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The Term Structure Of Expectations And Bond Yields
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Book Synopsis The Term Structure of Expectations and Bond Yields by : Richard K. Crump
Download or read book The Term Structure of Expectations and Bond Yields written by Richard K. Crump and published by . This book was released on 2018 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bond yields can be decomposed into expected short rates and term premiums. We directly measure the former using all available U.S. professional forecasts and obtain the latter as the difference between bond yields and survey-based expected short rates. While the behavior of nominal and real short rate expectations is consistent with standard macroeconomic theory, term premiums account for the bulk of the cross-sectional and time series variation in yields. They also largely explain the yield curve's reaction to a host of structural economic shocks. This dramatic failure of the expectations hypothesis highlights the importance of term premiums for macro-financial transmission.
Book Synopsis New Evidence on the Expectations Hypothesis of the Term Structure of Bond Yields by :
Download or read book New Evidence on the Expectations Hypothesis of the Term Structure of Bond Yields written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper tests the expectations hypothesis (EH) with the data used in Campbell and Shiller's (1991) seminal work on the EH using a Lagrange multiplier test developed recently by Bekaert and Hodrick (2001). This test is applied under the assumption that interest rates are integrated of order one, I(1), as in Campbell and Shiller (1987), and under the assumption that interest rates are stationary. We also extend the literature beyond the bivariate comparisons of long-term and short-term rates which dominates the EH testing literature. In addition, we examine the linkage between the term structure and macrcoeconomic variables. Consistent with the findings of Campbell and Shiller (1991), the EH is rejected at the short end of the maturity spectrum but not at the longer end. The EH is rejected at the longer end of the term structure when more than two rates or the relationship between the term structure and the macroeconomy are considered. Moreover, we find that evaluating the EH using the ratio of the variance of the forecasted long-term rate (or rate spread) under the EH to the observed variance generates misleading information about the merit of the EH"--Federal Reserve Bank of St. Louis web site.
Book Synopsis The Term Structure of Interest Rates by : David Meiselman
Download or read book The Term Structure of Interest Rates written by David Meiselman and published by . This book was released on 1962 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields by : Lucio Sarno
Download or read book The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields written by Lucio Sarno and published by . This book was released on 2005 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 The Expectations Hypothesis of the Term Structure of Bond Yields by : Robert Dittmar
Download or read book The Expectations Hypothesis of the Term Structure of Bond Yields written by Robert Dittmar and published by . This book was released on 2008 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests the expectations hypothesis (EH) with the data used in Campbell and Shiller's (1991) seminal work on the EH using a Lagrange multiplier test developed recently by Bekaert and Hodrick (2001). This test is applied under the assumption that interest rates are integrated of order one, I(1), as in Campbell and Shiller (1987), and under the assumption that interest rates are stationary. We also extend the literature beyond the bivariate comparisons of long-term and short-term rates which dominates the EH testing literature. Consistent with the findings of Campbell and Shiller (1991), the EH is rejected at the short end of the maturity spectrum but not at the longer end. However, the EH is rejected at the longer end of the term structure when more than two rates are considered. We also find that the frequently used practice of calculating the ratio of the variance of the forecasted long-term rate (or rate spread) under the EH to the observed variance is not useful for assessing the validity of the EH.
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 Long Term Bond Yields, Monetary Policy and the Expectations Hypothesis of the Term Structure of Interest Rates by : Peter Kugler
Download or read book Long Term Bond Yields, Monetary Policy and the Expectations Hypothesis of the Term Structure of Interest Rates written by Peter Kugler and published by . This book was released on 1996 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Long term bond yields, monetary policy and the expectations hypothesis of term structure of interest rates by : Peter Kugler
Download or read book Long term bond yields, monetary policy and the expectations hypothesis of term structure of interest rates written by Peter Kugler and published by . This book was released on 1996 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Empirical Failure of the Expectations Hyothesis of the Term Structure of Bond Yields by : Lucio Sarno
Download or read book The Empirical Failure of the Expectations Hyothesis of the Term Structure of Bond Yields written by Lucio Sarno and published by . This book was released on 2005 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Expectation-driven Term Structure of Equity and Bond Yields by : Ming Zeng
Download or read book Expectation-driven Term Structure of Equity and Bond Yields written by Ming Zeng and published by . This book was released on 2022 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield spreads). The movements of equity and bond yields are driven mainly by subjective expectations of dividend and gross domestic product (GDP) growth. Yields on short-term dividend claims are more volatile because the expected short-term dividend growth meanreverts to its less volatile long-run counterpart. The procyclical slope of equity yields is due to the countercyclical slope of dividend growth expectations. The correlation between equity returns/yields and nominal bond returns/yields switched from positive to negative after the late 1990s, owing mainly to a stronger correlation between expectations of real GDP growth and real dividend growth and only partially to procyclical inflation. Dividend strip returns are predictable, and the predictive power decreases with maturity as a result of predictable forecast errors and revisions. The model is also consistent with the data in generating persistent and volatile price-dividend ratios and excess return volatility.
Book Synopsis Bond Pricing and Yield Curve Modeling by : Riccardo Rebonato
Download or read book Bond Pricing and Yield Curve Modeling written by Riccardo Rebonato and published by . This book was released on 2018-06-07 with total page 781 pages. Available in PDF, EPUB and Kindle. Book excerpt: Rebonato provides an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds, and provides readers with the precise tools to develop their own models. This book combines precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.
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 On the Estimation of Term Structure Models and An Application to the United States by : International Monetary Fund
Download or read book On the Estimation of Term Structure Models and An Application to the United States written by International Monetary Fund and published by International Monetary Fund. This book was released on 2010-11-01 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.
Author :Frank Browne Publisher :[Paris, France] : OECD, Department of Economics and Statistics ISBN 13 : Total Pages :40 pages Book Rating :4.F/5 ( download)
Book Synopsis The Information Content of the Term Structure of Interest Rates by : Frank Browne
Download or read book The Information Content of the Term Structure of Interest Rates written by Frank Browne and published by [Paris, France] : OECD, Department of Economics and Statistics. This book was released on 1989 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Term Structure of Interest Rates by : John Driffill
Download or read book The Term Structure of Interest Rates written by John Driffill and published by . This book was released on 1990 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines data on interest rates in the United Kingdom information on changes in policy regime and their credibility in order to discover the period from 1959-87 using quarterly data. A stochastic regime switching model used by Hamilton, based on an AR(4) model for short rates, and the corresponding model for long rates, does not adequately represent the UK data. Yields on long-term UK government debt behave consistently with the expectations model of the term structure, on a number of basic tests. Their relationship with yields on treasury bills, however, is not consistent with the theory unless an autoregressive risk premium is introduced into the holding period yield on long bonds. The only evidence of a change in the time-series behaviour of long bond yields in these data occurs at the end of 1974. There is no evidence of a policy change in 1979 or 1980. The hypothesis that these interest rates contain unit roots cannot be rejected. Therefore, tests of the expectations model devised by Campbell and Shiller to take account of unit roots in the data were undertaken, but they revealed no evidence of departures from the expectations model.
