Time Varying Risk Premia In The Term Structure Of Interest Rates In New Zealand
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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.
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.
Conditional Time Varying Interest Rate Risk Premium
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Author : Alan C. Hess
language : en
Publisher:
Release Date : 2003
Conditional Time Varying Interest Rate Risk Premium written by Alan C. Hess and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Futures market categories.
Time Varying Risk Premia And The Efficiency Of The New Zealand Foreign Exchange Market
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Author : Dimitris Margaritis
language : en
Publisher:
Release Date : 1991
Time Varying Risk Premia And The Efficiency Of The New Zealand Foreign Exchange Market 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 Foreign exchange futures categories.
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.
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.
Riding The Yield Curve Risk Taking Behavior In A Low Interest Rate Environment
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Author : Mr.Ralph Chami
language : en
Publisher: International Monetary Fund
Release Date : 2020-03-13
Riding The Yield Curve Risk Taking Behavior In A Low Interest Rate Environment written by Mr.Ralph Chami 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 2020-03-13 with Business & Economics categories.
Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.
Foreign Exchange Issues Capital Markets And International Banking In The 1990s Rle Banking Finance
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Author : Khosrow Fatemi
language : en
Publisher: Routledge
Release Date : 2012-10-12
Foreign Exchange Issues Capital Markets And International Banking In The 1990s Rle Banking Finance written by Khosrow Fatemi and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-12 with Business & Economics categories.
The need for continued analysis and evaluation of the international financial system is as pressing now as it was when this book was originally published. This volume provides an in-depth analysis of certain aspects of the international financial system. Specifically it addresses four of the most important financial and monetary issues of the present time: exchange rate, capital markets, international banking and external debt and international financial management.
Global Factors In The Term Structure Of Interest Rates
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Author : Mirko Abbritti
language : en
Publisher: International Monetary Fund
Release Date : 2013-11-05
Global Factors In The Term Structure Of Interest Rates written by Mirko Abbritti 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 2013-11-05 with Business & Economics categories.
This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.
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.