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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10011617371
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Funding Liquidity Risk and the Cross-Section of MBS Returns
Kitsul, Yuriy - 2016
This paper shows that funding liquidity risk is priced in the cross-section of excess returns on agency mortgage …-backed securities (MBS). We derive a measure of funding liquidity risk from dollar-roll implied financing rates (IFRs), which reflect … liquidity shocks embedded in the IFRs is compensated in the cross-section of expected excess returns| agency MBS that are better …
Persistent link: https://www.econbiz.de/10013210417
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Dissecting the yield curve : the international evidence
Berardi, Andrea; Plazzi, Alberto - 2019
Nominal yields can be expressed as the sum of an expectation, term premium, and convexity component, and in turn of their real and inflation counterparts. We extract these terms from the yield curve of the U.S., Euro Area, U.K., and Japan using a term structure model that explicitly captures the...
Persistent link: https://www.econbiz.de/10012179422
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Bond risk premiums at the zero lower bound
Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019
This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but...
Persistent link: https://www.econbiz.de/10012181201
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Market fragility and the paradox of the recent stock-bond dissonance
Koulovatianos, Christos; Li, Jian; Weber, Fabienne - 2017
After the Lehman-Brothers collapse, the stock index has exceeded its pre-Lehman-Brothers peak by 36% in real terms. Seemingly, markets have been demanding more stocks instead of bonds. Yet, instead of observing higher bond rates, paradoxically, bond rates have been persistently negative after...
Persistent link: https://www.econbiz.de/10011760864
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Inflation risk premia, yield volatility and macro factors
Berardi, Andrea; Plazzi, Alberto - 2018
We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term structure of nominal and real rates. We estimate the model over 1999-2016 on U.S. data for nominal and TIPS yields, the realized and implied volatility of T-bonds and survey...
Persistent link: https://www.econbiz.de/10011877284
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Parametric yield curve modeling in an illiquid and undeveloped financial market
Zoricic, Davor; Orsag, Silvije - In: UTMS journal of economics / University of Tourism and … 4 (2013) 3, pp. 243-252
This paper examines the possibility of applying two most popular parametric yield curve models (Nelson-Siegel and Svensson) in the Croatian financial market. In such an illiquid and undeveloped financial market yield curve modeling presents a special challenge primarily regarding the available...
Persistent link: https://www.econbiz.de/10010222884
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Equilibrium yield curves under regime switching
García-Verdú, Santiago - 2010
This paper studies how inflation as a macroeconomic indicator affects nominal bond prices. I consider an economy with a representative agent with Epstein- Zin preferences. Regime switching affects the state-space capturing in°ation and consumption growth. Thus, the agent is concerned about the...
Persistent link: https://www.econbiz.de/10008656729
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Risks in macroeconomic fundamentals and excess bond returns predictability
De Rezende, Rafael B. - 2015 - February 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 account for up to 31% of the variation in excess bond...
Persistent link: https://www.econbiz.de/10010478516
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The 'Fed Model' and the Changing Correlation of Stock and Bond Returns : An Equilibrium Approach
Hasseltoft, Henrik - 2009
This paper presents an equilibrium model that provides a rational explanation for two features of data that have been considered puzzling: The positive relation between US dividend yields and nominal interest rates, often called the Fed-model, and the time-varying correlation of US stock and...
Persistent link: https://www.econbiz.de/10014209829