Similar Search Results

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 … expectations of real economic activity, uncertainty about real GDP growth, and downside and upside risks in housing starts and the …

Persistent link: https://www.econbiz.de/10010478516

Foreign Treasury Purchases and the Yield Curve : Evidence from a Sign-Identified Vector Autoregression

Martin, Christopher - 2014

I employ a sign-identified vector autoregression (VAR) in foreign Treasury purchases and factors of the yield curve to estimate the dynamic impacts of foreign Treasury purchases on Treasury yields. Although a growing literature studies this question, it does not adequately address the...

Persistent link: https://www.econbiz.de/10013043019

Monetary policy and TIPS yields before the crisis

Gerlach, Stefan; Moretti, Laura - 2011

We make three points. First, the decade before the financial crisis in 2007 was characterized by a collapse in the yield on TIPS. Second, estimated VARs for the federal funds rate and the TIPS yield show that while monetary policy shocks had negligible effects on the TIPS yield, shocks to the...

Persistent link: https://www.econbiz.de/10009298368

What Moves Bond Yields in China?

Fan, Longzhen - 2009

This paper analyzes the joint dynamic processes of macroeconomic and monetary variables and bond yields in China. We show that macroeconomic variables as well as monetary policy variables have a significant impact on two factors that capture the variation in yields. An increase in the inflation...

Persistent link: https://www.econbiz.de/10013158647

An Inquiry into the Nature and Sources of Variation in the Expected Excess Return of a Long-Term Bond

Bakshi, Gurdip - 2018

This paper proposes an approach to study the expected excess return of a long-term bond and focuses on a lower bound. This lower bound is a crucial number, as it represents the minimum expected excess return demanded by investors. The derived bound is model-independent and can be extracted from...

Persistent link: https://www.econbiz.de/10012937301

Inferring Equity Durations Around FOMC Surprises : Estimates and Implications

Chen, Zhanhui - 2020

captures information other than monetary policy risk …

Persistent link: https://www.econbiz.de/10012851441

Do Actions Speak Louder than Words? The Response of Asset Prices to Monetary Policy Actions and Statements

Gürkaynak, Refet S.; Sack, Brian P.; Swanson, Eric T. - 2005

We investigate the effects of U.S. monetary policy on asset prices using a high-frequency event-study analysis. We test whether these effects are adequately captured by a single factor - changes in the federal funds rate target - and find that they are not. Instead, we find that two factors are...

Persistent link: https://www.econbiz.de/10014068038

The Equity Premium Puzzle Solution : Incentives to Under-Report Inflation

Korsos, Laszlo - 2020

equities has far outperformed that of risk-free, short-term US treasuries. Although there have been countless proposed …

Persistent link: https://www.econbiz.de/10012838903

Advanced Yield Curve Calibration, Mixed Interpolation Schemes & How to Incorporate Jumps and the Turn-of-Year Effect

Burgess, Nicholas - 2021

Yield curves are used to imply the forward rates and discount factors from market tradable instruments and are required to discount future cash flows and evaluate the price of all financial contracts. Not all instruments can be included in the yield curve calibration or fitting process, hence we...

Persistent link: https://www.econbiz.de/10013213650

The Valuation of Inherent Return (Bitcoin, Gold, Oil) Vs. Fiat Return Assets (Stocks, Bonds) – A Common Principle

Van Erlach, Julian - 2022

their return. What is NOT factored is any measure of RISK or “risk premium”, or supply and demand “imbalances” – and yet …, the models perform extremely well empirically and theoretically using only public, real-time data. Adding risk and supply …

Persistent link: https://www.econbiz.de/10013405892

1
2
3
4
5
6
7
8
9
10
Next
Last