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For a sample of sixteen OECD countries over the period 1980-2007 we show that, for given debt-GDP ratio, an increase in the maturity of the public debt by one year lowers its long-term interest rate by around 20-30 basis points. This effect is stronger for countries with higher average inflation...
Persistent link: https://www.econbiz.de/10010189835
This study focuses on the consensus forecasts from the Survey of Professional Forecasters (SPF) for 1993-2017. These include the SPF forecasts of US 10-year Treasury rate (TBR), Moody's Aaa corporate bond rate (Aaa), CPI inflation, and real GDP growth. We show that both SPF and random walk...
Persistent link: https://www.econbiz.de/10012023359
, premium components are less reactive to a typical 10 bp increase in inflation, while real rate responses change their sign … yields into their expectations and premium components once survey information is incorporated. Overall, results support the …
Persistent link: https://www.econbiz.de/10012299079
, premium components are less reactive to inflation shocks, while real rate responses change their sign from positive to … expectations and premium components once survey information is incorporated. Overall, results support the conclusion that reaching …
Persistent link: https://www.econbiz.de/10012222610
The links between real and nominal bond risk premia and macroeconomic dynamics are explored analytically and quantitatively in a model with nominal rigidities and monetary policy. The interest-rate policy rule becomes a restriction linking real and nominal risk premia through endogenous...
Persistent link: https://www.econbiz.de/10013032008
This paper estimates the inflation risk premium using data on prices of Treasury inflation-protected securities (TIPS … prices only. We estimate the liquidity premium to be around 13 basis points over the full sample, but substantially higher in … the first subperiod. We find that the inflation risk premium is time varying and, on average, is considerably lower than …
Persistent link: https://www.econbiz.de/10012905530
-2008. The approach we use to estimate inflation risk premium is arbitrage free, largely model free, and easy to implement. We … that the inflation risk premium is time-varying: it is negative (positive) in the first (second) half of the sample period …. The average 10-year inflation risk premium ranges from -16 to 10 basis points over the full sample depending on the proxy …
Persistent link: https://www.econbiz.de/10013108740
-negligible variance risk premium …
Persistent link: https://www.econbiz.de/10011877284
the term premium in long-term interest rates, and captures a substantial share of interest rate variability at low …
Persistent link: https://www.econbiz.de/10011688099
This paper tested for the validity of the Fisher hypothesis in Nigeria during the period 1970 - 2014. The Gregory and Hansen Co-integration test confirmed the existence of a long-run relationship between nominal interest rates and inflation, albeit with a structural break in October 2005. In...
Persistent link: https://www.econbiz.de/10011529383