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Yield Spreads and Interest Rate Movements : A Bird's Eye View

Campbell, John Y. - 1989

The expectations theory of the term structure implies that the spread between a longer-term interest rate and a shorter … the longer-term bond tends to fall, contrary to the expectations theory; at the same time, the shorter-term interest rate … tends to rise, just as the expectations theory requires. We discuss several possible interpretations of these findings. We …

Persistent link: https://www.econbiz.de/10012475890

Under- and Over-Reaction in Yield Curve Expectations

Wang, Chen - 2020

I study how professional forecasts of interest rates across maturities respond to new information. I document that forecasts for short-term rates underreact to new information while forecasts for long-term rates overreact. I propose a new explanation based on "autocorrelation averaging,''...

Persistent link: https://www.econbiz.de/10012846769

Bond Risk Premia and Realized Jump Risk

Wright, Jonathan H.; Zhou, Hao - 2022

We find that augmenting a regression of excess bond returns on the term structure of forward rates with a rolling estimate of the mean realized jump size - identified from high-frequency bond returns using the bi-power variation technique - substantially increases the R2 of the regression. This...

Persistent link: https://www.econbiz.de/10014236286

Expectations and term premia in EFSF bond yields

Carriero, Andrea; Ricci, Lorenzo; Vangelista, Elisabetta - 2022

The European Financial Stability Facility (EFSF) was set up in June 2010 as a temporary crisis resolution mechanism. In October 2012, its tasks were taken over by European Stability Mechanism (ESM), a permanent institution with a capital-based structure. Liquidity conditions for EFSF bonds in...

Persistent link: https://www.econbiz.de/10013403171

Decomposing long bond returns : a decentralized theory

Carr, Peter; Wu, Liuren - In: Review of finance : journal of the European Finance … 27 (2023) 3, pp. 997-1026

Persistent link: https://www.econbiz.de/10014318020

Financial Markets Efficiency and Economic Behaviour : Evaluating Euro Area Economies

Tomat, Gian Maria - 2023

Chapter 1 Introduction -- Chapter 2 Efficient markets -- Chapter 3 Equity premium -- Chapter 4 The dividend ratio model -- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market -- Chapter 9 Derivative securities -- Chapter 10...

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

La curva dei rendimenti dei BOT come misura dei tassi futuri attesi

Grande, Giuseppe - 1994

Persistent link: https://www.econbiz.de/10013439044

Expectations and Term Premia in EFSF Bond Yields

Vangelista, Elisabetta; Carriero, Andrea; Ricci, Lorenzo - 2023

Persistent link: https://www.econbiz.de/10014254776

A Model of Implied Expected Bond Returns

Afik, Zvika - 2013

We present a discrete time model of expected bond returns (EBR). These are ex-ante expectations implied by the market prices and the data set available when bond prices are quoted. The model can be used to estimate the rating-adjusted EBR, its risk premium components, including a certainty...

Persistent link: https://www.econbiz.de/10013095058

Endogenous term premia and anomalies in the term structure of interest rates : explaining the predictability smile

Roberds, William; Whiteman, Charles H. - 1996

Persistent link: https://www.econbiz.de/10000958010