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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
's inflation target. Accounting dispersed information reduces the magnitude and volatility of risk premia relative to full …
Persistent link: https://www.econbiz.de/10012851253
in the latter period. Moreover, bond premium, volatility and the overall resolution of uncertainty decrease on these …
Persistent link: https://www.econbiz.de/10012595426
macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …
Persistent link: https://www.econbiz.de/10012622575
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
, uncertainty, and liquidity preference to the dynamics of government bond yields for countries with monetary sovereignty. Keynes … mainly through the short-term interest rate. Investors' psychology, herding behavior in financial markets, and uncertainty …
Persistent link: https://www.econbiz.de/10012317613
reduction is mostly due to a decreasing risk component of southern bonds. In fact, once controlling for this implicit credit … risk reduction we find rather mild effects from portfolio rebalancing for all countries. …
Persistent link: https://www.econbiz.de/10011743065
regressions of bond excess returns significantly raises the R-squared, and restores countercyclical variation in bond risk premia …
Persistent link: https://www.econbiz.de/10012134247
Returns to currency carry and momentum are compensations for the risk of global interest rate uncertainty (IRU), with … risk exposures explaining 92% of their cross-sectional return variations. The unified explanation stems from its impact on … power is not driven by existing measures of uncertainty or intermediary constraints …
Persistent link: https://www.econbiz.de/10012899120
We analyse spillovers from European Central Bank (ECB) policy sur-prises to asset markets outside the euro area using Switzerland as a case study. Our results suggest that Swiss asset price responses to ECB policy surprises are significant. They depend on the type and nature of the surprise and...
Persistent link: https://www.econbiz.de/10013492717