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Author : Se-jin Kim
Publisher :
ISBN 13 :
Total Pages : 116 pages
Book Rating : 4.:/5 (753 download)
Download or read book The Term Structure of Interest Rates and Time-varying Risk Premium written by Se-jin Kim and published by . This book was released on 1988 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jae Won Park
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (129 download)
Download or read book Changing Uncertainity and the Time-varying Risk Premia in the Term Structure of Nominal Interest Rates written by Jae Won Park and published by . This book was released on 1990 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dennis Bams
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.X/5 (6 download)
Download or read book Risk Premia in the Term Structure of Interest Rates written by Dennis Bams and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jae Won Park
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (227 download)
Download or read book Changing Uncertainty and the Time-varying Risk Premia in the Term Structure of Nominal Interest Rates written by Jae Won Park and published by . This book was released on 1990 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lakshman Alles
Publisher :
ISBN 13 : 9781863422260
Total Pages : 11 pages
Book Rating : 4.4/5 (222 download)
Download or read book Time Varying Risk Premia and the Predictive Power of the Australian Term Structure of Interest Rates written by Lakshman Alles and published by . This book was released on 1993 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dimitris Margaritis
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.3/5 ( download)
Download or read book Time-varying Risk Premia in the Term Structure of Interest Rates in New Zealand written by Dimitris Margaritis and published by . This book was released on 1991 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chung-Hun Hong
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (298 download)
Download or read book Inflation, Consumption and Time-varying Risk Premiums in the Term Structure of Nominal Interest Rates written by Chung-Hun Hong and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jill M. Jacobs
Publisher :
ISBN 13 :
Total Pages : 248 pages
Book Rating : 4.:/5 (287 download)
Download or read book Modeling Time Variation of Risk Premia in the Term Structure of Interest Rates written by Jill M. Jacobs and published by . This book was released on 1993 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Mose Nielsen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book The Information Content of the Term Structure of Interest Rates About Future Inflation - an Illustration of the Importance of Accounting for a Time-Varying Real Interest Rate and Inflation Risk Premium written by Christian Mose Nielsen and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the past 15 years a large number of studies have used the approach suggested by Mishkin (Quarterly Journal of Economics, Vol. 105 (1990), No. 3, pp. 815-828; Journal of Monetary Economics, Vol. 25 (1990), No. 1, pp. 77-95) to examine the information content of the term structure of interest rates about future inflation. The empirical results of these studies, however, are very mixed and often not supportive of the Mishkin model. In addition, many results indicate that the term structure of interest rates only contains limited information about future inflation and that the relationship between the term structure of interest rates and future inflation may not be stable over time. In this paper an extension of the Mishkin model allowing for time-varying expected real interest rates and inflation risk premia is suggested and tested using monthly UK data from 1983:1 to 2004:10. The empirical results show that while the standard Mishkin model indicates that the term structure of interest rates contains limited information about future inflation, the extended Mishkin model indicates the contrary, i.e. the term structure of interest rates contains much information about future inflation when account is taken of time-varying expected real interest rates and inflation risk premia - especially when the long end of the term structure of interest rates is considered. Furthermore, the results indicate a potential structural break in the relationship between the term structure of interest rates and future inflation around the time the Bank of England started targeting inflation rates.
Author : Qiang Dai
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (248 download)
Download or read book Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure written by Qiang Dai and published by . This book was released on 2001 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional expectations theory, ' we show that these findings are not puzzling relative to a large class of richer dynamic term structure models. Specifically, we are able to match all of the key empirical findings reported by Fama and Bliss and Campbell and Shiller, among others, within large subclasses of affine and quadratic-Gaussian term structure models. Additionally, we show that certain risk-premium adjusted' projections of changes in yields on the slope of the yield curve recover the coefficients of unity predicted by the models. Key to this matching are parameterizations of the market prices of risk that let the risk factors affect the market prices of risk directly, and not only through the factor volatilities. The risk premiums have a simple form consistent with Fama's findings on the predictability of forward rates, and are shown to also be consistent with interest rate, feedback rules used by a monetary authority in setting monetary policy
Author : Frank Browne
Publisher : [Paris, France] : OECD, Department of Economics and Statistics
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.F/5 ( download)
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:
Author : Alan C. Hess
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (549 download)
Download or read book Conditional Time-varying Interest Rate Risk Premium written by Alan C. Hess and published by . This book was released on 2003 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Hördahl
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.3/5 ( download)
Download or read book Inflation Risk Premia in the Term Structure of Interest Rates written by Peter Hördahl and published by . This book was released on 2007 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper estimates the size and dynamics of inflation risk premia in the euro area, based on a joint model of macroeconomic and term structure dynamics. Information from both nominal and index-linked yields is used in the empirical analysis. Our results indicate that term premia in the euro area yield curve reflect predominantly real risks, i.e. risks which affect the returns on both nominal and index-linked bonds. On average, inflation risk premia were negligible during the EMU period but occasionally subject to statistically significant fluctuations in 2004-2006. Movements in the raw break-even rate appear to have mostly reflected such variations in inflation risk premia, while long-term inflation expectations have remained remarkably anchored from 1999 to date." - - Abstract.
Author : Jerry Tsai
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Rare Disasters and the Term Structure of Interest Rates written by Jerry Tsai and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper offers an explanation for the properties of the nominal term structure of interest rates and time-varying bond risk premia based on a model with rare consumption disaster risk. In the model, consumption is subject to large negative jumps (disasters), and these disasters are sometimes accompanied by period of high inflations. The possibility of jumps in inflation during disasters increases nominal yields and yield spread, while time-variation in disaster probability drives time-varying bond risk premia. This model also generates realistic implications for the aggregate stock market, and on the interaction between the two markets.
Author : John H. Cochrane
Publisher : Now Publishers Inc
ISBN 13 : 1933019158
Total Pages : 117 pages
Book Rating : 4.9/5 (33 download)
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.
Author : Andrew Ang
Publisher :
ISBN 13 :
Total Pages : 82 pages
Book Rating : 4.3/5 ( download)
Download or read book The Term Structure of Real Rates and Expected Inflation written by Andrew Ang and published by . This book was released on 2007 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt: Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the inflation risk premium. We develop a term structure model with regime switches, time-varying prices of risk, and inflation to identify these components of the nominal yield curve. We find that the unconditional real rate curve in the U.S. is fairly flat around 1.3%. In one real rate regime, the real term structure is steeply downward sloping. An inflation risk premium that increases with maturity fully accounts for the generally upward sloping nominal term structure.
Author : Mr.Jun Nagayasu
Publisher : International Monetary Fund
ISBN 13 : 1451874723
Total Pages : 32 pages
Book Rating : 4.4/5 (518 download)
Download or read book The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period written by Mr.Jun Nagayasu and published by International Monetary Fund. This book was released on 2003-10-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When interest rates are low, the usefulness of the model declines, since the interest spread contains little information that can be used for predicting future economic activity. The term-structure relationship is also weakened by the Bank of Japan's use of interest rate smoothing.
