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Inflation, Index-Linked Bonds, and Asset Allocation
Bodie, Zvi - 2010
The recent introduction of CPI-linked bonds by several financial institutions is a milestone in the history of the U.S. financial system. It has potentially far-reaching effects on individual and institutional asset allocation decisions because these securities represent the only true long-run...
Persistent link: https://www.econbiz.de/10012763488
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Inflation, Real Interest Rates, and the Bond Market : A Study of UK Nominal and Index-Linked Government Bond Prices
Barr, David G. - 2008
This paper estimates expected future real interest rates and inflation rates from observed prices of UK government nominal and index-linked bonds. The estimation method takes account of imperfections in the indexation of UK index-linked bonds. It assumes that expected log returns on all bonds...
Persistent link: https://www.econbiz.de/10012774964
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Debt Crises : For Whom the Bell Tolls
Cole, Harold L. - 2016
fundamental shocks in one country can induce investors to acquire information, generating price volatility and increased risk …
Persistent link: https://www.econbiz.de/10012989128
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Can Interest Rate Volatility Be Extracted from the Cross Section of Bond Yields? an Investigation of Unspanned Stochastic Volatility
Collin-Dufresne, Pierre - 2006
Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is …;unspanned stochastic volatility (USV).quot; Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …
Persistent link: https://www.econbiz.de/10012783833
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Bond Supply and Excess Bond Returns
Greenwood, Robin - 2010
We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical model of preferred habitat in which clienteles with strong preferences for specific maturities trade with arbitrageurs. Consistent with the model,...
Persistent link: https://www.econbiz.de/10012759528
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What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
Campbell, John Y. - 2008
This paper uses a log-linear asset pricing framework and a vector autoregressive model to break down movements in stock and bond returns into changes in expectations of future stock dividends, inflation, short-term real interest rates, and excess returns on stocks and bonds. In monthly postwar...
Persistent link: https://www.econbiz.de/10012774691
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Short-Term Movements of Long-Term Real Interest Rates : Evidence from the U.K. Indexed Bond Market
Wilcox, James A. - 2010
The central goverment now issues both nominal and iflation indexed long-term bonds in the United Kingdom. The difference in their yields provides one measure of the long-term expevted rate of inflation. The evidence suggests that higher long-term, expected , real yields are associated with...
Persistent link: https://www.econbiz.de/10012763379
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No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models Subject to Leverage Effects, Jumps and I.I.D. Noise : Theory and Testable Distributional Implication...
Andersen, Torben - 2007
intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional … alleviate microstructure frictions for realized volatility estimation. Size and power of the procedure are explored through …
Persistent link: https://www.econbiz.de/10012777343
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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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Durability of Output and Expected Stock Returns
Gomes, Joao F. - 2010
The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flows and stock returns of durable-good producers are exposed to higher systematic risk. Using the benchmark input-output accounts of the National Income and Product Accounts, we...
Persistent link: https://www.econbiz.de/10012760299