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Time-Varying Volatility and the Dynamic Behavior of the Term Structure
Engle, Robert F. - 1991
volatility of the Treasury bill market. We demonstrate that differently shaped yield curves can result given different … combinations of volatility and expectations about future spot rates. Moreover, adjusting the forward rate for the volatility …
Persistent link: https://www.econbiz.de/10012475329
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Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models
Andersen, Torben G. - 2007
We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term … cross-section of fixed-maturity zero-coupon bonds ("realized yield volatility") through the use of high-frequency data. We … find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely unrelated to the …
Persistent link: https://www.econbiz.de/10012465694
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Volatility in an Era of Reduced Uncertainty : Lessons from Pax Britannica
Brown, William O. - 2005
Although it has been well established that financial volatility is related to news and macroeconomic shocks, there has … consol returns since 1729 and identify a greater-than-50% decline in volatility from the end of the Napoleonic wars in 1815 … volatility. Underlying political stability under Pax Britannica seems to be a more likely explanation, however …
Persistent link: https://www.econbiz.de/10012467364
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Domino Secessions : Evidence from the U.S
Lacroix, Jean; Mitchener, Kris; Oosterlinck, Kim - National Bureau of Economic Research - 2023
We analyze how secession movements unfold and the interdependence of regions' decisions to secede. We first model and then empirically examine how secessions can occur sequentially because the costs of secession decrease with the number of seceders and because regions update their decisions...
Persistent link: https://www.econbiz.de/10014337822
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Identification through Heteroskedasticity : Measuring "Contagion
Rigobon, Roberto - 2000
In this paper, I develop a new identification method to solve the problem of simultaneous equations, based on heteroskedasticity of the structural shocks. I show that if the heteroskedasticity can be described as a two-regime process, then the system is just identified under relatively weak...
Persistent link: https://www.econbiz.de/10012471283
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Government Debt
Elmendorf, Douglas W. - 1998
This paper surveys the literature on the macroeconomic effects of government debt. It begins by discussing the data on debt and deficits, including the historical time series, measurement issues, and projections of future fiscal policy. The paper then presents the conventional theory of...
Persistent link: https://www.econbiz.de/10012472335
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State Fiscal Institutions and the U.S. Municipal Bond Market
Poterba, James M. - 1997
This paper presents new evidence on the effect of state fiscal institutions, particularly balanced-budget rules and restrictions on state debt issuance, on the yields on state general obligation bonds. We analyze information from the Chubb Relative Value Survey, which contains relative...
Persistent link: https://www.econbiz.de/10012472575
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Auction Theory : A Summary with Applications to Treasury Markets
Das, Sanjiv Ranjan - 1997
Persistent link: https://www.econbiz.de/10012472955
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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. - 1996
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/10012473007
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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