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A model of intertemporal discount rates in the presence of real and inflationary autocorrelations
Bosshardt, Donald I. - In: The journal of finance : the journal of the American … 42 (1987) 4, pp. 1049-1070
Persistent link: https://www.econbiz.de/10001055593
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Investors' Portfolio Behavior Under Alternative Models of Long-Term Interest Rate Expectations : Unitary, Rational, or Autoregressive
Friedman, Benjamin M. - 2010
This paper develops behavioral relationships explaining investors' demands for long-term bonds, using three alternative hypotheses about investors' expectations of future bond prices (yields). The results, based on U.S. 'data for six major categories of bond market investors, consistently...
Persistent link: https://www.econbiz.de/10012763222
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Investors' Portfolio Behavior Under Alternative Models of Long-Term Interest Rate Expectations : Unitary, Rational, or Autoregressive
Friedman, Benjamin M. - 1980
This paper develops behavioral relationships explaining investors' demands for long-term bonds, using three alternative hypotheses about investors' expectations of future bond prices (yields). The results, based on U.S. 'data for six major categories of bond market investors, consistently...
Persistent link: https://www.econbiz.de/10012478678
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The accuracy of interest rate forecasts in the Asia-Pacific region : opportunities for portfolio management
Filiz, Ibrahim; Nahmer, Thomas; Spiwoks, Markus; Bizer, … - In: Applied economics 51 (2019) 59, pp. 6309-6332
Persistent link: https://www.econbiz.de/10012197343
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Unconventional monetary policy and the interest rate channel: signalling and portfolio rebalancing
Loyd, Simon P. - 2017
Persistent link: https://www.econbiz.de/10012423778
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Portfolio choice with stochastic interest rates and learning about stock return predictability
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: International review of economics & finance : IREF 41 (2016), pp. 347-370
Persistent link: https://www.econbiz.de/10011624748
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Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model
Shimai, Yoshiyuki; Makimoto, Naoki - In: Asia Pacific financial markets 30 (2023) 4, pp. 817-844
Persistent link: https://www.econbiz.de/10014391968
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Yield Curve Forecast Combinations Based on Bond Portfolio Performance
Caldeira, João - 2017
We propose an economically motivated forecast combination strategy in which model weights are related to portfolio … returns obtained by a given forecast model. An empirical application based on an optimal mean-variance bond portfolio problem … measures of forecast accuracy. We compute average net excess returns, standard deviation, and the Sharpe ratio of bond …
Persistent link: https://www.econbiz.de/10012960063
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Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect
Caballero, Ricardo J.; Simsek, Alp - 2022
We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...
Persistent link: https://www.econbiz.de/10013093040