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Asymmetry in Liquidity Pricing in the Cross-Section and Time Series of Corporate Bond Returns
Dienemann, Fabian - 2020
The asymmetry in price pressure from seller vs. buyer-initiated transactions is identified as valuable measure of downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate bonds is mixed, the aggregate liquidity asymmetry has a...
Persistent link: https://www.econbiz.de/10012835834
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Interest rate skewness and biased beliefs
Bauer, Michael D.; Chernov, Mikhail - 2021 - This draft: June 16, 2021
Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced … curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high … COVID pandemic did not disrupt these relations: historically high skewness correctly anticipated the run-up in long …
Persistent link: https://www.econbiz.de/10012584702
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Interest rate skewness and biased beliefs
Bauer, Michael D.; Chernov, Mikhail - 2021 - First draft: January 2021, this draft: June 16, 2021
Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced … curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high … COVID pandemic did not disrupt these relations: historically high skewness correctly anticipated the run-up in long …
Persistent link: https://www.econbiz.de/10012547050
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Downward nominal rigidities and bond premia
Gourio, François; Ngo, Phuong - 2024
We develop a parsimonious New Keynesian macro-finance model with downward nominal rigidities to understand secular and cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation dynamics: a higher level of inflation makes prices more...
Persistent link: https://www.econbiz.de/10014505834
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Asset pricing with uncertain betas: A long-term perspective
Gollier, Christian - 2013
How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...
Persistent link: https://www.econbiz.de/10010291514
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Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
Gollier, Christian - 2012
Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...
Persistent link: https://www.econbiz.de/10010291529
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The price of money : now collateral policy affects the yield curve
Nyborg, Kjell G.; Woschitz, Jiri - 2021
Central-bank collateral policy governs the convertibility of assets into central-bank money provided directly by the central bank. Focusing on government bonds, we develop clean identification of variation in such convertibility by exploiting differential treatment of same-country government...
Persistent link: https://www.econbiz.de/10012799625
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Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect
Caballero, Ricardo J.; Simsek, Alp - 2022
We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...
Persistent link: https://www.econbiz.de/10013093040
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Forward Curve Bias and Optimization Errors
Sarmiento, Camilo - 2019
We derive optimal hedging ratios for interest rate risk under different assumptions that underpin the relationship between the forward rate and the expected future spot rate. In some instances, full hedging is optimal, and the conditions for the optimality of a partial hedge are identified. Less...
Persistent link: https://www.econbiz.de/10012892055
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The term structure of expectations and bond yields
Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel - 2016
How much do term premiums matter for explaining the dynamics of the term structure of interest rates? A lot. We characterize the expected path of nominal and real short-rates as well as inflation using the universe of U.S. surveys of professional forecasters covering more than 500 survey-horizon...
Persistent link: https://www.econbiz.de/10011477349