Download or read book Inflation Uncertainty and Risk Premia written by Yoon Dokko and published by . This book was released on 1987 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Inflation Uncertainty and Risk Premia written by Cynthia A. Kroll and published by . This book was released on 1987 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty written by Paul Söderlind and published by . This book was released on 2013 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: The difference between nominal and real interest rates (break-even inflation) is often used to gauge the market's inflation expectations - and has become an important tool in monetary policy analysis. However, break-even inflation can move in response to shifts in inflation risk premia and liquidity premia as well as to changes in expected inflation. This paper sheds light on this issue by analysing the evolution of US break-even inflation from 1997 to mid-2008. Regression results show that survey data on inflation uncertainty and proxies for liquidity premia are important factors.

Download or read book Stock Prices Risk Premia Inflation and Uncertainty written by Yoon Dokko and published by . This book was released on 1987 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Inflation Uncertainty and Disagreement in Bond Risk Premia written by Stefania D'Amico and published by . This book was released on 2014 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the subjective probability distributions available in the Survey of Professional Forecasters we construct a quarterly time series of average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation varies across inflation regimes. It is most important in the high-inflation regime early in the sample and the low-inflation regime over the last 15 years. Once the role of inflation uncertainty is accounted for, disagreement regarding inflation forecasts appears a much less important driver of bond premia.

Download or read book Inflation Uncertainty and Inflation Risk Premia in a Small Open Economy written by Roman Hüppi and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis explains the variations in the Swedish "break-even deviation", i.e. the difference between break-even inflation and inflation expectation measured with survey data. Assuming a small open economy, not only domestic inflation uncertainty and liquidity proxies are used, but also survey-based inflation uncertainty measures from the US and the ECB. It is found that US survey-based inflation uncertainty measures are statistically and economically significant even if the model already contains domestic proxies inflation risk and liquidity premia. The ECB survey-based measures are mostly significant, but become insignificant when the spread between AAA-rated corporate bond yields and nominal government bond yields is added to the model. Nevertheless, this thesis indicates the existence of spillovers from foreign inflation uncertainty to Sweden.

Download or read book An Estimate of the Inflation Risk Premium Using a Three factor Affine Term Structure Model written by J. Benson Durham and published by . This book was released on 2006 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Term Premiums and Inflation Uncertainty written by Jonathan H. Wright and published by . This book was released on 2008 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Risk premium Channel of Uncertainty written by Lukas Freund and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Comment on Term Premia and Inflation Uncertainty written by Michael Bauer and published by . This book was released on 2013 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: Term premia implied by maximum likelihood estimates of affine term structure models are misleading because of small-sample bias. We show that accounting for this bias alters the conclusions about the trend, cycle, and macro-economic determinants of the term premia estimated in Wright (2011). His term premium estimates are essentially a-cyclical, and often just parallel the secular trend in long-term interest rates. In contrast, bias-corrected term premia show pronounced counter-cyclical behavior, consistent with theoretical and empirical arguments about movements in risk premia.

Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.

Download or read book Inflation Risk and Capital Market Equilbrium written by Zvi Bodie and published by . This book was released on 1979 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Inflation Risk and Capital Market Equilibrium written by Zvi Bodie and published by . This book was released on 1979 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the effect of inflation uncertainty on the portfolio behavior of households and the equilibrium structure of capitol market rates. The principal findings regarding portfolio behavior are: (1.) In the presence of inflation uncertainty, households will have an inflation-hedging demand for assets other than riskless nominal bonds, which will be directly proportional to the covariance between the rate of inflation and the nominal rates of return on these other assets. (2.) An asset is a perfect inflation hedge if and only if its nominal return is perfectly correlated with the rate of inflation. The principal findings regarding capital market rates are: (1.) The equilibrium real yield spread between any risky security and riskless nominal bonds is directly proportional to the difference between the covariance of the security's nominal rate of return with the market portfolio and its covariance with the rate of inflation. (2.) As long as the net supply of monetary assets in the economy is greater than zero, an increase in inflation uncertainty will lower the risk premia on all real assets. (3.) A preliminary empirical test of the theory using rates of return on common stocks, long-term bonds, real estate and commodity futures contracts yields mixed results. The risk premia on long-term bonds and futures have the "wrong" signs.

Download or read book Monetary Policy Expected Inflation and Inflation Risk Premia written by Federico Ravenna and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Inflation risks and inflation risk premia written by Juan Angel García 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 Monetary Policy Uncertainty and Bond Risk Premium written by Fuwei Jiang and published by . This book was released on 2017 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the news based MPU measure in Baker, Bloom, and Davis (2016) to capture monetary policy uncertainty, we find that MPU forecasts significantly and positively future monthly Treasury bond excess returns. This forecastability remains significant controlling for standard bond risk premium predictors based on yield curve and macroeconomic fundamentals. The predictive power of MPU is not driven by uncertainty of economic growth, inflation and general economic condition, and is confirmed in out-of-sample tests.

Download or read book Macroeconomic Uncertainty Difference in Beliefs and Bond Risk Premia written by Andrea Buraschi and published by . This book was released on 2015 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study empirically the implications of macroeconomic disagreement for the time variation in bond market risk premia. If there is a source of heterogeneity in the belief structure of the economy then differences in beliefs can affect equilibrium asset prices, and the dynamics of disagreement may generate a source of predictable variation in excess bond returns. Using survey data on macroeconomic forecasts of fundamentals spanning interest rates, real aggregates and inflation variables at different horizons we propose a new empirically observable proxy to aggregate macroeconomic disagreement and find a number of novel results. Firstly, consistent with a general equilibrium model, heterogeneity affects the price of risk so that a single factor proxy for disagreement forecasts bond returns with R2 between 15%- 20%. Secondly, by allowing for a time-varying price of risk proportional to disagreement, we substantially improve the forecasting power of a standard affine model for expected returns. This result is carried over to Fama-Bliss regressions where we find that the information contained in the slope of the forward curve regarding expected returns versus expected changes in short rates is state-dependant. Thirdly, while the predictive content of the return forecasting factor (Cochrane and Piazzesi (2005)) is cut dramatically in the 2008 financial crisis, disagreement is largely unaffected. We interpret this result in terms of Fed interventions which may have distorted the shape of the forward curve, removing price based information on expected returns. Finally, we show that the information contained in agents' belief structure of the economy is different from that contained in macroeconomic aggregates, suggesting that a key determinant for bond returns is the joint subjective uncertainty surrounding the real economy, inflation, and monetary policy.