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Inflation Uncertainty and Disagreement in Bond Risk Premia

D'Amico, Stefania - 2014

This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …

Persistent link: https://www.econbiz.de/10013040031

Inflation uncertainty and disagreement in bond risk premia

D'Amico, Stefania; Orphanides, Athanasios - 2014

Persistent link: https://www.econbiz.de/10010441139

Macroeconomic drivers of inflation expectations and inflation risk premia

Boeckx, Jef; Iania, Leonardo; Wauters, Joris - 2024

We propose a new model to decompose inflation swaps into genuine inflation expectations and risk premiums. We develop a … long-run, economically grounded determinants, such as the equilibrium real interest rate and the inflation target. Our … estimations deliver new insights into how macroeconomic variables affect market-based inflation expectation measures. …

Persistent link: https://www.econbiz.de/10014481266

An estimated DSGE model : explaining variation in normal term premia, real term premia, and inflation risk premia

Andreasen, Martin Møller - In: European economic review : EER 56 (2012) 8, pp. 1656-1674

Persistent link: https://www.econbiz.de/10009706466

The risk premium in New Keynesian DSGE models : the cost of inflation channel

Iania, Leonardo; Tretiakov, Pavel; Wouters, Rafael - In: Journal of economic dynamics & control 155 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014479642

Robust bond risk premia

Bauer, Michael D.; Hamilton, James D. - 2015 - Rev.: September 25, 2015

A consensus has recently emerged that a number of variables in addition to the level, slope, and curvature of the term structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used to support this conclusion are subject to very...

Persistent link: https://www.econbiz.de/10011346306

The interest rate effects of government bond purchases away from the lower bound

De Rezende, Rafael B. - 2016

I analyze the recent experience of unconventional monetary policy in Sweden to study the interest rate transmission mechanisms of government bond purchases when interest rates are not constrained by a lower bound. Using dynamic term structure models and event study regressions I find that...

Persistent link: https://www.econbiz.de/10011471465

Do Eurozone yield spreads predict recessions?

Schock, Matthias - 2014 - Rev. September 2014

An OLS and probit framework is used to examine the predictive power of yield spreads with respect to GDP growth and recessions in the Eurozone from the 1990s to the recent past. Credit default swap (CDS) data on sovereign bonds, which provide a direct measure of default risk, are employed as...

Persistent link: https://www.econbiz.de/10010419649

Predicting economic activity via Eurozone yield spreads : impact of credit risk

Schock, Matthias - 2015

A 'lost decade' for the Eurozone is looming on the horizon. Under these circumstances, stable indicators for future economic activity are especially valuable to decision makers. This paper examines the predictive power of the yield spread, one of the most reliable indicators for gross domestic...

Persistent link: https://www.econbiz.de/10010492457

The yield curve as a predictor of economic activity in Mexico: the role of the term premium

Ibarra-Ramírez, Raúl - 2021

This paper analyzes whether there exists a relationship between the slope of the yield curve and future economic activity in Mexico for the period 2004-2019. In particular, we evaluate whether such relationship depends on the term premium. For this purpose, we estimate a threshold model in which...

Persistent link: https://www.econbiz.de/10012584159