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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 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 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 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 Estimating and Interpreting the Yield Curve by : Nicola Anderson
Download or read book Estimating and Interpreting the Yield Curve written by Nicola Anderson and published by . This book was released on 1996-06-04 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.
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.
Book Synopsis A Test of the Expectations Hypothesis of the Term Structure Using Cross-section Data by : Richard D. F. Harris
Download or read book A Test of the Expectations Hypothesis of the Term Structure Using Cross-section Data written by Richard D. F. Harris and published by . This book was released on 1998 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates by : Kenneth A. Froot
Download or read book New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates written by Kenneth A. Froot and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Survey data on interest rate expectations are used to separate the forward interest rate into an expected future rate and a term premium. These components are used to test separately two competing alternative hypotheses in tests of the term structure: that the expectations hypothesis does not hold, and that expected future long rates over- or underreact. to changes in short rates. While the spread consistently fails to predict future interest rate changes, we find that the nature of this failure is different, for short versus long maturities. For short maturities, expected future rates are rational forecasts. The poor predictions of the spread can therefore be attributed to variation in term premia. For longer-term bonds, however, we are unable to reject the expectations theory, in that a steeper yield curve reflects a one-for-one increase in expected future long rates. Here the perverse predictions of the spread reflect investors' failure to raise sufficiently their expectations of future long rates when the short rate rises. We confirm earlier findings that bond rates underreact to short rate changes, but now this result cannot be attributed to the term premium
