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Riding the Yield Curve : Risk Taking Behavior in a Low Interest Rate Environment

Chami, Ralph - 2020

Investors seek to hedge against interest rate risk by taking long or short positions on bonds ofdifferent maturities. We study changes in risk taking behavior in a low interest rateenvironment by estimating a market stochastic discount factor that is non-linear and thereforeconsistent with the...

Persistent link: https://www.econbiz.de/10012836549

German Bond Yields and Debt Supply : Is There a 'Bund Premium'?

Paret, Anne-Charlotte - 2019

, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …

Persistent link: https://www.econbiz.de/10012858387

A Macroeconomic Approach to the Term Premium

Kopp, Emanuel - 2018

In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy, and an inflation...

Persistent link: https://www.econbiz.de/10012913929

Monetary Transaction Costs and the Term Premium

Espinoza, Raphael A. - 2013

-term liquidity effects, where monetary costs act as transaction costs and the quantity theory of money is verified …

Persistent link: https://www.econbiz.de/10013082855

Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy

Katagiri, Mitsuru - 2018

Upward sloping yield curves are hard to reconcile with the positive association between income and inflation (the Phillips curve) in consumption-based asset pricing models. Using US and UK data, this paper shows inflation is negatively correlated with long-run income growth but positively...

Persistent link: https://www.econbiz.de/10012906878

Default Premium

Catão, Luis - 2015

help reconnect theory and evidence on why sovereign defaults are infrequent and earlier debt settlements are desirable …

Persistent link: https://www.econbiz.de/10013016580

Bond Yields in Emerging Economies : It Matters What State You are in

Jaramillo, Laura - 2012

that the extent to which fiscal variables affect domestic bond yields in emerging economies depends on the level of global … domestic bond yields in emerging economies. However, when market participants are on edge, they pay greater attention to …

Persistent link: https://www.econbiz.de/10013098609

Can Global Liquidity Forecast Asset Prices?

Darius, Reginald - 2012

During the period leading up to the global financial crisis many asset classes registered rapid price increases. This coincided with a significant rise in global liquidity. This paper attempts to determine the extent to which the rise in asset prices was influenced by developments in global...

Persistent link: https://www.econbiz.de/10013101069

The Long-Run Impact of Sovereign Yields on Corporate Yields in Emerging Markets

Li, Delong; Magud, Nicolas; Werner, Alejandro M.; … - 2022

We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the …

Persistent link: https://www.econbiz.de/10013306799

How Do Experts Forecast Sovereign Spreads?

Cimadomo, Jacopo - 2016

This paper assesses how forecasting experts form their expectations about futuregovernment bond spreads. Using monthly … bond yield differential over abenchmark German 10-year bond. Our main result is that a projected improvement of thefiscal …' expectations and reduce the pressure onsovereign bond markets. In addition, we show that expected fundamentals generally play amore …

Persistent link: https://www.econbiz.de/10012977869