Changing Uncertainty and the Time-varying Risk Premia in the Term Structure of Nominal Interest Rates
Title | Changing Uncertainty and the Time-varying Risk Premia in the Term Structure of Nominal Interest Rates PDF eBook |
Author | Jae Won Park |
Publisher | |
Pages | 33 |
Release | 1990 |
Genre | Bonds |
ISBN |
Changing Uncertainity and the Time-varying Risk Premia in the Term Structure of Nominal Interest Rates
Title | Changing Uncertainity and the Time-varying Risk Premia in the Term Structure of Nominal Interest Rates PDF eBook |
Author | Jae Won Park |
Publisher | |
Pages | 33 |
Release | 1990 |
Genre | Bonds |
ISBN |
Regime Shifts, Risk and the Term Structure
Title | Regime Shifts, Risk and the Term Structure PDF eBook |
Author | Martin D.D. Evans |
Publisher | |
Pages | 36 |
Release | 2010 |
Genre | |
ISBN |
This paper develops and estimates a general equilibrium model for the term structures of nominal and real interest rates that incorporates regime-switching into the dynamics of the state variables. The model generates time-varying risk premia via changes in the covariance structure of the state variables and Peso problems through regime-switching. When the model is estimated using real and nominal yields from the U.K., I find that Peso problems emanating from instability in inflation have a significant impact on the nominal term structure. Peso problems affect (i) the sample predictability of excess returns, (ii) nominal term premia, and (iii) the inflation risk premia linking real and nominal yields with expected inflation.
Risk Premia in the Term Structure of Interest Rates
Title | Risk Premia in the Term Structure of Interest Rates PDF eBook |
Author | Dennis Bams |
Publisher | |
Pages | 44 |
Release | 2000 |
Genre | Interest rate risk |
ISBN |
The Expectations Hypothesis of the Term Structure and Time Varying Risk Premia
Title | The Expectations Hypothesis of the Term Structure and Time Varying Risk Premia PDF eBook |
Author | Richard D. F. Harris |
Publisher | |
Pages | 15 |
Release | 1998 |
Genre | Interest rate risk |
ISBN |
Time-varying Risk Premia in the Term Structure of Interest Rates in New Zealand
Title | Time-varying Risk Premia in the Term Structure of Interest Rates in New Zealand PDF eBook |
Author | Dimitris Margaritis |
Publisher | |
Pages | 32 |
Release | 1991 |
Genre | Interest rates |
ISBN |
Inflation, Consumption and Time-varying Risk Premiums in the Term Structure of Nominal Interest Rates
Title | Inflation, Consumption and Time-varying Risk Premiums in the Term Structure of Nominal Interest Rates PDF eBook |
Author | Chung-Hun Hong |
Publisher | |
Pages | |
Release | 1993 |
Genre | |
ISBN |