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The Term Structure of the Forward Premium
Hakkio, Craig S. - 2013
. The paper proposes an equilibrium theory of the term structure of the forward premium. By combining the theory of the term … expression for the expected one month forward premium. The theory will then impose highly non-linear cross equation restrictions … indicate that the data are consistent with the theory for Germany and inconsistent with the theory for Canada …
Persistent link: https://www.econbiz.de/10012754712
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The Impact of Foreign Interest Rates on the Economy : The Role of the Exchange Rate Regime
di Giovanni, Julian - 2012
It is often argued that many economies are affected by conditions in foreign countries. This paper explores the connection between interest rates in major industrial countries and annual real output growth in other countries. The results show that high foreign interest rates have a...
Persistent link: https://www.econbiz.de/10012755313
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Investor Information, Long-Run Risk, and the Term Structure of Equity
Croce, Mariano (Max) Massimiliano - 2012
We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the equity term structure slopes up, contrary to the data. In...
Persistent link: https://www.econbiz.de/10012755422
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The Affine Arbitrage-Free Class of : Nelson-Siegel Term Structure Models
Christensen, Jens Henrik Eggert - 2010
We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of models to the canonical representation of the three-factor arbitrage-free affine model. Our...
Persistent link: https://www.econbiz.de/10012759673
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Arbitrage-Free Bond Pricing with Dynamic Macroeconomic Models
Gallmeyer, Michael F. - 2010
We examine the relationship between monetary-policy-induced changes in short interest rates and yields on long-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are puzzling from the perspective of simple structural...
Persistent link: https://www.econbiz.de/10012759951
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The Term Structure of Real Rates and Expected Inflation
Ang, Andrew - 2010
Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the inflation risk premium. We develop a term structure model with regime switches, time-varying prices of risk, and inflation to identify these components of the nominal yield curve....
Persistent link: https://www.econbiz.de/10012760379
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A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
Trolle, Anders B. - 2010
We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates. It features correlations between innovations to forward rates and volatilities, quasi-analytical prices of zero-coupon bond options and dynamics of the forward rate curve, under...
Persistent link: https://www.econbiz.de/10012761268
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Fiscal Policy and the Term Structure of Interest Rates
Dai, Qiang - 2010
Macroeconomists want to understand the effects of fiscal policy on interest rates, while financial economists look for the factors that drive the dynamics of the yield curve. To shed light on both issues, we present an empirical macro-finance model that combines a no-arbitrage affine term...
Persistent link: https://www.econbiz.de/10012762394
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New-Keynesian Macroeconomics and the Term Structure
Bekaert, Geert - 2010
This article complements the structural New-Keynesian macro framework with a no-arbitrage affine term structure model. Whereas our methodology is general, we focus on an extended macro-model with an unobservable time-varying inflation target and the natural rate of output which are filtered from...
Persistent link: https://www.econbiz.de/10012762466
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Equilibrium Asset Prices Under Imperfect Corporate Control
Dow, James - 2010
version of the separation of ownership and control -- Jensen's (1986) free cash flow theory--into a dynamic equilibrium model …
Persistent link: https://www.econbiz.de/10012762816