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Improving market-based forecasts of short-term interest rates : time-varying stationarity and the predictive content of switching regime-expectations

Ahrens, Ralf - 1999

Modeling short-term interest rates as following regime-switching processes has become increasingly popular. Theoretically, regime-switching models are able to capture rational expectations of infrequently occurring discrete events. Technically, they allow for potential time-varying stationarity....

Persistent link: https://www.econbiz.de/10009768272

The microstructure of China's government bond market

Bai, Jennie; Fleming, Michael J.; Horan, Casidhe - 2013

Although China now has one of the largest government bond markets in the world, the market has received relatively little attention and analysis. We describe the history and structure of the market and assess its functioning. We find that trading in individual bonds was historically sparse but...

Persistent link: https://www.econbiz.de/10009752795

Forecasting inflation and the inflation risk premiums using nominal yields

Feunou, Bruno; Fontaine, Jean-Sébastien - 2012

We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk … distribution of the inflation Sharpe ratios to achieve economically reasonable estimates of the inflation risk premium and of the … real rates. We find that the inflation risk premium (i) is positive on average, (ii) rises when the unemployment rate …

Persistent link: https://www.econbiz.de/10009668398

Algunas consideraciones sobre la estructura temporal de tasas de interés del gobierno en México

García-Verdú, Santiago - 2011

This paper, first, reviews briefly the literature on the term structure of interest rates, citing some of the most important studies done on the topic for the Mexican case in the last years. In addition, the development of the government debt market is described. Second, evidence against the...

Persistent link: https://www.econbiz.de/10009410460

Testing for a break in the persistence in yield spreads of EMU government bonds

Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - 2013

this period. This could be a sign of higher sovereign credit risk (and possibly even redenomination risk) caused by the …

Persistent link: https://www.econbiz.de/10010239739

Federal reserve tools for managing rates and reserves

Martin, Antoine; McAndrews, James Joseph; Palida, Ali; … - 2013

Monetary policy measures taken by the Federal Reserve as a response to the 2007-09 financial crisis and subsequent economic conditions led to a large increase in the level of outstanding reserves. The Federal Open Market Committee (FOMC) has a range of tools to control short-term market rates in...

Persistent link: https://www.econbiz.de/10010201212

Sovereign risk premiums in the European Government bond market

Bernoth, Kerstin; Hagen, Jürgen von; Schuknecht, Ludger - 2006

by EU countries and Germany or the USA contain risk premiums which increase with fiscal imbalances and depend negatively …

Persistent link: https://www.econbiz.de/10010365887

The empirics of long-term US interest rates

Akram, Tanweer; Li, Huiqing - 2016

US government indebtedness and fiscal deficits increased notably following the global financial crisis. Yet long-term interest rates and US Treasury yields have remained remarkably low. Why have long-term interest rates stayed low despite the elevated government indebtedness? What are the...

Persistent link: https://www.econbiz.de/10011453037

A contribution to the study of the German treasury bills market

Leão, Emanuel R.; Lagoa, Sergio C. - In: Cogent economics & finance 3 (2015) 1, pp. 1-11

We study the yields in the German treasury bills market. We take a detailed look at the yield banks require to buy treasury bills in the primary market, and we also examine the yield households and nonbank firms demand to buy these bills in the secondary market. We use data from real world...

Persistent link: https://www.econbiz.de/10011449639

Real and nominal equilibrium yield curves : wage rigidities and permanent shocks

Hsu, Alex; Li, Erica X. N.; Palomino, Francisco - 2016

The links between real and nominal bond risk premia and macroeconomic dynamics are explored quantitatively in a model ….S. economy, implying significantly positive real term and inflation risk bond premia. In contrast to previous literature, both …-rule responses to inflation (output) increase (decrease) both premia, while policy surprises generate negligible risk premia …

Persistent link: https://www.econbiz.de/10011500232