Risk Premia In The Term Structure Of Interest Rates
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Risk Premia In The Term Structure Of Interest Rates
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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.
Risk Premia In The Term Structure Of Interest Rates A Panel Data Approoach
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Author : Dennis Bams
language : en
Publisher:
Release Date : 2000
Risk Premia In The Term Structure Of Interest Rates A Panel Data Approoach 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 categories.
Substitutability Expectations Risk Premia And The Term Structure Of Interest Rates
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Author : Margaret J. Hurley
language : en
Publisher:
Release Date : 1987
Substitutability Expectations Risk Premia And The Term Structure Of Interest Rates written by Margaret J. Hurley and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Interest categories.
Time Varying Risk Premia In The Term Structure Of Interest Rates In New Zealand
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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.
Modeling Time Variation Of Risk Premia In The Term Structure Of Interest Rates
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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.
Inflation Risk Premia In The Term Structure Of Interest Rates
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Author : Peter Hördahl
language : en
Publisher:
Release Date : 2013
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 2013 with 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 signifcant 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.
The Inflation Risk Premium In The Term Structure Of Interest Rates
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Author : Peter Hördahl
language : en
Publisher:
Release Date : 2013
The Inflation Risk Premium 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 2013 with categories.
A dynamic term structure model based on an explicit structural macroeconomic framework is used to estimate inflation risk premia in the United States and the euro area. On average over the past decade, inflation risk premia have been relatively small but positive. They have exhibited an increasing pattern with respect to maturity for the euro area and a flatter one for the United States. Furthermore, the estimates imply that risk premia vary over time, mainly in response to fluctuations in economic growth and inflation.
Inflation Risk Premia In The Term Structure Of Interest Rates
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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.
Excess Holding Yields And Risk Premia In The Term Structure Of Interest Rates
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Author : Tae-Hwy Lee
language : en
Publisher:
Release Date : 1999
Excess Holding Yields And Risk Premia In The Term Structure Of Interest Rates written by Tae-Hwy Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Econometric models categories.
Risk Premia With Markov Regimes And The Term Structure Of Interest Rates
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Author : Zacharias Psaradakis
language : en
Publisher:
Release Date : 2002
Risk Premia With Markov Regimes And The Term Structure Of Interest Rates written by Zacharias Psaradakis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Economics categories.