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Forecasts of inflation and interest rates in no-arbitrage affine models
Gospodinov, Nikolaj; Wei, Bin - 2016
In this paper, we examine the forecasting ability of an affine term structure framework that jointly models the markets for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no-arbitrage restrictions across these markets. On the methodological...
Persistent link: https://www.econbiz.de/10011421729
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Macroeconomics and the Term Structure
Gürkaynak, Refet S.; Wright, Jonathan - C.E.P.R. Discussion Papers - 2010
This paper provides an overview of the analysis of the term structure of interest rates with a special emphasis on recent developments at the intersection of macroeconomics and finance. The topic is important to investors and also to policymakers, who wish to extract macroeconomic expectations...
Persistent link: https://www.econbiz.de/10008642882
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Inflation risk premia, yield volatility and macro factors
Berardi, Andrea; Plazzi, Alberto - 2018
structure of nominal and real rates. We estimate the model over 1999-2016 on U.S. data for nominal and TIPS yields, the realized …
Persistent link: https://www.econbiz.de/10011877284
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Inflation Risk Premia, Yield Volatility and Macro Factors
Berardi, Andrea - Dipartimento di Scienze Economiche, Facoltà di Economia - 2013
forecasts of GDP growth, as well as data on nominal Treasury yields, TIPS yields and survey forecasts of CPI inflation. The …
Persistent link: https://www.econbiz.de/10010929637
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TIPS: Taking Inflation Premium Seriously
Wei, Min; D'Amico, Stefania; Kim, Don H. - Society for Computational Economics - SCE - 2005
This paper asks the question of whether the newly available TIPS yields data can help us achieve a better understanding … of the real term structure and the inflation expectations. The yield differential between TIPS and comparable nominal … the TIPS yield may depart from the true "real yield," due to low investor demand especially in the early years. Without …
Persistent link: https://www.econbiz.de/10005343003
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Understanding Inflation-Indexed Bond Markets
Campbell, John Y.; Shiller, Robert J.; Viceira, Luis M. - Cowles Foundation for Research in Economics, Yale University - 2009
This paper explores the history of inflation-indexed bond markets in the US and the UK. It documents a massive decline in long-term real interest rates from the 1990's until 2008, followed by a sudden spike in these rates during the financial crisis of 2008. Breakeven inflation rates, calculated...
Persistent link: https://www.econbiz.de/10004999551
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Expectations, Bond Yields and Monetary Policy
Chun, Albert Lee - EconWPA - 2005
Through explicitly incorporating analysts' forecasts as observable factors in a dynamic arbitrage- free model of the yield curve, this paper proposes a framework for studying the impact of shifts in market sentiment on interest rates of all maturities. An empirical examination reveals that...
Persistent link: https://www.econbiz.de/10005076986
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Expectations, Bond Yields and Monetary Policy
Chun, Albert Lee - Stanford Institute for Economic Policy Research … - 2005
Through explicitly incorporating analysts' forecasts as observable factors in a dynamic arbitrage-free model of the yield curve, this research proposes a framework for studying the impact of shifts in market sentiment on interest rates of all maturities. An empirical examination reveals that...
Persistent link: https://www.econbiz.de/10009141796
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The Role of Bounded Rationality in Macro-Finance Affine Term-Structure Models
Yun, Tack; Kim, Jinsook; Ko, Eunmi - Volkswirtschaftliche Fakultät, … - 2012
Our goal in this paper is two-fold. First, we develop a class of term structure models that allow for the role of bounded rationality by incorporating either information-processing constraint or fear for mis-specification into affine term structure models. We indentify a set of sufficient...
Persistent link: https://www.econbiz.de/10011110476
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A joint macroeconomic-yield curve model for Hungary
Reppa, Zoltán - 2009
The main goal of this paper is to examine the relationship between macroeconomic shocks and yield curve movements in Hungary. To this end, we apply a Nelson-Siegel type dynamic yield curve model, where changes of the yield curve are driven by two latent factors and some key macro variables that...
Persistent link: https://www.econbiz.de/10010322460