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Inflation Risk Premium : Evidence from the TIPS Market

Grishchenko, Olesya V. - 2012

Inflation-indexed securities would appear to be the most direct source of information about inflation expectations and … real interest rates" (Bernanke, 2004). In this paper we study the term structure of real interest rates, expected inflation … and inflation risk premia using data on prices of Treasury Inflation Protected Securities (TIPS) over the period 2000 …

Persistent link: https://www.econbiz.de/10013108740

Sovereign risk premia in the European government bond market

Bernoth, Kerstin; Hagen, Jürgen von; Schuknecht, Ludger - 2003

Persistent link: https://www.econbiz.de/10002159446

Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?

Kim, Don H.; Priebsch, Marcel - 2020

We examine the structural stability of Gaussian shadow rate term structure models of Treasury yields over a period that includes the time during which the U.S. policy rate was at its effective lower bound. After a conceptual discussion of several potential sources of a structural break in the...

Persistent link: https://www.econbiz.de/10014048781

COVID-19, Ukraine-Russia war, and European Sovereign Bond Markets

Carnazza, Giovanni; Liberati, Paolo - 2022

Persistent link: https://www.econbiz.de/10014076976

The Term Structure of CDS Spreads and Sovereign Credit Risk

Augustin, Patrick - 2016

The shape of the term structure of credit default swap spreads is an informative signal about the relative importance of global and domestic risk factors to the time variation of sovereign credit spreads. Using a geographically dispersed panel of 44 countries, I show that the relative importance...

Persistent link: https://www.econbiz.de/10013005733

Overseas Unspanned Factors and Domestic Bond Returns

Meldrum, Andrew - 2017

Using data on government bond yields in Germany and the United States, we show that overseas unspanned factors — constructed from the components of overseas yields that are uncorrelated with domestic yields — have significant explanatory power for subsequent domestic bond returns. This...

Persistent link: https://www.econbiz.de/10012962610

The Long-Run Determinants of Indian Government Bond Yields

Akram, Tanweer - 2017

This paper investigates the long-term determinants of Indian government bonds' (IGB) nominal yields. It examines whether John Maynard Keynes's supposition that short-term interest rates are the key driver of long-term government bond yields holds over the long-run horizon, after controlling for...

Persistent link: https://www.econbiz.de/10012965607

The Natural Rate of Interest and Bond Returns

Garg, Ashish - 2017

A growing literature argues that slower output growth is one of the main contributing factors to the fall in the natural rate of interest. Consistent with this evidence, we show empirically that real GDP growth is a major driver of the nominal yield curve. Specifically, the rate of economic...

Persistent link: https://www.econbiz.de/10012950319

Asymmetry in Government Bond Returns

Fujiwara, Ippei - 2017

Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted using financial and macroeconomic variables? To answer the first question, we provide evidence for asymmetry in government bond returns in particular for short maturities. This...

Persistent link: https://www.econbiz.de/10012951362

Asymmetry in Government Bond Returns

Fujiwara, Ippei - 2017

Persistent link: https://www.econbiz.de/10012951784