Download or read book The Maturity Structure of Term Premia with Time varying Expected Returns written by Mark A. Hooker and published by . This book was released on 1996 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Maturity Structure of Term Premia with Time varying Expected Returns Mark A Hooker written by Mark A.. Hooker and published by . This book was released on 1996 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Return Generating Process and the Determinants of Term Premiums written by Edwin J. Elton and published by . This book was released on 2009 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines asset pricing theories for treasury bonds using longer maturities than previous studies and employing a simple multi-factor model. We allow bond factor loadings to vary over time according to term structure variables. The model examines not only the time variation in the expected returns of bonds but also their unexpected returns. This allows us to explicitly test some asset pricing restrictions which are difficult to study under existing frameworks. We confirm that the pure expectation theory of the term structure of interest rates is rejected by the data. Our empirical study of a two-factor model finds substantial evidence of time-varying term-premiums and factor loadings. The fact that factor loadings vary with long term interest rates and yield spreads suggest that bond return volatilities are sensitivity to interest rate levels.
Download or read book Bond Risk Premia written by John Howland Cochrane and published by . This book was released on 2002 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Download or read book Risk Premium Variance Premium and the Maturity Structure of Uncertainty written by Bruno Feunou and published by . This book was released on 2012 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Cyclical Behavior of the Term Structure of Interest Rates written by Reuben A. Kessel and published by . This book was released on 1965 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Macroeconomic Approach to the Term Premium written by Emanuel Kopp and published by International Monetary Fund. This book was released on 2018-06-15 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Ex Ante Bond Returns and the Yield Curve written by Boudoukh Jacob and published by . This book was released on 2008 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Expectations Hypothesis of the Term Structure and Time Varying Risk Premia written by Richard D. F. Harris and published by . This book was released on 1998 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Endogenous Term Premia and Anomalies in the Term Structure of Interest Rates written by William Roberds and published by . This book was released on 1996 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Yield Curve Modeling and Forecasting written by Francis X. Diebold and published by Princeton University Press. This book was released on 2013-01-15 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
Download or read book Handbook of the Economics of Finance SET Volumes 2A 2B written by George M. Constantinides and published by Newnes. This book was released on 2013-01-21 with total page 1732 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two-volume set of 23 articles authoritatively describes recent scholarship in corporate finance and asset pricing. Volume 1 concentrates on corporate finance, encompassing topics such as financial innovation and securitization, dynamic security design, and family firms. Volume 2 focuses on asset pricing with articles on market liquidity, credit derivatives, and asset pricing theory, among others. Both volumes present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek insightful perspectives and important details, they demonstrate how corporate finance studies have interpreted recent events and incorporated their lessons. Covers core and newly-developing fields Explains how the 2008 financial crises affected theoretical and empirical research Exposes readers to a wide range of subjects described and analyzed by the best scholars
Download or read book Rethinking the Equity Risk Premium written by P. Brett Hammond and published by . This book was released on 2016 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 2001, a small group of academics and practitioners met to discuss the equity risk premium (ERP). Ten years later, in 2011, a similar discussion took place, with participants writing up their thoughts for this volume. The result is a rich set of papers that practitioners may find useful in developing their own approach to the subject.
Download or read book NBER Macroeconomics Annual 1992 written by Olivier Blanchard and published by MIT Press. This book was released on 1992 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the seventh in a series of annuals from the National Bureau of Economic Research that are designed to stimulate research on problems in applied economics, to bring frontier theoretical developments to a wider audience, and to accelerate the interaction between analytical and empirical research in macroeconomics. Contents What Shall We Do Today? Goals and Signposts in the Operation of Monetary Policy, Ben S. Bernanke and Frederic S. Mishkin - A Tale of Two Cities: Factor Accumulation and Technical Change in Hong Kong and Singapore, Alwyn Young - International Trade and the Wage Structure, Steven J. Davis - Imperfect Information and Macroeconomic Analysis, Joseph E. Stiglitz and Bruce Greenwald - Asset Pricing Lessons for Macroeconomics, Lars P. Hansen and John H. Cochrane - Postmortem on the Debt Crisis, Daniel Cohen
Download or read book The Fama Portfolio written by Eugene F. Fama and published by University of Chicago Press. This book was released on 2017-09-07 with total page 826 pages. Available in PDF, EPUB and Kindle. Book excerpt: Few scholars have been as influential in finance, both as an academic field and an industry, as Eugene Fama. Since writing his groundbreaking 1970 essay on efficient capital markets, Fama has written over 100 papers and books that have been cited hundreds of thousands of times. Yet there is no one collection where one can easily find his best work in all fields. "The Fama Portfolio" will be an outstanding and unprecedented resource in a field that still concentrates mainly on questions stemming from Fama s work: Is the finance industry too large or too small? Why do people continue to pay active managers so much? What accounts for the monstrous amount of trading? Do high-speed traders help or hurt? The ideas, facts, and empirical methods in Fama s work continue to guide these investigations. "The Fama Portfolio" will be a historic and long-lasting collection of some of the finest work ever produced in finance."
Download or read book The Quarterly Review of Economics and Finance written by and published by . This book was released on 2000 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt:
