Modeling Time Variation Of Risk Premia In The Term Structure Of Interest Rates

DOWNLOAD

Download Modeling Time Variation Of Risk Premia In The Term Structure Of Interest Rates PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Modeling Time Variation Of Risk Premia In The Term Structure Of Interest Rates book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page

Modeling Time Variation Of Risk Premia In The Term Structure Of Interest Rates

DOWNLOAD
Author : Jill M. Jacobs
language : en
Publisher:
Release Date : 1993

Modeling Time Variation Of Risk Premia In The Term Structure Of Interest Rates written by Jill M. Jacobs and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.

Risk Premia In The Term Structure Of Interest Rates

DOWNLOAD
Author : Dennis Bams
language : en
Publisher:
Release Date : 2000

Risk Premia In The Term Structure Of Interest Rates written by Dennis Bams and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Interest rate risk categories.

Time Varying Risk Premia In The Term Structure Of Interest Rates In New Zealand

DOWNLOAD
Author : Dimitris Margaritis
language : en
Publisher:
Release Date : 1991

Time Varying Risk Premia In The Term Structure Of Interest Rates In New Zealand written by Dimitris Margaritis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with Interest rates categories.

Rare Disasters And The Term Structure Of Interest Rates

DOWNLOAD
Author : Jerry Tsai
language : en
Publisher:
Release Date : 2015

Rare Disasters And The Term Structure Of Interest Rates written by Jerry Tsai and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.

This paper offers an explanation for the properties of the nominal term structure of interest rates and time-varying bond risk premia based on a model with rare consumption disaster risk. In the model, consumption is subject to large negative jumps (disasters), and these disasters are sometimes accompanied by period of high inflations. The possibility of jumps in inflation during disasters increases nominal yields and yield spread, while time-variation in disaster probability drives time-varying bond risk premia. This model also generates realistic implications for the aggregate stock market, and on the interaction between the two markets.

Volatility And Jump Risk Premia In Emerging Market Bonds

DOWNLOAD
Author : John Matovu
language : en
Publisher: International Monetary Fund
Release Date : 2007-07

Volatility And Jump Risk Premia In Emerging Market Bonds written by John Matovu and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-07 with Business & Economics categories.

There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium for jump risk embedded in observed bond yields. This paper identifies a class of jump-diffusion models that are successful in approximating the term structure of interest rates of emerging markets. The parameters of the term structure of interest rates are reconciled with the associated bond yields by estimating the volatility and jump risk premia in highly volatile markets. Using the simulated method of moments (SMM), results suggest that all variants of models which do not take into account stochastic volatility and unanticipated jumps cannot generate the non-normalities consistent with the observed interest rates. Jumps occur (8,10) times a year in Argentina and Brazil, respectively. The size and variance of these jumps is also of statistical significance.

Retrieving Inflation Expectations And Risk Premia Effects From The Term Structure Of Interest Rates

DOWNLOAD
Author : Efthymios Argyropoulos
language : en
Publisher:
Release Date : 2014

Retrieving Inflation Expectations And Risk Premia Effects From The Term Structure Of Interest Rates written by Efthymios Argyropoulos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

This paper suggests an empirically attractive Gaussian dynamic term structure model to retrieve estimates of real interest rates and in፟lation expectations from the nominal term structure of interest rates which are net of in፟lation risk premium effects. The paper shows that this model is consistent with the data and that time-variation of inflፚtion risk premium and real interest rates can explain the puzzling behavior of the spread between long and short-term nominal interest rates to forecast changes in in፟lation rates, especially over short-term horizons. The estimates of in፟lation risk premium effects retrieved by the model tend to be negative and signiጿicant, which implies that investors in the bond market require less compensation for holding nominal bonds compared to in፟lation-indexed bonds. This is more evident during the recent fiijnancial crisis.

The Expectations Hypothesis Of The Term Structure And Time Varying Risk Premia

DOWNLOAD
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.

Stock Returns And The Term Structure

DOWNLOAD
Author : John Y. Campbell
language : en
Publisher:
Release Date : 1985

Stock Returns And The Term Structure written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Capital assets pricing model categories.

It is well known that in the postwar period stockreturns have tended to be low when the short term nominal interest rate is high. In this paper I show that more generally the state of the term structure of interest rates predicts stock returns. Risk premia on stocks appear to move closely together with those on 20-year Treasury bonds, while risk premia on Treasury bills move somewhat independently. Average returns on 20-year bonds have been very low relative to average returns on stocks. I use these observations to test some simple asset pricing models. First I consider latent variable models in which betas are constant and risk premia vary with expected returns on a small number of unobservable hedge portfolios. The data strongly reject a single-latent-variable model. The last part of the paper examines the relationship between conditional means and variances of returns on bills, bonds and stocks. Bill returns tend to be high when their conditional variance is high, but there is a perverse negative relationship between stock returns and their conditional variance. A model is estimated which assumes that asset returns are determined by their time-varying betas with a fixed-weight "benchmark" portfolio of bills, bonds and stocks, whose return is proportional to its conditional variance. This portfolio is estimated to place almost all its weight on bills, indicating that uncertainty about nominal interest rates is important in pricing both short- and long-term assets

Inflation Risk Premia In The Term Structure Of Interest Rates

DOWNLOAD
Author : Peter Hördahl
language : en
Publisher:
Release Date : 2007

Inflation Risk Premia In The Term Structure Of Interest Rates written by Peter Hördahl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Banks and banking, Central categories.

"This paper estimates the size and dynamics of inflation risk premia in the euro area, based on a joint model of macroeconomic and term structure dynamics. Information from both nominal and index-linked yields is used in the empirical analysis. Our results indicate that term premia in the euro area yield curve reflect predominantly real risks, i.e. risks which affect the returns on both nominal and index-linked bonds. On average, inflation risk premia were negligible during the EMU period but occasionally subject to statistically significant fluctuations in 2004-2006. Movements in the raw break-even rate appear to have mostly reflected such variations in inflation risk premia, while long-term inflation expectations have remained remarkably anchored from 1999 to date." - - Abstract.

The Information Content Of The Term Structure Of Interest Rates About Future Inflation An Illustration Of The Importance Of Accounting For A Time Varying Real Interest Rate And Inflation Risk Premium

DOWNLOAD
Author : Christian Mose Nielsen
language : en
Publisher:
Release Date : 2007

The Information Content Of The Term Structure Of Interest Rates About Future Inflation An Illustration Of The Importance Of Accounting For A Time Varying Real Interest Rate And Inflation Risk Premium written by Christian Mose Nielsen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

During the past 15 years a large number of studies have used the approach suggested by Mishkin (Quarterly Journal of Economics, Vol. 105 (1990), No. 3, pp. 815-828; Journal of Monetary Economics, Vol. 25 (1990), No. 1, pp. 77-95) to examine the information content of the term structure of interest rates about future inflation. The empirical results of these studies, however, are very mixed and often not supportive of the Mishkin model. In addition, many results indicate that the term structure of interest rates only contains limited information about future inflation and that the relationship between the term structure of interest rates and future inflation may not be stable over time. In this paper an extension of the Mishkin model allowing for time-varying expected real interest rates and inflation risk premia is suggested and tested using monthly UK data from 1983:1 to 2004:10. The empirical results show that while the standard Mishkin model indicates that the term structure of interest rates contains limited information about future inflation, the extended Mishkin model indicates the contrary, i.e. the term structure of interest rates contains much information about future inflation when account is taken of time-varying expected real interest rates and inflation risk premia - especially when the long end of the term structure of interest rates is considered. Furthermore, the results indicate a potential structural break in the relationship between the term structure of interest rates and future inflation around the time the Bank of England started targeting inflation rates.