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Inflation news coverage, expectations and risk premium

Perico Ortiz, Daniel - 2023

This paper investigates the effects of inflation news coverage on market-based inflation expectations and outcomes in the inflation-protected securities market. We employ a large corpus of news headlines from top U.S. newspapers and market data on the U.S. yield curve and inflation-protected...

Persistent link: https://www.econbiz.de/10014374818

Anchoring the yield curve using survey expectations

Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2013

Persistent link: https://www.econbiz.de/10010230091

Anchoring the yield curve using survey expectations

Altavilla, Carlo; Giacomini, Raffaella; Ragusa, Giuseppe - 2014

Persistent link: https://www.econbiz.de/10010239892

Leverage expectations and bond credit spreads

Flannery, Mark J.; Nikolova, Stanislava Stas; Öztekin, … - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 4, pp. 689-714

Persistent link: https://www.econbiz.de/10009672483

On the determination of yields in the Japanese secondary bond market : an expectations theory approach

Kuroda, Akio; Okubo, Takashi - 1981

Persistent link: https://www.econbiz.de/10002368963

Expected future tax policy and tax-exempt bond yields

Poterba, James M. - 1984

Persistent link: https://www.econbiz.de/10002675162

De rentetermijnstructuur in een doelzone wisselkoerssysteem : schattingen voor Belgie͏̈ en Nederland

Dijkstra, Theo K. - In: Tijdschrift voor economie en management 41 (1996) 1, pp. 11-26

Persistent link: https://www.econbiz.de/10001198504

Bewertung bei Arbitragefreiheit und Ermittlung impliziter Zinserwartungen

Hampe, J. Oliver - 1998

Persistent link: https://www.econbiz.de/10000990375

Macroeconomic Uncertainty, Difference in Beliefs, and Bond Risk Premia

Buraschi, Andrea - 2015

In this paper we study empirically the implications of macroeconomic disagreement for the time variation in bond market … bond returns. Using survey data on macroeconomic forecasts of fundamentals spanning interest rates, real aggregates and … of risk so that a single factor proxy for disagreement forecasts bond returns with ℛ2 between 15%- 20%. Secondly, by …

Persistent link: https://www.econbiz.de/10013038117

Subjective Bond Risk Premia and Belief Aggregation

Buraschi, Andrea - 2020

expectations makes aggregation of beliefs a non-trivial task. This paper proposes a novel approach to estimate subjective bond risk …

Persistent link: https://www.econbiz.de/10012849450