predict risk premia in short-term interest rates and exchange rates across a large sample of major advanced economies. We find that the same tick-shaped linear combination of (relative) bond yields predicts risk premia in both short-term interest...
Persistent link: https://www.econbiz.de/10012926459
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The Yield Curve and Macroeconomic Dynamics
Hördahl, Peter; Tristani, Oreste; Vestin, David - 2021
We show that microfounded DSGE models with nominal rigidities can be successful in replicating features of bond yield data which have previously been considered puzzling in general equilibrium frameworks. Consistent with empirical evidence, we obtain average holding period returns that are...
Persistent link: https://www.econbiz.de/10013316763
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The Term Structure of Equity Premia in an Affine Arbitrage-Free Model of Bond and Stock Market Dynamics
Lemke, Wolfgang; Werner, Thomas - 2021
We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...
Persistent link: https://www.econbiz.de/10013316384
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Term Premia Implications of Macroeconomic Regime Changes
Carboni, Giacomo - 2014
Term premia are shown to provide crucial information for discriminating among alternative sources of change in the economy, and namely shifts in the variance of structural shocks and in monetary policy. These sources have been identified as competing explanations for time-varying features of...
Persistent link: https://www.econbiz.de/10013052937
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The Term Structure of Risk Premia : New Evidence from the Financial Crisis
Berg, Tobias - 2010
This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...
Persistent link: https://www.econbiz.de/10013146561
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The Pricing of G7 Sovereign Bond Spreads : The Times, They are A-Changin
D'Agostino, Antonello - 2013
Against the background of the current debate about fiscal sustainability in several advanced economies, this paper estimates determinants of G7 sovereign bond spreads, using high‐frequency proxies for market expectations about macroeconomic fundamentals and allowing for time‐varying...
Persistent link: https://www.econbiz.de/10013086465
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The Financial and Macroeconomic Effects of OMT Announcements
Altavilla, Carlo - 2014
This study evaluates the macroeconomic effects of Outright Monetary Transaction (OMT) announcements by the European Central Bank (ECB). Using high-frequency data, we find that OMT announcements decreased the Italian and Spanish 2-year government bond yields by about 2 percentage points, while...
Persistent link: https://www.econbiz.de/10013051170