Time Varying Risk Premia And The Predictive Power Of The Australian Term Structure Of Interest Rates

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Time Varying Risk Premia And The Predictive Power Of The Australian Term Structure Of Interest Rates

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Author : Lakshman Alles
language : en
Publisher:
Release Date : 1993

Time Varying Risk Premia And The Predictive Power Of The Australian Term Structure Of Interest Rates written by Lakshman Alles and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Acceptances categories.

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.

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.

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.

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.

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.

Time Varying Term Premia And The Behavior Of Forward Interest Rate Prediction Errors

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Author : Sridhar Iyer
language : en
Publisher:
Release Date : 1998

Time Varying Term Premia And The Behavior Of Forward Interest Rate Prediction Errors written by Sridhar Iyer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.

In this paper I examine the time-varying expected term premium argument for the failure of the expectations hypothesis of the term structure of U.S. interest rates. Using an unobserved components model to estimate expected term premiums from March 1951 to January 1991, I find considerable variation in estimated premiums and significant persistence in their volatility over time.

Estimates Of Time Varying Term Premia For New Zealand And Australia

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Author : Michael Gordon
language : en
Publisher:
Release Date : 2003

Estimates Of Time Varying Term Premia For New Zealand And Australia written by Michael Gordon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Interest rates categories.

Time Varying Term Premia And The Term Structure Of Interest Rates Fotoc Pia

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Author : Choo-Yong Goh
language : en
Publisher:
Release Date : 1991

Time Varying Term Premia And The Term Structure Of Interest Rates Fotoc Pia written by Choo-Yong Goh 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.

The Non U S Bank Demand For U S Dollar Assets

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Author : Mr.Tobias Adrian
language : en
Publisher: International Monetary Fund
Release Date : 2020-06-19

The Non U S Bank Demand For U S Dollar Assets written by Mr.Tobias Adrian 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 2020-06-19 with Business & Economics categories.

The USD asset share of non-U.S. banks captures the demand for dollars by these investors. An instrumental variable strategy identifies a causal link from the USD asset share to the USD exchange rate. Cross-sectional asset pricing tests show that the USD asset share is a highly significant pricing factor for carry trade strategies. The USD asset share forecasts the dollar with economically large magnitude, high statistical significance, and large explanatory power, both in sample and out of sample, pointing towards time varying risk premia. It takes 2-5 years for exchange rate risk premia to normalize in response to demand shocks.