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Author : Saleem Bahaj
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)
Download or read book The Market for Inflation Risk written by Saleem Bahaj and published by . This book was released on 2023 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 : Olesya V. Grishchenko
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (839 download)
Download or read book Inflation Risk Premium written by Olesya V. Grishchenko and published by . This book was released on 2012 with total page 0 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 : Martijn Boons
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Stock Market Price of Inflation Risk and Its Variation Over Time written by Martijn Boons and published by . This book was released on 2014 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: The inflation risk premium (IRP) in the U.S. stock market varies over time. We use individual stocks to estimate the IRP, because this provides us with a heterogeneous cross-section of exposures. We find that the IRP is a significant -5.5% since the 1960s, but reverses to an insignificant positive value in the recent decade. Consistent with this reversal, we find that the IRP is more negative in recessions historically, but more positive in the two latest recessions. We show that both the introduction of Treasury Inflation Protected Securities (TIPS) in 1997, an attractive alternative inflation hedge, and a reversal in the covariance between inflation and the real economy at the end of the 1990s contribute to this reversal. These findings are consistent with inflation as a state variable in the intertemporal capital asset pricing model (ICAPM).
Author : Olesya V. Grishchenko
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Inflation Risk Premium written by Olesya V. Grishchenko and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Quot;Inflation-indexed securities would appear to be the most direct source of information about inflation expectations and real interest rates.quot; (Bernanke, 2004). In this paper we study the term structure of real interest rates, expected inflation, and inflation risk premia using data on prices of Treasury Inflation Protected Securities (TIPS) over the period 2000-2007. The estimates of the 10-year inflation risk premium are between 11 and 22 basis points for 2000-2007 depending on the proxy used for the expected inflation. Furthermore, we find that the inflation risk premium is time varying and, specifically, negative in the first half (which might be due to either concerns of deflation or low liquidity of the TIPS market), but positive in the second half of the sample.
Author : Lorenzo Cappiello
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (255 download)
Download or read book Measuring Market and Inflation Risk Premia in France and in Germany written by Lorenzo Cappiello and published by . This book was released on 2005 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chi-cheng Hsia
Publisher :
ISBN 13 :
Total Pages : 364 pages
Book Rating : 4.:/5 ( download)
Download or read book Inflation Risk and Capital Asset Pricing written by Chi-cheng Hsia and published by . This book was released on 1974 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Hördahl
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.3/5 ( download)
Download or read book Inflation Risk Premia in the US and the Euro Area written by Peter Hördahl and published by . This book was released on 2010 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eli M. Remolona
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (464 download)
Download or read book What was the Market's View Og UK Monetary Policy? written by Eli M. Remolona and published by . This book was released on 1998 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Cesare Robotti
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.E/5 ( download)
Download or read book The Price of Inflation and Foreign Exchange Risk in International Equity Markets written by Cesare Robotti and published by . This book was released on 2001 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zvi Bodie
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (18 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 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sirio Aramonte
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Inflation Risk and the Labor Market written by Sirio Aramonte and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William Oliver Coleman
Publisher : Edward Elgar Publishing
ISBN 13 : 184720418X
Total Pages : 269 pages
Book Rating : 4.8/5 (472 download)
Download or read book The Causes, Costs and Compensations of Inflation written by William Oliver Coleman and published by Edward Elgar Publishing. This book was released on 2009-01-01 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is difficult to give justice to this intriguing book within the confines of a short review. Ernst Juerg Weber, History of Economics Review Coleman s book provides an impressively clear, lively, and intuitive discussion of three of the most important issues in all of monetary economics. I recommend it highly to all readers with an interest in these issues. Peter N. Ireland, Journal of Economic Literature William Coleman s book offers a highly original and insightful discussion of the state of modern monetary theory. Professor Coleman covers difficult issues with a lightness of touch that makes for a very readable discussion. It will benefit students as well as professional economists and policymakers. Kevin Dowd, University of Nottingham, UK This book explores the causes, costs and benefits of inflation. It argues that while the cause of inflation is essentially monetary, the costs and benefits of inflation lie in inflation s distortion of the economy's responses to real shocks. The book begins by securing the Quantity Theory of Money from certain critiques. The theory is defended from the fiscal theory of the price level by a refinement of the theory of money demand, and from post Keynesianism by the construction of a theory of the supply of inside money. To cope with the endogeneity of outside money, a simple and tractable neo-Wicksellian theory of inflation is advanced, which is shown to exhibit a striking homology with the Quantity Theory. The author then traces the costliness of inflation, not to any disturbance of the money market, but to the damage inflation does to the bond market s function of sharing out disturbances to consumption caused by technological shocks. The same damage, however, imparts an egalitarian dynamic to the accumulation of wealth, which will not occur without risky inflation. The Causes, Costs and Compensations of Inflation will be of great interest to policy makers, central bankers, researchers, and both post-graduate and undergraduate students in macroeconomics, money and banking.
Author : Rafael J. Bautista-Mena
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book The Fisher Effect as a Measure of Attitudes Toward Inflation Risk written by Rafael J. Bautista-Mena and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper takes a look at the perception of inflation risk as market agents see through a survey of inflation expectations. We ask whether expected inflation, as reported by market agents, has a significant effect on real long-term interest rates. We find that market agents' perceptions about future inflation have a nonlinear effect. We argue that the simplest possible explanation for this finding is related to the aversion to losses effect. Moreover, it seems that through the central bank survey for inflation expectations, the various agents engage in a multi-player game to influence each other's portfolio choices. In this specific sense, market agents attempt a form of price risk control. In practice, our results show that such expectations, when publicly known, do influence the prices for debt securities, if not the course of inflation itself. Finally we discuss whether some of the conclusions from this paper are extensible to debt markets in other emerging economies.
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 : G. A. Moerman
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (129 download)
Download or read book The World Price of Inflation Risk written by G. A. Moerman and published by . This book was released on 2005 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that inflation risk is priced in international asset returns. We analyze the price of inflation risk in a framework that includes the International Capital Asset Pricing Model (ICAPM) as a special case. In contrast to the literature, we relax the assumption that inflation rates are constant. We estimate and test a conditional version of the model for the G5 countries (France, Germany, Japan, the U.K., and the U.S.) over the period 1975-2003. We find evidence of statistically significant prices of inflation risk (in addition to priced nominal exchange rate risk). We demonstrate that inflation risk premia are an economically important component of international asset returns. Our results can be interpreted as a rejection of the ICAPM. Moreover, we show that even after the termination of nominal exchange rate fluctuations in the euro area after 1999, differences in inflation rates across countries entail non-trivial real exchange rate risk premia.
