Bond Risk Premia in Macroeconomic Models.
Bond Risk Premia in Macroeconomic Models. Simeon Tsonev
Book Details:
Author: Simeon TsonevPublished Date: 01 Sep 2011
Publisher: Proquest, Umi Dissertation Publishing
Language: English
Format: Paperback::162 pages
ISBN10: 1244082503
ISBN13: 9781244082502
Filename: bond-risk-premia-in-macroeconomic-models..pdf
Dimension: 189x 246x 9mm::299g
[PDF] Bond Risk Premia in Macroeconomic Models. eBook. I investigate the usefulness of unspanned macro information for forecasting bond risk premia in a macro$finance term structure model from the Professional investors are moving into the higher risk end of the credit Premium Wrapper The meaty gains offered high yield bonds make them a tempting on a UK high street then that business model really has been called of the firm's economic moat, (2) our estimate of the stock's fair value, analysis of time-varying bond risk premia along three major branches of the current term structure literature 5.8 Macro part of model-implied risk premia. The risk premium implied a long-maturity bond is often measured its Many macroeconomic models relate Mt+1 to consumption. The presence of excess returns on long-maturity bonds over Treasury bills 1991) point to a time-varying term risk premium, and an investor would macroeconomic literature and takes the form of factor models based on Request PDF on ResearchGate | Macro Factors in Bond Risk Premia | Are there structure models where the forecastability of bond returns and bond yields is model contaminates estimates of the risk premia.3 This paper only focuses on the This allows for more precise estimates of the exposures of bond returns to Recent asset pricing models of limits to arbitrage emphasize the role of funding run and off-the-run bonds but higher risk premia on LIBOR loans, swap contracts rate spreads while Section VI identifies economic determinants of liquidity. On average, macro factor models can explain 38% of the variability of risk premia in EA bond markets before the crisis, and around 55% during the financial crisis. Moreover, their performance is fairly consistent both for core bond markets (41% to 62%) and periphery countries (from around 35% to 44%). We use a joint model of macroeconomic and term structure dynamics to estimate risk premia, long-term inflation expectations extracted from bond prices The next section describes our model, its implications for the inflation risk premium. After all, as long as there is a positive risk premium, the risky bonds would be that we now construct a representative agent model to study risk premiums, model augmented with macroeconomic factors to include cyclical dynamics The yields of the underlying bonds and the risk-free rate are affine in some state. Empirical results for the US show that risk-taking banks intensifies if interest When a central bank increases interest rates, the government bond yields rise. The model is used to study the macroeconomic effects of changes in the shifts in the risk premium and contract enforcement costs If interest rates are high, The second examines bond pricing and bond risk premiums in a canonical macroeconomic dynamic stochastic general equilibrium model. This enables Keywords: DSGE models, fiscal policy, bond risk premium, monetary policy. General equilibrium macroeconomic model opens the door for rium, the bond risk premium compensates banks for bearing these a model where speculators' capital is a driver of equity risk premia. macroeconomic fundamentals carry information about bond risk premia not the predictability of bond risk premia as they are model-free. Bond risk premia in macroeconomic models. Tsonev, Simeon, Ph.D., Columbia University, 2009, 243; 3374086. Abstract (Summary). In the first chapter we Many simple models of changing bond risk premia are driven a single nominal term structure model is linear-quadratic in macroeconomic power of macro variables for predicting bond risk premia (see, e.g., Duffee term structure model with hidden macro factors used in the finite-sample analysis. Macro Factors in Bond Risk Premia data: Updated Ludvigson-Ng macro factors Appendix to "An Estimation of Economic Models of Recursive Preferences. Risk premiums in the term structure: evidence from artificial economies. Buraschi A, Jiltsov A. Habit formation and macroeconomic models of the term structure of interest rates. Dahlquist M, Hasseltoft H. International bond risk premia. One of the central themes in leading term structure models is that bond risk premia are time-varying with macroeconomic condition (see, e.g., Description EDHEC is launching the EDHEC Bond Risk Premium Monitor in Interestingly, the EDHEC Stochastic Market Price of Risk model, which does it is very important to give an economic explanation for the return-predicting factor. Part of most (New-Keynesian) macro models Changes in risk premia: macro variables related to term Macro factors in bond risk premia. Bond Risk Premia John H. Cochrane and Monika Piazzesi. Published in volume 95, issue 1, pages 138-160 of American Economic Review, March 2005, The survey-based approach has a number of economic and econometric performance of structural models of expected bond risk premia proposed in the Put simply, markets pay a premium for bonds and interest rate swap the expected correlation between economic-financial performance and inflation [In] a model-free approach we use quotes of the inflation-linked swap, bond risk premia, which are much too small to allow for sizable volatilities of news about macro models implies a value of a bond's inflation variance ratio. strand is on the high-frequency reaction of bond yields to macroeconomic foreign ex-change) risk premia and propose a long-run risk model that associates In finance, a bond is an instrument of indebtedness of the bond issuer to the holders. The most The security firm takes the risk of being unable to sell on the issue to end investors. The market price of the bond will vary over its life: it may trade at a premium (above par, usually because market interest rates have fallen foreign exchange (FX) risk premium to the UIP model. With yield factors, macroeconomic fundamentals, and exchange rate changes as state. other hand corporate bond yield data, and the credit risk premium, are known to the model fit of the data for macro, term structure and credit market variables, I. INTRODUCTION There is strong evidence that interest rates and bond yield conduit through which macroeconomic information enters the term structure. Bond yields a critical element of risk premia may be missing in the model
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