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We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of …
Persistent link: https://www.econbiz.de/10012787067
historical bond data …
Persistent link: https://www.econbiz.de/10012759951
Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … preferences. The new model has an ATSM representation with analytical bond prices making it empirically tractable. We find that … time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected …
Persistent link: https://www.econbiz.de/10012993847
This paper develops an affine model of the term structure of interest rates in which bond yields are driven by …
Persistent link: https://www.econbiz.de/10013015094
The uncovered interest rate parity equation is the cornerstone of most models in international macro. However, this equation does not hold empirically since the forward discount, or interest rate differential, is negatively related to the subsequent change in the exchange rate. This forward...
Persistent link: https://www.econbiz.de/10012784266
We identify the relative importance of changes in the conditional variance of fundamentals (which we call %u201Cuncertainty%u201D) and changes in risk aversion (%u201Crisk%u201D for short) in the determination of the term structure, equity prices and risk premiums. Theoretically, we introduce...
Persistent link: https://www.econbiz.de/10012780066
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
We explore a variety of models and approaches to bond pricing, including those associated with Vasicek, Cox … calculus of high theory and the binomial models of classroom fame. In this setting, most of the models we examine are easily …
Persistent link: https://www.econbiz.de/10012788986
Milton Friedman argued that irrational traders will consistently lose money, won't survive and, therefore, cannot influence long run equilibrium asset prices. Since his work, survival and price influence have been assumed to be the same. Often partial equilibrium analysis has been relied upon to...
Persistent link: https://www.econbiz.de/10012767787
-section of bond prices. Separately, we propose an alternative to the canonical representation of affine models introduced by Dai … available, and (v) it isolates those parameters which are not identifiable from bond prices alone if the model is specified to …
Persistent link: https://www.econbiz.de/10012783833