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Macro risks and the term structure of interest rates

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - 2017

We use non-Gaussian features in U.S. macroeconomic data to identify aggregate supply and demand shocks while imposing minimal economic assumptions. Recessions in the 1970s and 1980s were driven primarily by supply shocks, later recessions were driven primarily by demand shocks, and the Great...

Persistent link: https://www.econbiz.de/10011709342

Equilibrium yield curves and the interest rate lower bound

Nakata, Taisuke; Tanaka, Hiroatsu - 2016 - This draft: October 2016

We study the term structure of default-free interest rates in a sticky-price model with an occasionally binding effective lower bound (ELB) constraint on interest rates and recursive preferences. The ELB constraint induces state-dependency in the dynamics of term premiums by affecting...

Persistent link: https://www.econbiz.de/10011578779

Tips from TIPS : The Informational Content of Treasury Inflation-Protected Security Prices

D'Amico, Stefania - 2016

Treasury Inflation-Protected Securities (TIPS) are frequently thought of as risk-free real bonds. Using no … informational content of TIPS breakeven inflation, a widely-used proxy for expected inflation …

Persistent link: https://www.econbiz.de/10013006559

Bond risk premiums at the zero lower bound

Andreasen, Martin Møller; Jørgensen, Kasper; Meldrum, … - 2019

This paper documents a significantly stronger relationship between the slope of the yield curve and future excess bond returns on Treasuries from 2008-2015 than before 2008. This new predictability result is not matched by the standard shadow rate model with Gaussian factor dynamics, but...

Persistent link: https://www.econbiz.de/10012181201

Equilibrium Yield Curves with Imperfect Information

Tanaka, Hiroatsu - 2023

I study the dynamics of default-free bond yields and term premia using a novel equilibrium term structure model with a New-Keynesian core and imperfect information about productivity. The model generates term premia that are on average positive with sizable countercyclical variation that arises...

Persistent link: https://www.econbiz.de/10014254949

Tips from Tips : The Informational Content of Treasury Inflation-Protected Security Prices

D'Amico, Stefania; Kim, Don H.; Wei, Min - 2021

Persistent link: https://www.econbiz.de/10014351828

The Informational Content of the Embedded Deflation Option in TIPS

Grishchenko, Olesya V. - 2013

In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The … future inflation rate. In almost all of our regressions, the embedded option return index is significant even in the presence … of traditional inflation variables, such as lagged inflation, the return on gold, the return on crude oil, the VIX index …

Persistent link: https://www.econbiz.de/10013082224

The Information Content of the Embedded Deflation Option in TIPS

Grishchenko, Olesya V. - 2012

In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The … future inflation rate. In most of our regressions, our embedded option return index is significant even in the presence of … traditional inflation variables, such as the yield spread between nominal Treasuries and TIPS, the return on gold bullion, the VIX …

Persistent link: https://www.econbiz.de/10013112923

Inflation Risk Premium : Evidence from the TIPS Market

Grishchenko, Olesya V. - 2012

Inflation-indexed securities would appear to be the most direct source of information about inflation expectations and … real interest rates" (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 …

Persistent link: https://www.econbiz.de/10013108740

Private Money Creation with Safe Assets and Term Premia

Infante, Sebastian - 2017

It has been documented that an increase in the demand for safe assets induces the private sector to create more money-like claims. Focusing on private repos backed by U.S. Treasury securities, I show that an increase in the demand for safe assets leads to a decreases in the issuance of Treasury...

Persistent link: https://www.econbiz.de/10014121866