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On the inflation risks embedded in sovereign bond yields

Camba-Méndez, Gonzalo - 2020

by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … inflation risks are not necessarily reduced with the inclusion of real estate assets in the minimum variance portfolio. Our … investors for holding the less attractive inflation-linked debt asset. …

Persistent link: https://www.econbiz.de/10012241109

The impact of liquidity on in ation-linked bonds : a hypothetical indexed bonds approach

Auckenthaler, Julia; Kupfer, Alexander; Sendlhofer, Rupert - 2014

The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with …

Persistent link: https://www.econbiz.de/10010251196

Liquidity risk and funding cost

Bechtel, Alexander; Ranaldo, Angelo; Wrampelmeyer, Jan - 2019

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded by lenders. We test the channel using unique...

Persistent link: https://www.econbiz.de/10012050871

Riding the Yield Curve : Risk Taking Behavior in a Low Interest Rate Environment

Chami, Ralph - 2020

Investors seek to hedge against interest rate risk by taking long or short positions on bonds ofdifferent maturities. We study changes in risk taking behavior in a low interest rateenvironment by estimating a market stochastic discount factor that is non-linear and thereforeconsistent with the...

Persistent link: https://www.econbiz.de/10012836549

Heterogeneous effects of unconventional monetary policy on bond yields across the euro area

Demir, İshak; Eroğlu, Burak Alparslan; … - 2019

4207 This paper investigates the impact of European Central Bank's unconventional monetary policies between 2008-2016 on the government bond yields of eight European Monetary Union countries and up to eleven diﬀerent maturities. In identifying this impact, it adopts a novel econometric...

Persistent link: https://www.econbiz.de/10012147209

A Dynamic Inflation Hedging Trading Strategy Using a CPPI

Fulli-Lemaire, Nicolas - 2013

This article tries to solve the portfolio inflation hedging problem by introducing a new class of dynamic trading … returns on a risk-adjusted basis than regular inflation hedging portfolio allocation while achieving a lower cost than …

Persistent link: https://www.econbiz.de/10013091884

Procyclical Asset Management and Bond Risk Premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2021

We use unique institutional securities holdings data to examine the trading behaviour of delegated institutional capital and its impact on bond risk premia. We show that institutional fund managers trade strongly procyclically: they actively move into higher yielding, longer duration and lower...

Persistent link: https://www.econbiz.de/10013240205

Procyclical Asset Management and Bond Risk Premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2021

Persistent link: https://www.econbiz.de/10013243837

Global Bond Risk Premiums

Hellerstein, Rebecca - 2011

This paper examines time-varying measures of term premiums across ten developed economies. It shows that a single factor accounts for most of the variation in expected excess returns over time, across the maturity spectrum, and across countries. I construct a global return forecasting factor...

Persistent link: https://www.econbiz.de/10013124116

Yield Curve Investing : Optimizing Risk-Adjusted Returns

Corcoran, Charles - 2013

This paper investigates how recent changes in market interest rates have affected risk-adjusted returns. Returns are adjusted for duration, a measure of interest rate risk. Prior to the 2007-2008 rate decrease, one-year Treasuries offered the best risk/return tradeoff. As a result of the rate...

Persistent link: https://www.econbiz.de/10013090162