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Long-term interest rates and public debt maturity
Sakalauskaite, Ieva; Beetsma, Roel; Giuliodori, Massimo - 2013
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
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Long-term interest rate predictability : exploring the usefulness of survey forecasts of growth and inflation
Baghestani, Hamid - In: Cogent economics & finance 7 (2019) 1, pp. 1-12
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
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The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
, 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
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The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
, 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
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Testing the Fisher hypothesis in the presence of structural breaks and adaptive inflationary expectations : evidence from Nigeria
Uyaebo, Stephen O. U.; Bello, Yakubu A.; Omotosho, … - In: CBN journal of applied statistics 7 (2016) 1, pp. 333-358
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
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Interest rate rules, rigidities and inflation risks in a macro-finance model
Horváth, Roman; Kaszab, Lorant; Mars, Ales - 2021
Long-term bond yields contain a risk-premium, an important part of which is compensation for inflation risks. The … term premium (so-called Greenspan conundrum) which was typically thought to be exogenous for monetary policy. We show using … a New Keynesian macro-finance model that the term premium is endogenous and is greatly influenced by the specification …
Persistent link: https://www.econbiz.de/10012584286
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Real and Nominal Equilibrium Yield Curves with Endogenous Inflation : A Quantitative Assessment
Hsu, Alex - 2015
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
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The Inflation Risk Premium : Evidence from the TIPS Market
Grishchenko, Olesya V. - 2019
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
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Inflation Risk Premium : Evidence from the TIPS Market
Grishchenko, Olesya V. - 2012
-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
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Inflation Expectations in the Czech Interbank Market
Fukac, Martin - 2005
Monthly data on the inflation expectations of financial analysts in the Czech Republic exhibit a tendency for permanent bias and ineffectiveness which violates the rational expectations hypothesis assumed in macroeconomic models. This paper asks whether the surveyed data include any...
Persistent link: https://www.econbiz.de/10014060647