Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
The Monetary Policy Risk Premium And Expected Bond Returns
Download The Monetary Policy Risk Premium And Expected Bond Returns full books in PDF, epub, and Kindle. Read online The Monetary Policy Risk Premium And Expected Bond Returns ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis The Monetary Policy Risk Premium and Expected Bond Returns by : Steven Sabol
Download or read book The Monetary Policy Risk Premium and Expected Bond Returns written by Steven Sabol and published by . This book was released on 2015 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: This brief note builds on Sabol (2015) by describing ways to account for forecasting errors made about the expected path of short-term interest rates in a model of expected bond returns. I consider the Cieslak and Povala (2014) model of monetary policy expectations frictions as one such measure of unexpected returns. I conduct a real time out-of-sample forecasting exercise and provide figures to easily show the validity of these models. Adding the predictable changes in Fed Policy, or the monetary policy risk premium, to measures of expected returns leads to improved forecasts. Much of this gain accrues to forecasts of shorter duration bonds.
Book Synopsis The Yield Curve and Financial Risk Premia by : Felix Geiger
Download or read book The Yield Curve and Financial Risk Premia written by Felix Geiger and published by Springer Science & Business Media. This book was released on 2011-08-17 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind the movements of short- and long-term interest rates as well as the risk compensation demanded by financial investors. By taking on a macro-finance perspective, the book’s approach explicitly acknowledges the close feedback between monetary policy, the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic activity, the conduct of monetary policy and the underlying macroeconomic factors of bond price movements. Moreover, the book identifies a broad risk-taking channel of monetary transmission which allows a reassessment of the role of financial constraints; it enables policy makers to develop new guidelines for monetary policy and for financial supervision of how to cope with evolving financial imbalances.
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Book Synopsis The Layman's Summary of the Expected Bond Return Literature by : Steven Sabol
Download or read book The Layman's Summary of the Expected Bond Return Literature written by Steven Sabol and published by . This book was released on 2016 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Expected returns are what we expect to earn over the next year if we choose to invest today. The expected return is not plucked out of thin air, but is modeled by our hero: The Econometrician. In scholastic seminars, he explains how to interpret expected bond returns, and in client emails, the intuition behind why he expects his models to work for the foreseeable future. He takes the time to review how to decompose expected returns into a real, inflation, liquidity and monetary policy risk premium. He is the hero because he is able to effectively communicate his ideas and expand his framework when new predictors emerge in the literature. Two such predictors include the banks' income gap, put forth by Haddad and Srear (2015), and a related measure, mortgage duration as championed by Hanson (2014). He also finds ways to work in older ideas by establishing simple strategies to look at how other variables related to bond yields influence changes in the shape of the curve. The Econometrician embraces clarity and would argue that, despite its growing popularity among academetricians, the affine term structure model provides absolutely no gain in understanding the source of expected returns for common men.
Book Synopsis Financial Markets and the Macroeconomy by : Carl Chiarella
Download or read book Financial Markets and the Macroeconomy written by Carl Chiarella and published by Routledge. This book was released on 2009-06-02 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important new book from a group of Keynesian, but nonetheless technically-oriented economists explores one of the dominant paradigms in financial economics: the ‘intertemporal general equilibrium approach’.
Book Synopsis Bond Risk Premia and Realized Jump Volatility by : Jonathan H. Wright
Download or read book Bond Risk Premia and Realized Jump Volatility written by Jonathan H. Wright and published by . This book was released on 2007 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stock-bond Return Correlation, Bond Risk Premium Fundamentals, and Fiscal-monetary Policy Regime by : Erica X. N. Li
Download or read book Stock-bond Return Correlation, Bond Risk Premium Fundamentals, and Fiscal-monetary Policy Regime written by Erica X. N. Li and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Inflation Expectations by : Peter J. N. Sinclair
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.
Book Synopsis Handbook of Fixed-Income Securities by : Pietro Veronesi
Download or read book Handbook of Fixed-Income Securities written by Pietro Veronesi and published by John Wiley & Sons. This book was released on 2016-04-04 with total page 630 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to the current theories and methodologies intrinsic to fixed-income securities Written by well-known experts from a cross section of academia and finance, Handbook of Fixed-Income Securities features a compilation of the most up-to-date fixed-income securities techniques and methods. The book presents crucial topics of fixed income in an accessible and logical format. Emphasizing empirical research and real-life applications, the book explores a wide range of topics from the risk and return of fixed-income investments, to the impact of monetary policy on interest rates, to the post-crisis new regulatory landscape. Well organized to cover critical topics in fixed income, Handbook of Fixed-Income Securities is divided into eight main sections that feature: • An introduction to fixed-income markets such as Treasury bonds, inflation-protected securities, money markets, mortgage-backed securities, and the basic analytics that characterize them • Monetary policy and fixed-income markets, which highlight the recent empirical evidence on the central banks’ influence on interest rates, including the recent quantitative easing experiments • Interest rate risk measurement and management with a special focus on the most recent techniques and methodologies for asset-liability management under regulatory constraints • The predictability of bond returns with a critical discussion of the empirical evidence on time-varying bond risk premia, both in the United States and abroad, and their sources, such as liquidity and volatility • Advanced topics, with a focus on the most recent research on term structure models and econometrics, the dynamics of bond illiquidity, and the puzzling dynamics of stocks and bonds • Derivatives markets, including a detailed discussion of the new regulatory landscape after the financial crisis and an introduction to no-arbitrage derivatives pricing • Further topics on derivatives pricing that cover modern valuation techniques, such as Monte Carlo simulations, volatility surfaces, and no-arbitrage pricing with regulatory constraints • Corporate and sovereign bonds with a detailed discussion of the tools required to analyze default risk, the relevant empirical evidence, and a special focus on the recent sovereign crises A complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, Handbook of Fixed-Income Securities is also a useful supplementary textbook for graduate and MBA-level courses on fixed-income securities, risk management, volatility, bonds, derivatives, and financial markets. Pietro Veronesi, PhD, is Roman Family Professor of Finance at the University of Chicago Booth School of Business, where he teaches Masters and PhD-level courses in fixed income, risk management, and asset pricing. Published in leading academic journals and honored by numerous awards, his research focuses on stock and bond valuation, return predictability, bubbles and crashes, and the relation between asset prices and government policies.
Book Synopsis Asset Prices and Monetary Policy by : John Y. Campbell
Download or read book Asset Prices and Monetary Policy written by John Y. Campbell and published by University of Chicago Press. This book was released on 2008-11-15 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction of central banks, asset markets, and the general economy to forge a new understanding of the challenges facing policy makers as they manage an increasingly complex economic system. The contributors examine how central bankers determine their policy prescriptions with reference to the fluctuating housing market, the balance of debt and credit, changing beliefs of investors, the level of commodity prices, and other factors. At a time when the public has never been more involved in stocks, retirement funds, and real estate investment, this insightful book will be useful to all those concerned with the current state of the economy.
Book Synopsis Bond Premia and Monetary Policy Over 40 Years by : Oreste Tristani
Download or read book Bond Premia and Monetary Policy Over 40 Years written by Oreste Tristani and published by . This book was released on 2017 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: We identify stylised facts in the relationship between macroeconomic conditions and the evolution of yields and yield premia over 40 years of U.S. data. In order to constrain our estimates, we ask our model to fit not just yields and macro data, but also survey information on inflation and interest rate expectations. Monetary policy appears to be the main determinant of the evolution of risk premia on 10-year nominal bonds, through changes in the perceived inflation target of the Federal Reserve. Any increase in the target, which needs to be filtered by economic agents, is slowly and persistently reflected into an increase of the 10-year premium. An increase in the perceived target also has the indirect effect of making risk premia more sensitive to the cycle. Estimated premia are therefore highest during the early 80s recession, which took place when the disinflationary process was not yet completed.
Book Synopsis A Beta Based Framework for Lower Bond Risk Premia by : Stefano Nobili
Download or read book A Beta Based Framework for Lower Bond Risk Premia written by Stefano Nobili and published by . This book was released on 2008 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times by : Massimo Guidolin
Download or read book Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times written by Massimo Guidolin and published by . This book was released on 2016 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the effects of a conventional monetary expansion, quantitative easing, and operation twist on corporate bond yields and spreads. These policies are simulated as shocks to the Treasury yield curve, and the impulse response functions of corporate yields and spreads to shocks are computed using flexible models with regimes. We construct weekly bond portfolios sorting individual bond trades by rating and maturity using TRACE. The paper examines two types of models -- single-state vector autoregressive (VAR) models and three-state Markov switching VAR models. Our results indicate that a standard single-state VAR model is inadequate to capture the dynamics of the data. We find that none of the policies -- conventional or unconventional -- can persistently lower corporate spreads. This result is likely due to the negative expectations about the business cycle generated by these policies, which affect bond risk premia. Operation twist is the only policy capable of lowering corporate yields. This finding can be explained by the fact that operation twist, which does not imply an expansion of the monetary base, is able to flatten the riskless yield curve without generating expectations of higher future inflation.
Book Synopsis The Cyclical Behavior of the Term Structure of Interest Rates by : Reuben A. Kessel
Download or read book The Cyclical Behavior of the Term Structure of Interest Rates written by Reuben A. Kessel and published by . This book was released on 1965 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Equity Risk Premium by : William N. Goetzmann
Download or read book The Equity Risk Premium written by William N. Goetzmann and published by Oxford University Press. This book was released on 2006-11-16 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.
Book Synopsis Monetary Policy and the Yield Curve by : Antúlio Neves Bomfim
Download or read book Monetary Policy and the Yield Curve written by Antúlio Neves Bomfim and published by . This book was released on 2003 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bond Markets and Monetary Policy by : Andrea Buraschi
Download or read book Bond Markets and Monetary Policy written by Andrea Buraschi and published by . This book was released on 2015 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the early 1990's, and until the 2008 financial crisis, the main policy tool of the FOMC has been a nominal interest rate target. This paper surveys an extensive literature that studies the link between monetary policy and the dynamics of bond yields. This literature uses 'high-frequency' identification around FOMC announcements to measure shocks to market participant's expectations about the current and future stance of monetary policy. Summarising the literature, we argue monetary policy affects yields at all maturities because of two types of shock: (i) shocks to the target rate; and (ii) shocks to the future path of the monetary policy. Interestingly, compelling evidence shows that path shocks are not linked to changes in expected inflation but linked to two alternative channels: an information and a (real) risk premium channel. We present novel empirical evidence in support of a risk premium channel.
