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Can risk models extract inflation expectations from financial market data? : evidence from the inflation protected securities of six countries
Kita, Arben; Tortorice, Daniel L. - 2018
Persistent link: https://www.econbiz.de/10012063682
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The nominal theory of interest under habit formation : evidence for the U.S. : 1959 - 2002
Faria, João Ricardo; Mollick, André Varella - In: The North American journal of economics and finance : a … 15 (2004) 3, pp. 333-354
Persistent link: https://www.econbiz.de/10002563899
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Nominal Rigidities and the Term Structures of Equity and Bond Returns
Lopez, Pierlauro - 2015
A downward-sloping term structure of equity and upward-sloping term structures of interest rates arise endogenously in a general-equilibrium model with nominal rigidities and nonlinear habits in consumption. Countercyclical marginal costs exacerbate the procyclicality of dividends after a...
Persistent link: https://www.econbiz.de/10013016903
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Nominal Rigidities and the Term Structures of Equity and Bond Returns
Lopez, Pierlauro - 2015
A downward-sloping term structure of equity and upward-sloping term structures of interest rates arise endogenously in a general-equilibrium model with nominal rigidities and nonlinear habits in consumption. Countercyclical marginal costs exacerbate the procyclicality of dividends after a...
Persistent link: https://www.econbiz.de/10013019905
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021
We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r*), trend inflation (π*),...
Persistent link: https://www.econbiz.de/10012705391
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2020
Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...
Persistent link: https://www.econbiz.de/10012425011
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Bond risk premia and restrictions on risk prices
Hevia, Constantino; Sola, Martin - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-22
Researchers who estimate affine term structure models often impose overidentifying restrictions (restrictions on parameters beyond those necessary for identification) for a variety of reasons. While some of those restrictions seem to have minor effects on the extracted factors and some measures...
Persistent link: https://www.econbiz.de/10011961381
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Can reinvestment risk explain the dividend and bond term structures?
Gonçalves, Andrei S. - 2018 - This Version: January, 2018
equity term structure cyclicality and the upward sloping bond term structure …
Persistent link: https://www.econbiz.de/10011963382
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Understanding Bond Risk Premia Uncovered by the Term Structure
Radwanski, Juliusz F. - 2020
This paper makes a step towards understanding the term-structure forecasts of bond risk premia. Two economically … factor) are enough to summarize virtually all of predictive power for excess bond returns contained in the factor of Cochrane … the financial crisis. This explains weaker predictability of excess bond returns in the subsamples that cover the most …
Persistent link: https://www.econbiz.de/10012857508
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Downward nominal rigidities and bond premia
Gourio, François; Ngo, Phuong - 2024
cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation …
Persistent link: https://www.econbiz.de/10014505834