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Real and Nominal Equilibrium Yield Curves with Endogenous Inflation : A Quantitative Assessment

Hsu, Alex - 2015

The links between real and nominal bond risk premia and macroeconomic dynamics are explored analytically and … real and nominal risk premia through endogenous inflation. The estimated model captures macroeconomic and yield curve … properties of the U.S. economy, implying significantly positive real term and inflation risk bond premia. Both premia are induced …

Persistent link: https://www.econbiz.de/10013032008

Fixed-Income Pricing in a Non-Linear Interest-Rate Model

Renne, Jean-Paul - 2015

model can be exploited to infer risk-neutral probabilities of central-bank rate decisions …

Persistent link: https://www.econbiz.de/10013032066

Expectation-driven term structure of equity and bond yields

Zeng, Ming; Zhao, Guihai - 2022 - Last updated: May 11, 2022

Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield...

Persistent link: https://www.econbiz.de/10013193433

Modeling Persistent Interest Rates with Double-Autoregressive Processes

Hansen, Anne Lundgaard - 2021

We propose a term structure model featuring double-autoregressive dynamics, which can accommodate unit roots and cointegrating relations while maintaining stationarity. In an empirical application, the model reduces in-sample misspecification and significantly improves out-of-sample yield...

Persistent link: https://www.econbiz.de/10013314535

What Fed funds futures tell us about monetary policy uncertainty

Fontaine, Jean-Sébastien - 2016

funds futures data. The uncertainty is highest when it signals a loosening cycle. The uncertainty raises the risk premium in …

Persistent link: https://www.econbiz.de/10011576374

Quantitative easing and long-term yields in small open economies

Díez de los Ríos, Antonio; Shamloo, Maral - 2017

We compare the Federal Reserve's asset purchase programs with those implemented by the Bank of England and the Swedish Riksbank, and the Swiss National Bank’s reserve expansion program. We decompose government bond yields into (i) an expectations component, (ii) a global term premium and (iii)...

Persistent link: https://www.econbiz.de/10011684923

Ambiguity, nominal bond yields and real bond yields

Zhao, Guihai - 2018

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth. Ambiguity can help resolve...

Persistent link: https://www.econbiz.de/10011864574

Equilibrium yield curves and the interest rate lower bound

Nakata, Taisuke; Tanaka, Hiroatsu - 2016 - This draft: October 2016

longer than previously expected lowers the expected short rate path, but its effect on term premiums depends on the risk …

Persistent link: https://www.econbiz.de/10011578779

Learning, equilibrium trend, cycle, and spread in bond yields

Zhao, Guihai - 2020 - Last updated: April 7, 2020

Some key features in the historical dynamics of U.S. Treasury bond yields-a trend in long-term yields, business cycle movements in short-term yields, and a level shift in yield spreads-pose serious challenges to existing equilibrium asset pricing models. This paper presents a new equilibrium...

Persistent link: https://www.econbiz.de/10012201422

A portfolio-balance model of inflation and yield curve determination

Díez de los Ríos, Antonio - 2020 - Last updated: March 9, 2020

We propose a portfolio-balance model of the yield curve in which inflation is determined through an interest rate rule that satisfies the Taylor principle. Because arbitrageurs care about their real wealth, they only absorb an increase in the supply of nominal bonds if they are compensated with...

Persistent link: https://www.econbiz.de/10012177988