The Yield Curve and Financial Risk Premia
Title | The Yield Curve and Financial Risk Premia PDF eBook |
Author | Felix Geiger |
Publisher | Springer Science & Business Media |
Pages | 320 |
Release | 2011-08-17 |
Genre | Business & Economics |
ISBN | 3642215750 |
The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind the movements of short- and long-term interest rates as well as the risk compensation demanded by financial investors. By taking on a macro-finance perspective, the book’s approach explicitly acknowledges the close feedback between monetary policy, the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic activity, the conduct of monetary policy and the underlying macroeconomic factors of bond price movements. Moreover, the book identifies a broad risk-taking channel of monetary transmission which allows a reassessment of the role of financial constraints; it enables policy makers to develop new guidelines for monetary policy and for financial supervision of how to cope with evolving financial imbalances.
Specullation, Risk Premia and Expectations in the Yield Curve
Title | Specullation, Risk Premia and Expectations in the Yield Curve PDF eBook |
Author | Francisco Barillas |
Publisher | |
Pages | 58 |
Release | 2013 |
Genre | |
ISBN |
Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia
Title | Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia PDF eBook |
Author | Nikolaus Hautsch |
Publisher | |
Pages | |
Release | 2008 |
Genre | |
ISBN |
Estimating and Interpreting the Yield Curve
Title | Estimating and Interpreting the Yield Curve PDF eBook |
Author | Nicola Anderson |
Publisher | |
Pages | 248 |
Release | 1996-06-04 |
Genre | Business & Economics |
ISBN |
A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.
Speculation, Risk Premia and Expectations in the Yield Curve
Title | Speculation, Risk Premia and Expectations in the Yield Curve PDF eBook |
Author | Francisco Barillas |
Publisher | |
Pages | 58 |
Release | 2013 |
Genre | Bond market |
ISBN |
An affine asset pricing model in which agents have rational but heterogeneous expectations about future asset prices is developed. We estimate the model using data on bond yields and individual survey responses from the Survey of Professional Forecasters and perform a novel three-way decomposition of bond yields into (i) average expectations about short rates (ii) risk premia and (iii) a speculative component due to heterogeneous expectations about the resale value of a bond. We prove that the speculative term must be orthogonal to public information in real time and therefore statistically distinct from risk premia. Empirically, the speculative component is quantitatively important, accounting for up to one percentage point of US yields. Furthermore, estimates of historical risk premia from the heterogeneous information model are less volatile than, and negatively correlated with, risk premia estimated using a standard Affine Gaussian Term Structure model.
Bond Pricing and Yield Curve Modeling
Title | Bond Pricing and Yield Curve Modeling PDF eBook |
Author | Riccardo Rebonato |
Publisher | |
Pages | 781 |
Release | 2018-06-07 |
Genre | Business & Economics |
ISBN | 1107165857 |
Rebonato provides an authoritative, clear, and up-to-date explanation of the cutting-edge innovations in affine modeling for government bonds, and provides readers with the precise tools to develop their own models. This book combines precise theory with up-to-date empirical evidence to build, with the minimum mathematical sophistication required for the task, a critical understanding of what drives the government bond market.
Modeling and Predicting the Yield Curve's Risk Premium
Title | Modeling and Predicting the Yield Curve's Risk Premium PDF eBook |
Author | Eric Van Den Bosch |
Publisher | |
Pages | 70 |
Release | 2008 |
Genre | Interest rates |
ISBN |