Expectation Puzzles Time Varying Risk Premia And Dynamic Models Of The Term Structure
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Expectation Puzzles Time Varying Risk Premia And Dynamic Models Of The Term Structure
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Author : Qiang Dai
language : en
Publisher:
Release Date : 2001
Expectation Puzzles Time Varying Risk Premia And Dynamic Models Of The Term Structure written by Qiang Dai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Bond yields - Forecasting categories.
Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional expectations theory, ' we show that these findings are not puzzling relative to a large class of richer dynamic term structure models. Specifically, we are able to match all of the key empirical findings reported by Fama and Bliss and Campbell and Shiller, among others, within large subclasses of affine and quadratic-Gaussian term structure models. Additionally, we show that certain risk-premium adjusted' projections of changes in yields on the slope of the yield curve recover the coefficients of unity predicted by the models. Key to this matching are parameterizations of the market prices of risk that let the risk factors affect the market prices of risk directly, and not only through the factor volatilities. The risk premiums have a simple form consistent with Fama's findings on the predictability of forward rates, and are shown to also be consistent with interest rate, feedback rules used by a monetary authority in setting monetary policy
Expectation Puzzles Time Varying Risk Premia And Dynamic Models Of The Term Structure
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Author : Qiang Dai
language : en
Publisher:
Release Date : 2008
Expectation Puzzles Time Varying Risk Premia And Dynamic Models Of The Term Structure written by Qiang Dai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional quot;expectations theory,quot; we show that these findings are not puzzling relative to a large class of richer dynamic terms structure models. Specifically, we are able to match all of the key empirical findings reported by Fama and Bliss and Campbell and Shiller, among others, within large subclasses of affine and quadractic-Gaussian term structure models. Key to this matching are parameterizations of the market prices of risk that let us separately quot;controlquot; the shape of the mean yield curve and the correlation structure of excess returns with the slope of the yield curve. The risk premiums have a simple form consistent with Fama's findings on the predictability of forward rates, and are shown to also be consistent with interest rate, feedback rules used by a monetary authority in setting monetary policy.
Expectation Puzzle Time Varying Risk Premia And Dynamic Models Of The Term Structure
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Author : Qiang Dai
language : en
Publisher:
Release Date : 2001
Expectation Puzzle Time Varying Risk Premia And Dynamic Models Of The Term Structure written by Qiang Dai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Expectations Puzzle Time Varying Risk Premia And Dynamic Models Of The Term Structure
DOWNLOAD
Author : Qiang Dai
language : en
Publisher:
Release Date : 2001
Expectations Puzzle Time Varying Risk Premia And Dynamic Models Of The Term Structure written by Qiang Dai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional quot;expectations theory,quot; we show that these findings are not puzzling relative to a large class of richer dynamic term structure models. Specifically, we are able to match all of the key empirical findings reported by Fama and Bliss and Campbell and Shiller, among others, within large subclasses of affine and quadratic-Gaussian term structure models. Key to this matching are parameterizations of the market prices of risk that let us separately quot;controlquot; the shape of the mean yield curve and the correlation structure of excess returns with the slope of the yield curve. The risk premiums have a simple form consistent with Fama's findings on the predictability of forward rates, and are shown to also be consistent with interest rate, feedback rules used by a monetary authority in setting monetary policy.
The Expectations Hypothesis Of The Term Structure And Time Varying Risk Premia
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Author : Richard D. F. Harris
language : en
Publisher:
Release Date : 1998
The Expectations Hypothesis Of The Term Structure And Time Varying Risk Premia written by Richard D. F. Harris and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Interest rate risk categories.
Dynamic Term Structure Modeling
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Author : Sanjay K. Nawalkha
language : en
Publisher: John Wiley & Sons
Release Date : 2007-05-23
Dynamic Term Structure Modeling written by Sanjay K. Nawalkha and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-05-23 with Business & Economics categories.
Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." --Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." --Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan "Nawalkha, Beliaeva, and Soto have put together a comprehensive, up-to-date textbook on modern dynamic term structure modeling. It is both accessible and rigorous and should be of tremendous interest to anyone who wants to learn about state-of-the-art fixed income modeling. It provides many numerical examples that will be valuable to readers interested in the practical implementations of these models." --Pierre Collin-Dufresne Associate Professor of Finance, UC Berkeley "The book provides a comprehensive description of the continuous time interest rate models. It serves an important part of the trilogy, useful for financial engineers to grasp the theoretical underpinnings and the practical implementation." --Thomas S. Y. Ho, PHD President, Thomas Ho Company, Ltd, coauthor, The Oxford Guide to Financial Modeling
Do Stationary Risk Premia Explain It All
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Author : Karen K. Lewis
language : en
Publisher:
Release Date : 1990
Do Stationary Risk Premia Explain It All written by Karen K. Lewis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with categories.
Most studies of the expectations theory of the term structure reject the model. However, the significance of the rejections depend strongly upon the form of the test. In this paper, we use the pattern of rejection across maturities to back out the implied behavior of time-varying risk premia and/or market forecasts. We then use a new technique to test whether stationary risk premia alone can be responsible for these rejections. Surprisirj1y, this test is rejected for short maturities up to 6 months, suggesting that time-varying risk premia do not explain it all. We also describe hew this method can be used to test other asset pricing relationships.
Yield Curve Modeling And Forecasting
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Author : Francis X. Diebold
language : en
Publisher: Princeton University Press
Release Date : 2013-01-15
Yield Curve Modeling And Forecasting written by Francis X. Diebold and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-15 with Business & Economics categories.
Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
The Yield Curve And Financial Risk Premia
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Author : Felix Geiger
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-08-17
The Yield Curve And Financial Risk Premia written by Felix Geiger and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-17 with Business & Economics categories.
The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind the movements of short- and long-term interest rates as well as the risk compensation demanded by financial investors. By taking on a macro-finance perspective, the book’s approach explicitly acknowledges the close feedback between monetary policy, the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic activity, the conduct of monetary policy and the underlying macroeconomic factors of bond price movements. Moreover, the book identifies a broad risk-taking channel of monetary transmission which allows a reassessment of the role of financial constraints; it enables policy makers to develop new guidelines for monetary policy and for financial supervision of how to cope with evolving financial imbalances.
The Maturity Structure Of Term Premia With Time Varying Expected Returns
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Author : Mark A. Hooker
language : en
Publisher:
Release Date : 1996
The Maturity Structure Of Term Premia With Time Varying Expected Returns written by Mark A. Hooker and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Government securities categories.