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Sovereign Bond Yield Spreads : A Time-Varying Coefficient Approach

Bernoth, Kerstin - 2010

We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply a semiparametric time-varying coefficient model to identify, to what extent an observed change in the yield spread is due to a shift in macroeconomic fundamentals or due to...

Persistent link: https://www.econbiz.de/10013135691

Incomplete Markets, Liquidation Risk, and the Term Structure of Interest Rates

Challe, Edouard - 2010

We analyze the term structure of real interest rates in a general equilibrium model with incomplete markets and borrowing constraints. Agents are subject to both aggregate and idiosyncratic income shocks, which latter may force them into early portfolio liquidation in a bad aggregate state. We...

Persistent link: https://www.econbiz.de/10013136237

The Term Structure of Interest Rates in a DSGE Model

Emiris, Marina - 2010

monetary policy rule. A less aggressive policy increases the persistence of the reaction of inflation and the short interest …, turns positive the contribution of the inflation premium and drives the term premium up. The paper concludes that by … generating persistent inflation the presence of nominal rigidities can help in reconciling the macro model with the yield curve …

Persistent link: https://www.econbiz.de/10013137279

Bond Risk Premiums and Optimal Monetary Policy

Palomino, Francisco - 2010

and inflation responses to a source of inflation risk. Bond yields contain compensations for this risk that depend on the … policy. Credibility improvements reduce the exposure to inflation risk and bond risk premiums decline. A model calibration …

Persistent link: https://www.econbiz.de/10013143085

Examining the Bond Premium Puzzle with a DSGE Model

Rosenberger, Diane - 2010

The basic inability of standard theoretical models to generate a sufficiently large and variable nominal bond risk premium has been termed the "bond premium puzzle." We show that the term premium on long-term bonds in the canonical dynamic stochastic general equilibrium (DSGE) model used in...

Persistent link: https://www.econbiz.de/10013143483

Recent Estimates of Sovereign Risk Premia for Euro-Area Countries

Di Cesare, Antonio - 2012

This paper examines the recent behavior of sovereign interest rates in the euro area, focusing on the 10 year yield spreads relative to Germany for Italy and other euro area countries. Both previous analyses and the new evidence presented in the paper suggest that, in recent months, for several...

Persistent link: https://www.econbiz.de/10013099594

Long-Run Consumption Risk and the Real Yield Curve

Wu, Shu - 2010

This paper estimates a consumption-based, no-arbitrage model of the term structure of real interest rates. The model nests the standard long-run risk model which assumes constant market prices of risk. We find that the long-run consumption risk dominates the short-run and volatility risks and...

Persistent link: https://www.econbiz.de/10013148903

Monetary Transaction Costs and the Term Premium

Espinoza, Raphael A. - 2013

We show that, in a monetary equilibrium, trade and asset prices depend on both the supply of the liquidity by the Central Bank and the liquidity of assets and commodities. As a result, monetary aggregates are informative for the conduct of monetary policy. We also show asset prices are higher in...

Persistent link: https://www.econbiz.de/10013082855

Corporate Bond Risk Premia

Speck, Christian - 2013

not hidden. The term risk premium is earned primarily for exposure to inflation and the yield level and the credit risk …

Persistent link: https://www.econbiz.de/10013084981

Term Spread Regressions of the Rational Expectations Hypothesis of the Term Structure Allowing for Risk Premium Effects

Argyropoulos, Efthymios - 2013

This paper suggests term spread regression based tests allowing for time-varying term premium effects, with the aim of explaining the empirical failures of the term spread to forecast future movements in interest rates. To capture the e¤ects of a time-varying term premium on the term spread,...

Persistent link: https://www.econbiz.de/10013087497