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A note concerning government bond yields

Akram, Tanweer - 2020

argued that the central bank can influence the long-term interest rate on government bonds and the shape of the yield curve … mainly through the short-term interest rate. Investors' psychology, herding behavior in financial markets, and uncertainty … about the future reinforce the effects of the short-term interest rate and the central bank's monetary policy actions on the …

Persistent link: https://www.econbiz.de/10012317613

A Note Concerning Government Bond Yields

Akram, Tanweer - 2020

argued that the central bank can influence the long-term interest rate on government bonds and the shape of the yield curve … mainly through the short-term interest rate. Investors’ psychology, herding behavior in financial markets, and uncertainty … about the future reinforce the effects of the short-term interest rate and the central bank’s monetary policy actions on the …

Persistent link: https://www.econbiz.de/10014352059

Expectation-Driven Term Structure of Equity and Bond Yields

Zeng, Ming; Zhao, Guihai - 2021

Recent findings on the term structure of equity and bond yields pose serious challenges to existing equilibrium asset pricing models. This paper presents a new equilibrium model to explain the joint historical dynamics of equity and bond yields (and their yield spreads). Equity/bond yields...

Persistent link: https://www.econbiz.de/10013234720

Ambiguity, Nominal Bond Yields, and Real Bond Yields

Zhao, Guihai - 2021

This paper presents an equilibrium bond-pricing model that jointly explains the upward-sloping nominal and real yield curves and the violation of the expectations hypothesis. Instead of relying on the inflation risk premium, the ambiguity-averse agent faces different amounts of Knightian...

Persistent link: https://www.econbiz.de/10013244576

Ambiguity, nominal bond yields and real bond yields

Zhao, Guihai - 2018

Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth. Ambiguity can help resolve...

Persistent link: https://www.econbiz.de/10011864574

Expectation-driven term structure of equity and bond yields

Zeng, Ming; Zhao, Guihai - 2022 - Last updated: May 11, 2022

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...

Persistent link: https://www.econbiz.de/10013193433

Advanced Yield Curve Calibration, Mixed Interpolation Schemes & How to Incorporate Jumps and the Turn-of-Year Effect

Burgess, Nicholas - 2021

Yield curves are used to imply the forward rates and discount factors from market tradable instruments and are required to discount future cash flows and evaluate the price of all financial contracts. Not all instruments can be included in the yield curve calibration or fitting process, hence we...

Persistent link: https://www.econbiz.de/10013213650

Safe Asset Carry Trade

Ballensiefen, Benedikt - 2020

market factor determines the short-term interest rate level, the carry factor accounts for the cross-sectional dispersion …

Persistent link: https://www.econbiz.de/10012848481

Optimal taxation and debt with uninsurable risks to human capital accumulation

Gottardi, Piero; Kajii, Atsushi; Nakajima, Tomoyuki - 2014

We consider an economy where individuals face uninsurable risks to their human capital accumulation and study the problem of determining the optimal level of linear taxes on capital and labor income together with the optimal path of the debt level. We show both analytically and numerically that...

Persistent link: https://www.econbiz.de/10010433969

Expected Returns Independent Allocations

Susinno, Gabriele - 2015

Present market instabilities have prompted great interest on the characteristics of specific portfolios such as minimum …

Persistent link: https://www.econbiz.de/10013018612