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Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
Gollier, Christian - 2012
increasing term structure for the risk premium. It also implies that, under the assumption that the cumulants of the distribution … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …
Persistent link: https://www.econbiz.de/10009689360
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Evaluation of Long-Dated Investments Under Uncertain Growth Trend, Volatility and Catastrophes
Gollier, Christian - 2021
increasing term structure for the risk premium. It also implies that, under the assumption that the cummulants of the … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …
Persistent link: https://www.econbiz.de/10013315817
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No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth
Jardet, Caroline - 2011
The recent macro-finance yield curve literature does not agree neither about term premia empirical properties nor about the importance or even the direction of its relationship with future economic activity. This paper proposes a two-step approach to handle both problems. First, in a VAR...
Persistent link: https://www.econbiz.de/10013132933
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The Macroeconomic Determinants of the US Term-Structure during the Great Moderation
Paccagnini, Alessia - 2014
The aim of this paper is to study how macroeconomic impulses can affect the term structure during the Great Moderation. As novelty in the research strategy, we create a term-structure using three latent factors of the yield curve. A Nelson-Siegel Model is implemented to estimate the latent...
Persistent link: https://www.econbiz.de/10014144946
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Growth forecasts and news about monetary policy
Karnaukh, Nina - 2020
We find that 30-minute changes in bond yields around scheduled Federal Open Market Committee (FOMC) announcements are predictable with the pre-FOMC Blue Chip professionals’ revisions in GDP growth forecasts. A positive pre-FOMC GDP growth revision predicts a contractionary policy news shock...
Persistent link: https://www.econbiz.de/10012388387
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Convenience Yields, Inflation, and Growth
Krek, Oliver - 2022
fiscal theory. The government's debt valuation equation links convenience yields to inflation and taxation which affects the …
Persistent link: https://www.econbiz.de/10013291364
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Banking in a Steady State of Low Growth and Interest Rates
Chen, Qianying - 2018
A prolonged low-interest-rate environment presents a significant challenge to banks and is likely to entail major changes to their business models over the long-run. Lower returns to maturity transformation in the face of flatter yield curves and an inability to offer deposit rates significantly...
Persistent link: https://www.econbiz.de/10012910355
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Using Interest Rates to Predict Economic Growth : Are Corporate Bonds Better?
McMillan, David G. - 2020
, whereas corporate bonds respond more to investor views of macroeconomic risk, which affects a firm's ability to repay its debt …
Persistent link: https://www.econbiz.de/10012833838
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Can monetary policy drive economic growth? : empirical evidence from Tanzania
Twinoburyo, Enock Nyorekwa; Odhiambo, Nicholas M. - In: Contemporary economics 12 (2018) 2, pp. 207-222
The role of monetary policy in promoting economic growth remains empirically an open research question. This paper attempts to bridge the knowledge gap by investigating the impact of monetary policy on economic growth in Tanzania during the period from 1975 to 2013, using the autoregressive...
Persistent link: https://www.econbiz.de/10011889569
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A Re-Examination of the Predictability of Economic Activity Using the Yield Spread
Hamilton, James D.; Kim, Dong Heon - 2001
This paper revisits the yield spread's usefulness for predicting future real GDP growth. We show that the contribution of the spread can be decomposed into the effect of expected future changes in short rates and the effect of the term premium. We find that both factors are relevant for...
Persistent link: https://www.econbiz.de/10014144641