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Inflation risk premia, yield volatility and macro factors

Berardi, Andrea; Plazzi, Alberto - 2018

and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation …

Persistent link: https://www.econbiz.de/10011877284

Tests for jumps in yield spreads

Winkelmann, Lars; Yao, Wenying - 2021

This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential...

Persistent link: https://www.econbiz.de/10012655372

Tests for jumps in yield spreads

Winkelmann, Lars; Yao, Wenying - 2023

This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing...

Persistent link: https://www.econbiz.de/10014343097

Core and 'Crust' : Consumer Prices and the Term Structure of Interest Rates

Ajello, Andrea - 2012

of total inflation to price nominal Treasuries. This approach captures different frequencies in inflation fluctuations … a common structure of latent factors determines and predicts the term structure of yields and inflation. The model … outperforms popular benchmarks and is at par with the Survey of Professional Forecasters in forecasting inflation. Real rates …

Persistent link: https://www.econbiz.de/10013114689

Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia

Hautsch, Nikolaus; Ou, Yangguoyi - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

connected to variables reflecting macroeconomic activity, inflation, monetary policyand employment growth. It is shown that the …

Persistent link: https://www.econbiz.de/10005860483

Does realized volatility help bond yield density prediction?

Shin, Minchul; Zhong, Molin - 2015 - This version: September 19, 2015

We suggest using "realized volatility" as a volatility proxy to aid in model-based multivariate bond yield density forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor models with stochastic volatility. The resulting...

Persistent link: https://www.econbiz.de/10011499535

Yield curve factors, term structure volatility, and bond risk premia

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

- nected to variables reflecting macroeconomic activity, inflation, monetary policy and employment growth. It is shown that the …

Persistent link: https://www.econbiz.de/10003770770

Volatility estimates of the short term interest rate with an application to German data

Dankenbring, Henning - 1998

This paper proposes a procedure for testing alternative specifications of the short term interest rate's dynamics which takes into account that according to some restrictions the interest rate is nonstationary, i.e. the traditional test statistic has a non-standard distribution. Moreover, we do...

Persistent link: https://www.econbiz.de/10009578570

Analyzing interest rate risk : stochastic volatility in the term structure of government bond yields

Hautsch, Nikolaus; Ou, Yangguoyi - 2009

illustrate that the yield and volatility factors are closely related to industrial capacity utilization, inflation, monetary …

Persistent link: https://www.econbiz.de/10003864095

Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads

Shaw, Charles - 2019

A regime-switching Levy framework, where all parameter values depend on the value of a continuous time Markov chain as per Chevallier and Goutte (2017), is employed to study US Corporate Option-Adjusted Spreads (OASs). For modelling purposes we assume a Normal Inverse Gaussian distribution,...

Persistent link: https://www.econbiz.de/10012896045

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