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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 … account for up to 31% of the variation in excess bond returns. The main predictor factors are associated with point … 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

Expected Business Conditions and Bond Risk Premia

Eriksen, Jonas N. - 2018

This paper studies the predictability of bond risk premia by means of expectations to future business conditions using … excess bond returns and that the inclusion of expected business conditions in standard predictive regressions improve … both statistically and from the perspective of a mean-variance investor that trades in the bond market …

Persistent link: https://www.econbiz.de/10012937778

Inflation, endogenous market segmentation and the term structure of interest rates

Vries, Casper G. de; Wang, Xuedong - 2015

The term structure of interest rates does not adhere to the expectations hypothesis, possibly due to a risk premium. We consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates. In the absence of autocorrelation in inflation,...

Persistent link: https://www.econbiz.de/10010532587

Inflation, endogenous market segmentation and the term structure of interest rates

Vries, Casper G. de; Wang, Xuedong - 2015

Persistent link: https://www.econbiz.de/10011288797

Short-run bond risk premia

Mueller, Philippe; Vedolin, Andrea; Zhou, Hao - In: The quarterly journal of finance 9 (2019) 3, pp. 1-34

Persistent link: https://www.econbiz.de/10012166887

Expected business conditions and bond risk premia

Eriksen, Jonas Nygaard - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 4, pp. 1667-1703

Persistent link: https://www.econbiz.de/10011928402

Financial Markets Efficiency and Economic Behaviour : Evaluating Euro Area Economies

Tomat, Gian Maria - 2023

-- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market …

Persistent link: https://www.econbiz.de/10014337024

Expected business conditions and bond risk premia

Eriksen, Jonas Nygaard - 2015

Persistent link: https://www.econbiz.de/10011343492

Zero-coupon interest rates : evaluating three alternative datasets

Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - 2018

The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such...

Persistent link: https://www.econbiz.de/10011901875

Is there hope for the expectations hypothesis?

Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel - 2024

Most macroeconomic models impose a tight link between expected future short rates and the term structure of interest rates via the expectations hypothesis (EH). While the EH has been systematically rejected in the data, existing work evaluating the EH generally assumes either full-information...

Persistent link: https://www.econbiz.de/10014519064