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Inflation uncertainty and disagreement in bond risk premia
D'Amico, Stefania; Orphanides, Athanasios - 2014
This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …
Persistent link: https://www.econbiz.de/10010441139
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An affine factor model of the Greek term structure
Balfoussia, Hiona - 2022
This paper aims to contribute to our understanding of the dynamics driving the Greek term structure of nominal interest rates and to explore their possible macroeconomic determinants. A canonical, Vasicek-type latent a¢ ne factor model of the Greek term structure is estimated on data spanning...
Persistent link: https://www.econbiz.de/10014080537
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Do Foreign Yield Curves Predict U.S. Recessions?
Ahmed, Rashad - 2022
This note shows that non-U.S. yield curves contain information about future U.S. recessions and economic activity. Using quarterly data from 1979-2021, a foreign term spread constructed from the bond yields of G-7 constituents is included in regressions of U.S. recession risk and U.S. real GDP...
Persistent link: https://www.econbiz.de/10013289150
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Real asset returns and components of inflation : a structural VAR analysis
Hagmann, Matthias; Lenz, Carlos - 2005 - This version: April 2005
inflation, (ii) expected inflation, (iii) unexpected inflation and (iv) changes in expected inflation. Using the structural … and inflation, we find that the Mundell-Tobin model and the explanation of Fama and Gibbons (1982) are not competitors …
Persistent link: https://www.econbiz.de/10011570222
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The Deflated Sharpe Ratio : Correcting for Selection Bias, Backtest Overfitting and Non-Normality
Bailey, David H. - 2019
.The problem of performance inflation extends beyond backtesting. More generally, researchers and investors tend to report only … performance inflation: Selection bias under multiple testing and non-Normally distributed returns. In doing so, DSR helps separate …
Persistent link: https://www.econbiz.de/10012904833
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Robust bond risk premia
Bauer, Michael D.; Hamilton, James D. - 2015 - Rev.: September 25, 2015
A consensus has recently emerged that a number of variables in addition to the level, slope, and curvature of the term structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used to support this conclusion are subject to very...
Persistent link: https://www.econbiz.de/10011346306
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Robust Bond Risk Premia
Bauer, Michael - 2017
A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small-sample distortions. We propose more robust tests, including a...
Persistent link: https://www.econbiz.de/10012970955
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Robust Bond Risk Premia
Bauer, Michael - 2015
A consensus has recently emerged that a number of variables in addition to the level, slope, and curvature of the term structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used to support this conclusion are subject to very...
Persistent link: https://www.econbiz.de/10013012562
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Anchoring the yield curve using survey expectations
Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2013
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...
Persistent link: https://www.econbiz.de/10010190487
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The term structure of expectations and bond yields
Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel - 2016
characterize the expected path of nominal and real short-rates as well as inflation using the universe of U.S. surveys of … by term premiums, not expected short rates or inflation; 2) term premiums co-move more strongly across maturities than … is primarily the result of a decline of expected inflation and term premiums while expected future real rates have …
Persistent link: https://www.econbiz.de/10011477349