The Expectations Hypothesis Of The Term Structure And Time Varying Risk Premia
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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.
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
Expectations 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
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.
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.
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.
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.
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.
A Test Of The Expectations Hypothesis Of The Term Structure Using Cross Section Data
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Author : Richard D. F. Harris
language : en
Publisher:
Release Date : 1998
A Test Of The Expectations Hypothesis Of The Term Structure Using Cross Section Data 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 rates categories.
Do Stationary Risk Premia Explain It All Evidence From The Term Struct
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Author : Martin D.D. Evans
language : en
Publisher:
Release Date : 2002
Do Stationary Risk Premia Explain It All Evidence From The Term Struct written by Martin D.D. Evans and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 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.
Stock Returns And The Term Structure
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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