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Term Structure Of Interest Rates And Expected Consumption Volatility
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Book Synopsis Term Structure of Interest Rates and Expected Consumption Volatility by : Hubert de La Bruslerie
Download or read book Term Structure of Interest Rates and Expected Consumption Volatility written by Hubert de La Bruslerie and published by . This book was released on 2015 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We test two forms of consumption-based asset pricing model on American bond market data. The first is the standard C-CAPM, the other one is derived from Abel (1999) who refers to an external habit. The term premium embedded in the term structure of interest rate is linked with the conditional variance of consumption growth and is variable through time. Our empirical test confirms that hypothesis. When modeling consumption using an AR-GARCH process, the ex ante out-of-sample value of the conditional variance is shown superior to other conditional measures. Considering both univariate and multivariate frameworks, variable term premiums are positively linked to variable consumption growth expectations. It supports the expectations hypothesis of term structure and the standard consumption-based asset pricing model. However, a significant constant appears in the empirical test which is not present in the standard consumption models, but can be related to the subjective discount factor of the representative agent. It leads to question the commonly assumed hypothesis of a constant subjective time preference and suggests a decreasing term structure of the agent psychological price of time.
Book Synopsis Modeling the Term Structure of Interest Rates by : Rajna Gibson
Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson and published by Now Publishers Inc. This book was released on 2010 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Book Synopsis A Consumption-Based Model of the Term Structure of Interest Rates by : Jessica A. Wachter
Download or read book A Consumption-Based Model of the Term Structure of Interest Rates written by Jessica A. Wachter and published by . This book was released on 2011 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a consumption-based model that can account for many features of the nominal term structure of interest rates. The driving force behind the model is a time-varying price of risk generated by external habit. Nominal bonds depend on past consumption growth through habit and on expected inflation. When calibrated data on consumption, inflation, and the average level of bond yields, the model produces realistic volatility of bond yields and can explain key aspects of the expectations puzzle documented by Campbell and Shiller (1991) and Fama and Bliss (1987). When Actual consumption and inflation data are fed into the model, the model is shown to account for many of the short and long-run fluctuations in the short-term interest rate and the yield spread. At the same time, the model captures the high equity premium and excess stock market volatility.
Book Synopsis Long Run Risks in the Term Structure of Interest Rates by : Taeyoung Doh
Download or read book Long Run Risks in the Term Structure of Interest Rates written by Taeyoung Doh and published by . This book was released on 2013 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using Bayesian methods, this paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their timevarying volatility determine asset price variation. The analysis of the U.S. nominal term structure data from 1953 to 2006 shows that i) agents dislike high uncertainty and demand compensation for volatility risks, ii) the time variation of the term premium is driven by the compensation for fluctuating inflation volatility, and iii) estimates of risk factors are broadly consistent with survey data evidence.
Book Synopsis Monetary Policy Rules and the Term Structure of Interest Rates by : Shu Wu
Download or read book Monetary Policy Rules and the Term Structure of Interest Rates written by Shu Wu and published by . This book was released on 2000 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Term Structure of Interest Rates and Expected Economic Growth by : María Isabel Martínez Serna
Download or read book The Term Structure of Interest Rates and Expected Economic Growth written by María Isabel Martínez Serna and published by . This book was released on 2005 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many papers have documented the positive relationship between the slope of the yield curve and future real economic activity in different countries and different time periods. One explanation for this economic link is based on monetary policy. However, empirical evidence (Estrella and Hardouvelis, 1991; Plosser and Rouwenhorst, 1994; Estrella and Mishkin, 1997; Moersch, 1996a,b; Kozicki, 1997; Dotsey, 1998; Ivanova et al., 2000) has shown that monetary policy does not appear to be the only source of the predictive power of the term spread. Therefore, the spread reflects other economic conditions beyond actions taken by monetary authorities. According to Harvey (1988), the forecasting ability of the term spread on economic growth is due to the fact that interest rates reflect the expectations of investors about the future economic situation when deciding about their plans for consumption and investment. Harvey (1988) uses the Consumption-Based Asset Pricing Model (CCAPM) to derive a forecasting equation that relates the slope of the term structure of interest rates to expected consumption growth. Harvey's model has been tested in several countries using ex post consumption or output growth as proxies of expected consumption growth. This paper complements and extends the evidence of Harvey's model by testing it for the case of Spain and by using a measure of expected consumption growth rather than proxies for the investors' expectations. The variables used are the Consumer Confidence Indicator and the Economic Sentiment Indicator (elaborated by the European Commission) that directly stand for the expectations of economic agents about the future economic situation in the next twelve months.
Book Synopsis The Term Structure of Interest Rates by : R. S. Masera
Download or read book The Term Structure of Interest Rates written by R. S. Masera and published by . This book was released on 1972 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Volatility of Short-term Interest Rates by : Clark Leavitt
Download or read book The Volatility of Short-term Interest Rates written by Clark Leavitt and published by . This book was released on 1987 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Monetary Policy and the Housing Bubble by : Jane Dokko
Download or read book Monetary Policy and the Housing Bubble written by Jane Dokko and published by . This book was released on 2009 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The term structure of interests rates by : Diana Ruthenberg
Download or read book The term structure of interests rates written by Diana Ruthenberg and published by GRIN Verlag. This book was released on 2006-04-14 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay from the year 2004 in the subject Business economics - Investment and Finance, grade: 1.8, University of Plymouth (Business School), language: English, abstract: Firstly, this report will depict briefly what a bond is in general and how to evaluate its advantages and inconveniences for potential investors. Then it aims at to explain when and why the yield on long-term bonds often exceeds the yield on short-term bonds. The explanation will mainly be based on the three primary theories: the expectations hypothesis, the liquidity premium / preferred habitat theories and the market segmentation theory.
Book Synopsis Term Structure of Interest Rates by : Burton Gordon Malkiel
Download or read book Term Structure of Interest Rates written by Burton Gordon Malkiel and published by Princeton University Press. This book was released on 2015-12-08 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.
Book Synopsis Models of the Term Structure of Interest Rates by : John Y. Campbell
Download or read book Models of the Term Structure of Interest Rates written by John Y. Campbell and published by . This book was released on 1994 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Global Factors in the Term Structure of Interest Rates by : Mirko Abbritti
Download or read book Global Factors in the Term Structure of Interest Rates written by Mirko Abbritti and published by International Monetary Fund. This book was released on 2013-11-05 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.
Book Synopsis The Volatility of Long-term Interest Rates and Expectations Models of the Term Structure by : Robert J. Shiller
Download or read book The Volatility of Long-term Interest Rates and Expectations Models of the Term Structure written by Robert J. Shiller and published by . This book was released on 1978 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Consumption-based Model of the Term Structure of Interest Rates by : Jessica Wachter
Download or read book A Consumption-based Model of the Term Structure of Interest Rates written by Jessica Wachter and published by . This book was released on 2004 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Aggregate Wealth and Consumption, and the Term Structure of Interest Rates by : David P. Brown
Download or read book Aggregate Wealth and Consumption, and the Term Structure of Interest Rates written by David P. Brown and published by . This book was released on 2008 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: The equilibrium value of the market portfolio of all assets, i.e. aggregate wealth is calculated within a continuous-time Rubinstein/Lucas model. Aggregate wealth is a function of aggregate consumption and the state of the economy. The exante expected rate of return of the market portfolio varies with economic conditions, and these conditions are revealed by the equilibrium term structure of nominal bond yields and partially revealed by the aggregate consumption-to-wealth ratio cay. Using simulations of quarterly observations, linear regressions of expost excess market returns on predictive variables are studied. The ratio cay in isolation has modest predictive power for excess returns. Similarly, the level and slope of the term structure have modest power as predictors. However, the relation between expected excess return and the underlying state variables is nonlinear and cay picks up this structure. For this reason a multiple regression that includes both cay and the term structure variables captures the nonlinearity and it has considerable predictive power.
Book Synopsis Endogenous Term Premia and Anomalies in the Term Structure of Interest Rates by : William Roberds
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:
