The Maturity Structure Of Term Premia With Time Varying Expected Returns
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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.
The Maturity Structure Of Term Premia With Time Varying Expected Returns Mark A Hooker
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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 Mark A Hooker 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 categories.
Risk Premium Variance Premium And The Maturity Structure Of Uncertainty
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Author : Bruno Feunou
language : en
Publisher:
Release Date : 2012
Risk Premium Variance Premium And The Maturity Structure Of Uncertainty written by Bruno Feunou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Capital market categories.
Bond Risk Premia
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Author : John Howland Cochrane
language : en
Publisher:
Release Date : 2002
Bond Risk Premia written by John Howland Cochrane and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Bonds categories.
This paper studies time variation in expected excess bond returns. We run regressions of annual excess returns on forward rates. We find that a single factor predicts 1-year excess returns on 1-5 year maturity bonds with an R2 up to 43%. The single factor is a tent-shaped linear function of forward rates. The return forecasting factor has a clear business cycle correlation: Expected returns are high in bad times, and low in good times, and the return-forecasting factor forecasts long-run output growth. The return-forecasting factor also forecasts stock returns, suggesting a common time-varying premium for real interest rate risk. The return forecasting factor is poorly related to level, slope, and curvature movements in bond yields. Therefore, it represents a source of yield curve movement not captured by most term structure models. Though the return-forecasting factor accounts for more than 99% of the time-variation in expected excess bond returns, we find additional, very small factors that forecast equally small differences between long term bond returns, and hence statistically reject a one-factor model for expected returns
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.
Ex Ante Bond Returns And The Yield Curve
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Author : Boudoukh Jacob
language : en
Publisher:
Release Date : 2008
Ex Ante Bond Returns And The Yield Curve written by Boudoukh Jacob 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.
We provide a test of the liquidity preference hypothesis (i.e., the monotonicity of ex ante term premiums), conditioning on the shape of the yield curve. The approach we use is general, and does not require a structural model for conditional expected returns. Using nonparametric estimates, the evidence supports previous conclusions in the literature regarding time-varying negative term premiums. For example, in periods in which the term structure is downward sloping, we find that the premiums can be significantly negative and are often monotonically decreasing in maturity. Interestingly, in these periods the volatility of the term premium is still increasing in maturity, indicating that bond return volatility is not a priced risk.
A Macroeconomic Approach To The Term Premium
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Author : Emanuel Kopp
language : en
Publisher: International Monetary Fund
Release Date : 2018-06-15
A Macroeconomic Approach To The Term Premium written by Emanuel Kopp 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 2018-06-15 with Business & Economics categories.
In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy, and an inflation surprise could require monetary policy to tighten faster than anticipated, inducing to a sudden decompression of term and other risk premia, thus tightening financial conditions. This paper proposes a semi-structural dynamic term structure model augmented with macroeconomic factors to include cyclical dynamics with a focus on medium- to long-run forecasts. Our results clearly show that a macroeconomic approach is warranted: While term premium estimates are in line with those from other studies, we provide (i) plausible, stable estimates of expected long-term interest rates and (ii) forecasts of short- and long-term interest rates as well as cyclical macroeconomic variables that are stunningly close to those generated from large-scale macroeconomic models.
Financial Markets And The Real Economy
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Author : John H. Cochrane
language : en
Publisher: Now Publishers Inc
Release Date : 2005
Financial Markets And The Real Economy written by John H. Cochrane and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
The Cyclical Behavior Of The Term Structure Of Interest Rates
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Author : Reuben A. Kessel
language : en
Publisher:
Release Date : 1965
The Cyclical Behavior Of The Term Structure Of Interest Rates written by Reuben A. Kessel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1965 with Business & Economics categories.
Growth Or Glamour
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Author : John Y. Campbell
language : en
Publisher:
Release Date : 2005
Growth Or Glamour 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 2005 with Stocks categories.
The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market's discount-rate shocks, and of value stocks with the market's cash-flow shocks, are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely "glamour stocks" whose systematic risks are purely driven by investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market-wide cash flows, and this predictive power arises from the behavior of firms' cash flows. The systematic risks of stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals.