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Author : Cynthia A. Kroll
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (9 download)
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:
Author : Yoon Dokko
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (215 download)
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:
Author : Paul Söderlind
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (129 download)
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.
Author : Yoon Dokko
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (176 download)
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:
Author : Stefania D'Amico
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (13 download)
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.
Author : Roman Hüppi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)
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.
Author : J. Benson Durham
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.E/5 ( download)
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:
Author : Jonathan H. Wright
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.E/5 ( download)
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:
Author : Lukas Freund
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (136 download)
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:
Author : Peter J. N. Sinclair
Publisher : Routledge
ISBN 13 : 1135179778
Total Pages : 402 pages
Book Rating : 4.1/5 (351 download)
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.
Author : Michael Bauer
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (13 download)
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.
Author : Zvi Bodie
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (578 download)
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:
Author : John Y. Campbell
Publisher : OUP Oxford
ISBN 13 : 019160691X
Total Pages : 272 pages
Book Rating : 4.1/5 (916 download)
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Author : Zvi Bodie
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (119 download)
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.
Author : Eduard Jan Bomhoff
Publisher : North Holland
ISBN 13 :
Total Pages : 358 pages
Book Rating : 4.:/5 (44 download)
Download or read book Monetary Uncertainty written by Eduard Jan Bomhoff and published by North Holland. This book was released on 1983 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Federico Ravenna
Publisher :
ISBN 13 : 9789524623841
Total Pages : pages
Book Rating : 4.6/5 (238 download)
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:
Author : Fuwei Jiang
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (13 download)
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.
