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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 : 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 : David Backus
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (278 download)
Download or read book Long-memory Inflation Uncertainty written by David Backus and published by . This book was released on 1993 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use a fractional difference model to reconcile two features of yields on US government bonds with modem asset pricing theory: the persistence of the short rate and variability of the long end of the yield curve. We suggest that this process might arise from the response of the heterogeneous agents to the changes in monetary policy.
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 : Richard Hartman
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (254 download)
Download or read book Inflation Uncertainty and Interest Rates written by Richard Hartman and published by . This book was released on 1982 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops two models, one involving risk neutrality and the other risk aversion, which suggest that inflation uncertainty affects interest rates. Both models give rise to essentially the same interest rate equation for estimation. Empirical evidence supports the hypothesis that inflation uncertainty affects interest rates. Interpreted in terms of the risk neutral model, the empirical results suggest that inflation uncertainty has a negative impact on nominal interest rates and a positive impact on the expected real rate. If the results are interpreted in terms of the risk averse model, inflation uncertainty has a negative impact on nominal interest rates. The expected real rate is not of direct interest in a risk averse world. The results raise real questions about the use of the Fisherian definition of the real interest rate in situations when there is uncertainty about inflation rates. It is argued that even with risk neutrality the Fisherian definition of the real rate is not the appropriate concept upon which to base economic decisions if inflation uncertainty is present. The appropriate concept is an expected real rate which involves an adjustment for uncertainty. Moreover, if the world is risk averse, the expected real rate is not a relevant concept for economic decisions
Author : Stefania D'Amico
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.3/5 ( download)
Download or read book Tips from TIPS written by Stefania D'Amico and published by . This book was released on 2008 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the informational content of TIPS yields from the viewpoint of a general 3-factor no-arbitrage term structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium" that was until recently quite large (1%). Key features of this premium are difficult to account for in a rational pricing framework, suggesting that TIPS may not have been priced efficiently in its early years. Besides the liquidity premium, a time-varying inflation risk premium complicates the interpretation of the TIPS breakeven inflation rate (the difference between the nominal and TIPS yields). Nonetheless, high-frequency variation in the TIPS breakeven rates is similar to the variation in inflation expectations implied by the model, lending support to the view that TIPS breakeven inflation rates are a useful proxy for inflation expectations.
Author : Peter Albert Abken
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (313 download)
Download or read book Inflation Uncertainty and the Nominal Term Structure written by Peter Albert Abken and published by . This book was released on 1994 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Emanuel Kopp
Publisher : International Monetary Fund
ISBN 13 : 1484362152
Total Pages : 22 pages
Book Rating : 4.4/5 (843 download)
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.
Author : Tomas Breach
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (967 download)
Download or read book The Term Structure and Inflation Uncertainty written by Tomas Breach and published by . This book was released on 2016 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops and estimates a Quadratic-Gaussian model of the US term structure that can accommodate the rich dynamics of inflation risk premia over the 1983-2013 period by allowing for time-varying market prices of inflation risk and incorporating survey information on inflation uncertainty in the estimation. The model captures changes in premia over very diverse periods, from the inflation scare episodes of the 1980s, when perceived inflation uncertainty was high, to the more recent episodes of negative premia, when perceived inflation uncertainty has been considerably smaller. A decomposition of the nominal ten-year yield suggests a decline in the estimated inflation risk premium of 1.7 percentage points from the early 1980s to mid-1990s. Subsequently, its predicted value has fluctuated around zero and turned negative at times, reaching its lowest values (about -0.6 percentage points) before the latest financial crisis, in 2005-2007, and during the subsequent weak recovery, in 2010-2012. The model's ability to generate sensible estimates of the IRP has important implications for the other components of the nominal yield: expected real rates, expected inflation, and real risk premia.
Author : Carliss Y. Baldwin
Publisher : Forgotten Books
ISBN 13 : 9780666315342
Total Pages : 26 pages
Book Rating : 4.3/5 (153 download)
Download or read book Inflation, Uncertainty, and Investment (Classic Reprint) written by Carliss Y. Baldwin and published by Forgotten Books. This book was released on 2018-02-25 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Inflation, Uncertainty, and Investment This paper considers the effects of inflation, interest rates and uncertainty on a firm's choice between assets of different lives. We first focus on the impact of inflation and interest rates on the value of nominal depreciation tax shields. We find that the effect of an inflation-induced increase in nominal interest rates on the breakeven prices of short and long-lived assets is not monotonic. At low initial nominal interest rates, an increase in the interest rate increases the maximum price that the firm is willing to pay for the short-lived asset relative to the long-lived asset. At some point, the effect reverses so that a further increase in interest rates reduces the maximum or breakeven price of the short-lived asset. Simulation results indicate that these changes occur at rates that are within the range of recent u.s. Experience, 52 to 202. Second, we focus on the impact of relative price uncertainty on the decision to choose a short or long-lived asset. We find that uncertainty increases the breakeven price of shorter-lived assets: in other words, given uncertainty about future relative prices, short-lived assets will be chosen over long - lived assets at higher prices than under certainty. The change in the breakdown price occurs because both long and short-lived assets have a valuable switching option. The Option is more valuable for short-lived assets because the opportunity to switch occurs sooner. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
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 : Peter A. Abken
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (81 download)
Download or read book Inflation Uncertainty and the National Term Structure written by Peter A. Abken and published by . This book was released on 1994 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Maxim Ulrich
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)
Download or read book Inflation Ambiguity and the Term Structure of U.S. Government Bonds written by Maxim Ulrich and published by . This book was released on 2012 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Variations in trend inflation are the main driver for variations in the nominal yield curve. According to empirical data, investors observe a set of empirical models that could all have generated the time-series for trend inflation. This set has been large and volatile during the 1970s and early 1980s and small during the 1990s. I show that log utility together with model uncertainty about trend inflation can explain the term premium in U.S. Government bonds. The equilibrium has two inflation premiums, an inflation risk premium and an inflation ambiguity premium.
Author : Helmut Herwartz
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (13 download)
Download or read book Less Bang for the Buck? Assessing the Role of Inflation Uncertainty for U.S. Monetary Policy Transmission in a Data Rich Environment written by Helmut Herwartz and published by . This book was released on 2018 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the relationship between inflation uncertainty and monetary policy transmission in the U.S. economy. Monetary policy shocks are identified within the framework of nonlinear structural factor-augmented VARs which allow us to analyze several complementary hypotheses connecting IU with reduced monetary policy effectiveness. We find that the real effects of monetary policy shocks are markedly dampened conditional on high IU. This can be traced back to, inter alia, real-option and precautionary savings effects which distort the traditional interest rate channel. Moreover, policy transmission through the external finance premium and the term structure of interest rates appears strongly dependent on inflation uncertainty and contributes to the reduced policy effectiveness.
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 : Peter A. Tinsley
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.3/5 (121 download)
Download or read book Short Rate Expectations, Term Premiums, and Central Bank Use of Derivatives to Reduce Policy Uncertainty written by Peter A. Tinsley and published by . This book was released on 1999 with total page 44 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.
