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Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances

Hedegaard, Esben - 2014

We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional … of risk for the covariance with the market return that is driven by the time series variation in the conditional … covariances, and the risk-premium on the market remains positive and significant after controlling for additional state variables …

Persistent link: https://www.econbiz.de/10012458421

Stock Market Yields and the Pricing of Municipal Bonds

Mankiw, N. Gregory - 1996

This paper proposes an alternative to the traditional model for explaining the spread between taxable and tax-exempt bond yields. This alternative model is a special case of a general class of clientele models of portfolio choice and asset market equilibrium. In particular, we consider a setting...

Persistent link: https://www.econbiz.de/10012473238

Which Households Own Municipal Bonds? Evidence From Tax Returns

Feenberg, Daniel R. - 1991

This paper uses data from 1988 federal income tax returns, which asked taxpayers to report their tax-exempt interest income as an information item, to analyze the distribution of tax-exempt asset holdings. More than three quarters of the tax-exempt debt held by households was held by those with...

Persistent link: https://www.econbiz.de/10012475087

Time-Varying Volatility and the Dynamic Behavior of the Term Structure

Engle, Robert F. - 1991

In this paper, we consider a framework with which the cross sectional and time series behavior of the yield curve can be studied simultaneously. We examine the relationship between the yield curve and the time-varying conditional volatility of the Treasury bill market. We demonstrate that...

Persistent link: https://www.econbiz.de/10012475329

Yield Curve

Mishkin, Frederic S. - 1990

This paper provides a brief survey of the relationship between the yield curve and future changes in interest rates and inflation. The expectations hypothesis of the term structure indicates .that when the yield curve is upward sloping, future short-term and long-term interest rates are expected...

Persistent link: https://www.econbiz.de/10012475452

Rational Expectations, the Expectations Hypothesis, and Treasury Bill Yields : An Econometric Analysis

Jones, David S. - 1982

This paper tests the joint hypothesis of rational expectations and the expectations model of the term structure for three- and six-month Treasury bills. Previous studies are extended in three directions. First, common efficient markets-rational expectations tests are compared, and it is shown...

Persistent link: https://www.econbiz.de/10012478242

Modeling Bond Yields in Finance and Macroeconomics

Diebold, Francis X. - 2005

central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as …

Persistent link: https://www.econbiz.de/10012467596

Forecasting the Term Structure of Government Bond Yields

Diebold, Francis X. - 2003

Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross...

Persistent link: https://www.econbiz.de/10012468646

The Rest of the World's Dollar-Weighted Return on U.S. Treasurys

Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno - National Bureau of Economic Research - 2022

Since 1980, foreign investors have timed their purchases and sales of U.S. Treasurys to yield particularly low returns. Their annual dollar-weighted returns, measured by IRRs, are around 3% lower than a buy-and-hold strategy over the same horizon. In comparison, the IRRs achieved by domestic...

Persistent link: https://www.econbiz.de/10013210117

Safe Assets

Barro, Robert J. - 2014

. However, in a Lucas-tree world, the aggregate risk is given by the process for GDP and cannot be altered by the creation of … will be nil. With heterogeneity in coefficients of relative risk aversion, safe assets can take the form of private bond … issues from low-risk-aversion to high-risk-aversion agents. The model assumes Epstein-Zin/Weil preferences with common values …

Persistent link: https://www.econbiz.de/10012458013

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