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Macro-expectations, aggregate uncertainty, and expected term premia
Dick, Christian D.; Schmeling, Maik; Schrimpf, Andreas - In: European Economic Review 58 (2013) C, pp. 58-80
Based on expectations data from the Survey of Professional Forecasters (SPF), we construct a real-time proxy for expected term premium changes of US long-term Treasury bonds. We then investigate the economic drivers of these subjective term premium expectations at the level of individual...
Persistent link: https://www.econbiz.de/10010608229
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Macro Expectations, Aggregate Uncertainty, and Expected Term Premia
Dick, Christian D.; Schmeling, Maik; Schrimpf, Andreas - School of Economics and Management, University of Aarhus - 2010
Based on individual expectations from the Survey of Professional Forecasters, we construct a realtime proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables as...
Persistent link: https://www.econbiz.de/10008509119
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Risks in macroeconomic fundamentals and excess bond returns predictability
Rezende, Rafael B. De - Sveriges Riksbank - 2015
I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …
Persistent link: https://www.econbiz.de/10011166104
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The Term Structure and the Expectations Hypothesis: a Threshold Model
Modena, Matteo - Department of Economics, Adam Smith Business School - 2008
observing the yield spread. According to Mishkin (1990) the expectations theory can also be reformulated in terms of the ability … of the spread to predict future inflation. Unfortunately, although appealing, the theory has found little empirical … support. Time-varying term premia and changing risk perception have been advocated to rationalize the aforementioned weak …
Persistent link: https://www.econbiz.de/10005811776
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Understanding Inflation-Indexed Bond Markets
Campbell, John Y.; Shiller, Robert J.; Viceira, Luis M. - Cowles Foundation for Research in Economics, Yale University - 2009
This paper explores the history of inflation-indexed bond markets in the US and the UK. It documents a massive decline in long-term real interest rates from the 1990's until 2008, followed by a sudden spike in these rates during the financial crisis of 2008. Breakeven inflation rates, calculated...
Persistent link: https://www.econbiz.de/10004999551
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Term Structure Estimation with Survey Data on Interest Rate Forecasts
Kim, Don H.; Orphanides, Athanasios - C.E.P.R. Discussion Papers - 2005
The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk … survey forecasts of a short-term interest rate as an additional input to the estimation to overcome the problem. The three …
Persistent link: https://www.econbiz.de/10005067482
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The information in the term structure of German interest rates
Boero, Gianna; Torricelli, Costanza - In: The European Journal of Finance 8 (2002) 1, pp. 21-45
regressions for the long rates. Moreover, re-estimation with proxy variables to account for the possibility of time-varying term …
Persistent link: https://www.econbiz.de/10005472000
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The term structure and the expectations hypothesis: a threshold model
Modena, Matteo - Volkswirtschaftliche Fakultät, … - 2008
observing the yield spread. According to Mishkin (1990) the expectations theory can also be reformulated in terms of the ability … of the spread to predict future inflation. Unfortunately, although appealing, the theory has found little empirical … support. Time-varying term premia and changing risk perception have been advocated to rationalize the aforementioned weak …
Persistent link: https://www.econbiz.de/10005790230
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The yield curve and the prediction on the business cycle: a VAR analysis for the European Union
Cinquegrana, Giuseppe; Sarno, Domenico - Volkswirtschaftliche Fakultät, … - 2010
risk premium. We propose the estimates of the models and their out-of-sample forecasts through both the European Union GDP …
Persistent link: https://www.econbiz.de/10008550561
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The Yield Curve and the Prediction on the Business Cycle: a Var Analysis for the European Union
CINQUEGRANA, Giuseppe; SARNO, Domenico - In: Theoretical and Practical Research in Economic Fields I (2010) 2, pp. 183-183
risk premium. We propose the estimates of the models and their out-of-sample forecasts through both the European Union GDP …
Persistent link: https://www.econbiz.de/10009144217