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Inflation risk and the inflation risk premium

Bekaert, Geert; Wang, Xiaozheng - In: Economic policy : a European forum 64 (2010), pp. 757-806

Persistent link: https://www.econbiz.de/10008798181

On biases in tests of the expectations hypothesis of the term structure of interest rates

Bekaert, Geert; Hodrick, Robert J.; Marshall, David - Federal Reserve Bank of Chicago - 1996

We document extreme bias and dispersion in the small sample distributions of five standard regression tests of the expectations hypothesis of the term structure of interest rates. These biases derive from the extreme persistence in short interest rates. We derive approximate analytic expressions...

Persistent link: https://www.econbiz.de/10005414696

"Peso problem" explanations for term structure anomalies

Bekaert, Geert; Hodrick, Robert J.; Marshall, David A. - Federal Reserve Bank of Chicago - 1997

We examine the empirical evidence on the expectation hypothesis of the term structure of interest rates in the United States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector-autoregressive methodology. We argue that anomalies in the U.S. term structure,...

Persistent link: https://www.econbiz.de/10005414712

The term structure of real rates and expected inflation

Ang, Andrew; Bekaert, Geert - In: Proceedings (2004) Mar

. We develop a term structure model with regime switches, time-varying prices of risk and inflation to identify these …-cyclical (counter-cyclical) and inflation is negatively correlated with real rates. An inflation risk premium that increases with the … of nominal term spreads is due to expected inflation and inflation risk. …

Persistent link: https://www.econbiz.de/10005372703

International asset allocation with time-varying correlations

Ang, Andrew; Bekaert, Geert - 1999

Persistent link: https://www.econbiz.de/10001379604

Flights to safety

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2019

Persistent link: https://www.econbiz.de/10012026360

Risk and return in international corporate bond markets

Bekaert, Geert; De Santis, Roberto A. - 2020

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

Persistent link: https://www.econbiz.de/10012259354

Risk and return in international corporate bond markets

Bekaert, Geert; De Santis, Roberto A. - 2020

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

Persistent link: https://www.econbiz.de/10012422114

Risk, uncertainty, and asset prices

Bekaert, Geert; Engstrom, Eric; Xing, Yuhang - Federal Reserve Board (Board of Governors of the … - 2005

") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices, and risk … asset market phenomena. While the variation in dividend yields and the equity risk premium is primarily driven by risk …

Persistent link: https://www.econbiz.de/10005514167

The implications of first-order risk aversion for asset market risk premiums

Bekaert, Geert; Hodrick, Robert J.; Marshall, David A. - Federal Reserve Bank of Chicago - 1994

Persistent link: https://www.econbiz.de/10005410921