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Interest Spreads and Margins in Collateral Equilibrium with Heterogeneous Beliefs
Barsky, Robert; Bogus, Avery; Easton, Matthew - 2022
There continues to be substantial interest in models combining heterogeneous beliefs about asset values with leverage generated by loans from pessimists to the optimistic natural buyers of the asset. This paper determines the size of the interest spread and margin on the loan as a function of...
Persistent link: https://www.econbiz.de/10013492168
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Inflation uncertainty and disagreement in bond risk premia
D'Amico, Stefania; Orphanides, Athanasios - 2014
This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …
Persistent link: https://www.econbiz.de/10010441139
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The Conditional Expected Market Return
Chabi-Yo, Fousseni - 2020
We derive lower and upper bounds on the conditional expected excess market return that are related to risk-neutral volatility, skewness, and kurtosis indexes. The bounds can be calculated in real time using a cross section of option prices. The bounds require a no-arbitrage assumption, but do...
Persistent link: https://www.econbiz.de/10012853792
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Overnight Index Swap Market-Based Measures of Monetary Policy Expectations
Lloyd, Simon - 2018
I assess the use of overnight indexed swap (OIS) rates as measures of monetary policy expectations. I find that one to twelve-month US OIS rates provide measures of investors' interest rate expectations that are comparable to those from corresponding-horizon federal funds futures rates, which...
Persistent link: https://www.econbiz.de/10012925776
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MSSA vs. Multivariate Regularized Expectation Maximization for Data Cleaning
Dash, Jan - 2016
Previously we introduced Singular Spectrum Analysis SSA and its multivariate extension MSSA as a powerful tool for cleaning data. Here we compare MSSA with the data filling algorithm M-REM (Multivariate Regularized Expectation Maximization). We compare theoretical methodology, numerical...
Persistent link: https://www.econbiz.de/10012986549
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Bond returns and market expectations
Altavilla, Carlo; Giacomini, Raffaella; Costantini, Riccardo - 2013
A well-documented empirical result is that market expectations extracted from futures contracts on the federal funds rate are among the best predictors for the future course of monetary policy. We show how this information can be exploited to produce accurate forecasts of bond excess returns and...
Persistent link: https://www.econbiz.de/10009744063
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Anchoring the yield curve using survey expectations
Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2013
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...
Persistent link: https://www.econbiz.de/10010190487
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Expectations and Risk Premia at 8 : 30am: Macroeconomic Announcements and the Yield Curve
Hördahl, Peter - 2017
We investigate the movements of the yield curve after the release of major U.S. macroeconomic announcements through the lenses of an arbitrage-free dynamic term structure model with macroeconomic fundamentals. Combining estimated yield responses obtained using high-frequency data with model...
Persistent link: https://www.econbiz.de/10012970137
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Expectations and Risk Premia at 8 : 30am: Macroeconomic Announcements and the Yield Curve
Hördahl, Peter - 2015
We investigate the movements of the yield curve after the release of major U.S. macroeconomic announcements through the lenses of an arbitrage-free dynamic term structure model with macroeconomic fundamentals. Combining estimated yield responses obtained using high-frequency data with model...
Persistent link: https://www.econbiz.de/10013012079
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Expectations and Risk Premia at 8 : 30am: Deciphering the Responses of Bond Yields to Macroeconomic Announcements
Hördahl, Peter - 2017
fundamentals of output,inflation and the Fed's inflation target. We model the updating process by linking the factor shocks to … announcements, especially those concerning the labor market, are informative largely about the output gap rather than inflation. The …
Persistent link: https://www.econbiz.de/10012940945