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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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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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Core and 'Crust' : Consumer Prices and the Term Structure of Interest Rates
Ajello, Andrea - 2012
inflation-indexed bond market. Finally, we find a pronounced declining pattern in the inflation risk premium that illustrates …
Persistent link: https://www.econbiz.de/10013114689
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Core and 'Crust' : Consumer Prices and the Term Structure of Interest Rates -- Online Appendix
Ajello, Andrea - 2012
inflation-indexed bond market. Finally, we find a pronounced declining pattern in the inflation risk premium that illustrates …
Persistent link: https://www.econbiz.de/10013096190
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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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유가가 손익분기인플레이션에 미치는 영향 (The Effect of Oil Prices on Break-Even Inflation Rates of the United States)
Kim, Jinyong - 2017
Korean Abstract: 이 연구는 유가가 미국 물가연동국채의 손익분기인플레이션(BEI)에 미치는 영향을 실증적으로 분석하였다. 추정결과 유가의 변동이 2년·5년· 10년 BEI에 통계적으로 유의한 영향을 미치는 것으로 나타났으며,...
Persistent link: https://www.econbiz.de/10012957159
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Oil Price, Bond Return, and Breakeven Inflation
Jiang, Haibo - 2019
changes and equity risk premium. Using oil supply, global demand, and oil-specific demand shocks, estimated from a structural … shocks predict negative real bond risk premium and positive inflation risk premium. Since these two effects offset each other …, we observe insignificant effect on the bond risk premium. A two-sector New Keynesian model shows theoretically that real …
Persistent link: https://www.econbiz.de/10012900206
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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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The Term Structure and Inflation Uncertainty
Breach, Tomas - 2016
ten-year yield suggests a decline in the estimated inflation risk premium of 1.7 percentage points from the early 1980s to … recovery, in 2010-2012. The model's ability to generate sensible estimates of the inflation risk premium has important …
Persistent link: https://www.econbiz.de/10012977368