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Financial Conditions, Macroeconomic Factors and (Un)Expected Bond Excess Returns
Fricke, Christoph - 2016
Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part. In order to explore these risk premia and innovations,...
Persistent link: https://www.econbiz.de/10012988721
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The term structure of expectations
Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel; … - 2021
Economic theory predicts that intertemporal decisions depend critically on expectations about future outcomes. Using …
Persistent link: https://www.econbiz.de/10012660381
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Fundamental disagreement about monetary policy and the term structure of interest rates
Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, … - 2021 - Revised August 2021
Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....
Persistent link: https://www.econbiz.de/10012249767
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UK term structure decompositions at the zero lower bound
Carriero, Andrea; Mouabbi, Sarah; Vangelista, Elisabetta - 2015
This paper employs a Zero Lower Bound (ZLB) consistent shadow-rate model to decompose UK nominal yields into expectation and term premia components. Compared to a standard affine term structure model, it performs relatively better in a ZLB setting and effectively captures the countercyclical...
Persistent link: https://www.econbiz.de/10011339919
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Risks in macroeconomic fundamentals and excess bond returns predictability
De Rezende, Rafael B. - 2015 - February 2015
I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...
Persistent link: https://www.econbiz.de/10010478516
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The term structure of expectations and bond yields
Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel - 2016
How much do term premiums matter for explaining the dynamics of the term structure of interest rates? A lot. We characterize the expected path of nominal and real short-rates as well as inflation using the universe of U.S. surveys of professional forecasters covering more than 500 survey-horizon...
Persistent link: https://www.econbiz.de/10011477349
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Direct Tests of the Expectations Theory of the Term Structure : Survey Expectations, the Term Premium and Coefficient Biases
Smant, David J.C. - 2011
A common perception in the literature seems to be that the expectations theory of the term structure of interest rates … premises. First, the general version of the expectations theory does not require a constant term premium. Second, contrary to … assumptions show that the expectations theory fits the term structure data very well …
Persistent link: https://www.econbiz.de/10013134030
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How to Extract Short-Rate Expectations from the Extended Vasicek Model
Braun, Thomas - 2012
This paper deals with how reasonable it is to accept the pure expectations hypothesis as a guide to the expected future development of the economy as indicated by the expected future short rate. At this aim it tries to extract short rate expectations from the observable term structure of...
Persistent link: https://www.econbiz.de/10013099904
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Funding Shortages, Expectations, and Forward Rate Risk Premium
Jarrow, Robert - 2020
This paper estimates term risk premium and expected future spot rates embedded in Treasury forward rates to study the impact of short-term funding shortages on these quantities. Our approach is consistent with dynamic equilibrium models and avoids the arbitrage-free dynamic inconsistency...
Persistent link: https://www.econbiz.de/10012841545
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The Term Structure of Expectations and Bond Yields
Crump, Richard K. - 2018
short rates. While the behavior of nominal and real short rate expectations is consistent with standard macroeconomic theory …
Persistent link: https://www.econbiz.de/10012936082