Download or read book The term structure of risk premia new evidence from the financial crisis written by Tobias Berg and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Term Structure of Risk Premia with Heterogeneous Recursive Preferences and Beliefs written by Edward Golosov and published by . This book was released on 2018 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: I investigate the effect of preference and belief heterogeneity on the term structure of risk premia in a continuous-time time economy with Epstein-Zin-Weil preferences. The slope of the term structure of equity risk premia is driven by heterogeneity in the agents' own prices of risk and the sensitivity of the equity market valuation to the changes in economic conditions. As a result, the slope can switch its sign in response to a significant shock to the aggregate consumption. Significant negative shocks shift the consumption and wealth toward the more "pessimistic" agent i.e. the agent with a higher risk aversion or more pessimistic beliefs. As a result, the equity market valuation changes from being pro-cyclical to counter-cyclical, which inverts the term structure. Thus, the model can generate a switch in the sign of the slope of the term structure of the dividend strip risk premia after the 2008-2009 global financial crisis, a result consistent with recent empirical studies and my own calibration based on a proprietary dataset of dividend swap prices.

Download or read book The Term Structure of Equity Risk Premia written by Ravi Bansal and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use traded equity dividend strips from U.S., Europe, and Japan from 2004-2017 to study the slope of the term structure of equity dividend risk premia. In the data, a robust finding is that the term structure of dividend risk premia (growth rates) is positively (negatively) sloped in expansions and negatively (positively) sloped in recessions. We develop a consumption-based regime switching model which matches these robust data-features and the historical probabilities of recession and expansion regimes. The unconditional population term structure of dividend-risk premia in the regime-switching model, as in standard asset pricing models (habits and long-run risks), is increasing with maturity. The regime-switching model also features a declining average term structure of dividend risk-premia if recessions are over-represented in a short sample, as is the case in the data sample from Europe and Japan. In sum, our analysis shows that the empirical evidence in dividend strips is entirely consistent with a positively sloped term structure of dividend risk-premia as implied by standard asset pricing models.

Download or read book Do risk premia explain it all evidence from the term structure written by Martin D.D. Evans and published by . This book was released on 1990 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Do Risk Premia Explain it All written by Martin D. D. Evans and published by . This book was released on 1990 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Do Stationary Risk Premia Explain it All written by Martin D. D. Evans and published by . This book was released on 1992 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Risk Premia in the Term Structure of Interest Rates a Panel Data Approoach written by Dennis Bams and published by . This book was released on 2000 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Macroeconomic Risk Revisited written by Edward Golosov and published by . This book was released on 2017 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: Under what conditions can the term structure of risk premia be downward sloping, as reported in a number of recent empirical studies? I study fixed income and equity risk premium term structures and the long run risk in a continuous time Lucas-style economy subject to a persistent regime change modelled as a two-state Markov chain with a representative agent having Epstein-Zin-Weil preferences. I derive closed form solutions for the term structures of the risk premia of finite maturity bonds, the equity market and equity dividend strips, as well as the term structure of Sharpe ratio, and clarify under what conditions the risk term structures can be downward sloping. When fitted with historic data for U.S. consumption, this model is capable of generating downward sloping risk premium term structure for the parameters traditionally used in long run risk models.

Download or read book The Equity Risk Premium and the Term Structure written by Jacob Boudoukh and published by . This book was released on 1992 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Term Structure of Equity and Variance Risk Premia written by Loriano Mancini and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Do Stationary Risk Premia Explain It All written by Karen K. Lewis and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Risk Premia with Markov Regimes and the Term Structure of Interest Rates written by Zacharias Psaradakis and published by . This book was released on 2002 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Term Structure of Risk Premia with Heterogeneous Preferences and Beliefs written by Edward Golosov and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Do Stationary Risk Premia Explain it All Evidence from the Term Struct written by Martin D.D. Evans and published by . This book was released on 2002 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Risk Premiums in the Term Structure Evidence from Artificial Economies written by David K. Backus and published by Kingston, Ont. : Institute for Economic Research, Queen's University. This book was released on 1986 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Term Structure of Currency Carry Trade Risk Premia written by Hanno N. Lustig and published by . This book was released on 2018 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fixing the investment horizon, the returns to currency carry trades decrease as the maturity of the foreign bonds increases, because the local currency term premia offset the currency risk premia. The time series predictability of foreign bond returns in dollars similarly declines with the bonds' maturities. Leading no-arbitrage models in international finance cannot match the downward term structure of currency carry trade risk premia. To match these findings, we find that long-run U.I.P. has to hold on average in dynamic no-arbitrage asset pricing models.

Download or read book A Calibration of the Term Premia to the Euro Area written by and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk-free long-term interest rates can typically be decomposed into two components: expectations of the future path of the short-term policy rate and the term premium. Changes in term premium are considered to have been an important driver behind developments in long-term bond yields in recent years. As policy rates of major central banks approached their effective lower bound in the aftermath of the global financial crisis, their ability to provide the necessary degree of monetary stimulus using conventional policy measures became very limited. In this particular context, central banks had to move beyond conventional policy instruments and instead deploy a set of unconventional tools (such as large-scale asset purchase programs and forward guidance) that were tailored to target the longer-end of the yield curve. There is a growing body of empirical evidence suggesting that these unconventional measures turned out to be effective in compressing the term premium component of interest rates. This paper, after providing a definition of the term premium and a succinct overview of different ways to measure it, presents the empirical results obtained from calibrating a Gaussian affine term structure (GATSM) based term premia model to the euro area. In addition to discussing the GATSM model's assumptions and specifications, it also describes the calibration algorithm employed, which is based on genetic algorithms. Thereafter, it provides some insight into the time profile of the euro area term premium in the post global financial crisis (GFC) era and in particular how it has evolved after key ECB policy decisions since 2008.