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Are bond markets really overpriced : the case of the US
Clostermann, Jörg; Seitz, Franz - 2005
In the present paper we analyse whether fundamental macroeconomic factors, temporary influences or more structural factors have contributed to the recent decline in bond yields in the US. For that purpose, we start with a very general model of interest rate determination in which risk premia are...
Persistent link: https://www.econbiz.de/10012002995
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Inflation, endogenous market segmentation and the term structure of interest rates
Vries, Casper G. de; Wang, Xuedong - 2015
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, the risk premium is constant. If inflation is correlated, however, the …
Persistent link: https://www.econbiz.de/10010532587
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Inflation, endogenous market segmentation and the term structure of interest rates
Vries, Casper G. de; Wang, Xuedong - 2015
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, the risk premium is constant. If inflation is correlated, however, the …
Persistent link: https://www.econbiz.de/10011288797
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Inflation, real interest rates, and the bond market : a study of UK nominal and index-linked government bond prices
Barr, David G.; Campbell, John Y. - 1996
Persistent link: https://www.econbiz.de/10000613877
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Bond futures, inflation-indexed bonds, and inflation risk premium
Kanas, Angelos - In: Journal of international financial markets, … 28 (2014), pp. 82-99
Persistent link: https://www.econbiz.de/10010411577
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Inflation, real interest rates, and the bond market : a study of UK nominal and index-linked government bond prices
Barr, David G.; Campbell, John Y. - 1995
Persistent link: https://www.econbiz.de/10000924530
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Inflation, Real Interest Rates, and the Bond Market : A Study of UK Nominal and Index-Linked Government Bond Prices
Barr, David G. - 2008
This paper estimates expected future real interest rates and inflation rates from observed prices of UK government …-linked bonds. It assumes that expected log returns on all bonds are equal, and that expected real interest rates and inflation … inflation expectations forecast actual future inflation more accurately than nominal yields do. The estimated real interest rate …
Persistent link: https://www.econbiz.de/10012774964
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Can risk models extract inflation expectations from financial market data? : evidence from the inflation protected securities of six countries
Kita, Arben; Tortorice, Daniel L. - 2018
Persistent link: https://www.econbiz.de/10012063682
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Inflation, Real Interest Rates, and the Bond Market : A Study of UK Nominal and Index-Linked Government Bond Prices
Barr, David G. - 1996
This paper estimates expected future real interest rates and inflation rates from observed prices of UK government …-linked bonds. It assumes that expected log returns on all bonds are equal, and that expected real interest rates and inflation … inflation expectations forecast actual future inflation more accurately than nominal yields do. The estimated real interest rate …
Persistent link: https://www.econbiz.de/10012473007
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International yield co-movements
Bekaert, Geert; Ermolov, Andrey - 2021
Persistent link: https://www.econbiz.de/10012590876