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Interest Rate Sensitivities of Bond Risk Measures

Crack, Timothy Falcon; Nawalkha, Sanjay K. - 2021

We derive a simple expression for the sensitivity of duration, convexity, and higher-order bond risk measures to … effects of term structure level, slope, and curvature shifts on any specific bond risk measure. These results are particularly …

Persistent link: https://www.econbiz.de/10013211994

Modeling persistent interest rates with volatility-induced stationarity

Hansen, Anne Lundgaard - 2019

It is well-known that interest rates are extremely persistent, yet they are best modeled and understood as stationary processes. These properties are contradictory in the workhorse Gaussian affine term structure model in which persistent data often result in unit roots that imply...

Persistent link: https://www.econbiz.de/10012111254

Ambiguity, nominal bond yields and real bond yields

Zhao, Guihai - 2018

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth. Ambiguity can help resolve...

Persistent link: https://www.econbiz.de/10011864574

Expectation-driven term structure of equity and bond yields

Zeng, Ming; Zhao, Guihai - 2022 - Last updated: May 11, 2022

Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield...

Persistent link: https://www.econbiz.de/10013193433

Momentum and the term structure of interest rates

Durham, J. Benson - 2013

through July 2013. Given a corresponding long-short strategy with no absolute duration risk, excess returns and information … return distributions are positively skewed, and momentum loads, if in any way, favorably on broad risk factors. Returns …

Persistent link: https://www.econbiz.de/10010222891

Present Bias, Asset Allocation and the Yield Curve

Goossens, Jorgo - 2020

This paper presents a present-biased general equilibrium model that explains many features of bond behavior. Present-biased investors increase (decrease) short-term (long-term) hedge demands compared to standard preferences. Hence, present bias drives up (down) short-term bond prices (yields)...

Persistent link: https://www.econbiz.de/10012822757

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 … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

Persistent link: https://www.econbiz.de/10010478516

Nominal Rigidities and the Term Structures of Equity and Bond Returns

Lopez, Pierlauro - 2015

A downward-sloping term structure of equity and upward-sloping term structures of interest rates arise endogenously in a general-equilibrium model with nominal rigidities and nonlinear habits in consumption. Countercyclical marginal costs exacerbate the procyclicality of dividends after a...

Persistent link: https://www.econbiz.de/10013016903

Nominal Rigidities and the Term Structures of Equity and Bond Returns

Lopez, Pierlauro - 2015

Persistent link: https://www.econbiz.de/10013019905

Yield Curve Volatility and Macroeconomic Risk

Hansen, Anne Lundgaard - 2021

This paper characterizes time variation in the link between macroeconomic risk and variation in the yield curve. Based …

Persistent link: https://www.econbiz.de/10013314107