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Inferring Equity Durations Around FOMC Surprises : Estimates and Implications
Chen, Zhanhui - 2020
because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect … from the discount-rate channel. I propose a novel duration measure, the effective equity duration, to capture the effects … is hump-shaped because expected future cash flow growth increases with the discount rates. The effective equity duration …
Persistent link: https://www.econbiz.de/10012851441
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The good, the bad, and the ugly : impact of negative interest rates and QE on the profitability and risk-taking of 1600 German banks
Urbschat, Florian - 2018
The recent negative interest rate policy (NIRP) and quantitative easing (QE) programme by the ECB have raised concerns about the pass-through of monetary policy. On the one hand, negative rates could lead to declining bank profitability making an expansionary monetary policy contractionary....
Persistent link: https://www.econbiz.de/10011933740
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The good, the bad, and the ugly : impact of negative interest rates and QE on the profitability and risk-taking of 1600 German banks
Urbschat, Florian - 2018 - This version: July 9, 2018
The recent negative interest rate policy (NIRP) and quantitative easing (QE) programme by the ECB have raised concerns about the pass-through of monetary policy. On the one hand, negative rates could lead to declining bank profitability making an expansionary monetary policy contractionary....
Persistent link: https://www.econbiz.de/10011873929
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The Duration of Bank Retail Interest Rates
Craig, Ben R. - 2011
functional form of the hazard of changing a price, the effect of firm and market characteristics on the duration of prices, and … determinants of the duration of retail interest rates are the cumulated change in the money market interest rates and the policy …
Persistent link: https://www.econbiz.de/10013133627
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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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Return Predictability in Federal Funds Futures : Is it There?
Steffensen, Sigurd - 2020
This paper studies return predictability in federal funds futures. I show that over the period 1990 to 2018, predictor variables from the literature do not consistently outperform the expectations hypothesis when evaluated out-of-sample. Further, while forecasts from advanced forecasting methods...
Persistent link: https://www.econbiz.de/10012835525
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The Impact of Yield Slope on Stock Performance
Yu, Geungu - 2017
This study investigated the linkage between the effects of yield slope and the performance of stocks for the period, 2006-2012. The paper found a significant link between the two variables. The sharp increase of yield slope positively affected stock market performance of small, mid and big cap...
Persistent link: https://www.econbiz.de/10012955365
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Interest Rate Risk of Life Insurers : Evidence from Accounting Data
Möhlmann, Axel - 2019
duration gap with pronounced heterogeneity in the cross-section. This could be explained by alternative investment strategies …
Persistent link: https://www.econbiz.de/10012895323
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Expected Business Conditions and Bond Risk Premia
Eriksen, Jonas N. - 2018
This paper studies the predictability of bond risk premia by means of expectations to future business conditions using survey forecasts from the Survey of Professional Forecasters. We show that expected business conditions consistently affect excess bond returns and that the inclusion of...
Persistent link: https://www.econbiz.de/10012937778
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Present Bias, Asset Allocation and the Yield Curve
Goossens, Jorgo - 2020
-bias interval of at most 1 year, providing an estimate for the investor's duration of the present …
Persistent link: https://www.econbiz.de/10012822757