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Inflation risk and the inflation risk premium

Bekaert, Geert; Wang, Xiaozheng - In: Economic policy : a European forum 64 (2010), pp. 757-806

Persistent link: https://www.econbiz.de/10008798181

On biases in tests of the expectations hypothesis of the term structure of interest rates

Bekaert, Geert; Hodrick, Robert J.; Marshall, David - Federal Reserve Bank of Chicago - 1996

We document extreme bias and dispersion in the small sample distributions of five standard regression tests of the expectations hypothesis of the term structure of interest rates. These biases derive from the extreme persistence in short interest rates. We derive approximate analytic expressions...

Persistent link: https://www.econbiz.de/10005414696

"Peso problem" explanations for term structure anomalies

Bekaert, Geert; Hodrick, Robert J.; Marshall, David A. - Federal Reserve Bank of Chicago - 1997

We examine the empirical evidence on the expectation hypothesis of the term structure of interest rates in the United States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector-autoregressive methodology. We argue that anomalies in the U.S. term structure,...

Persistent link: https://www.econbiz.de/10005414712

The term structure of real rates and expected inflation

Ang, Andrew; Bekaert, Geert - In: Proceedings (2004) Mar

. We develop a term structure model with regime switches, time-varying prices of risk and inflation to identify these …-cyclical (counter-cyclical) and inflation is negatively correlated with real rates. An inflation risk premium that increases with the … of nominal term spreads is due to expected inflation and inflation risk. …

Persistent link: https://www.econbiz.de/10005372703

Shortfall Risks and Excess Chances of Option-Based Rollover Hedge-Strategies with Respect to Alternative Target Returns : Empirical Evidence from the German Stock Market

Adam, Michael; Albrecht, Peter; Maurer, Raimond - 1996

approach return and risk of various rollover option strategies (put hedge; covered short call; collar). In addition to measure …) historique, ils evaluent le possibilites et risques des strategies de hedging par options (put hedge; covered short call; collar … auteurs essaient d´identifier des relations determinantes entre les differents types des strategies de hedging par options …

Persistent link: https://www.econbiz.de/10005842496