Search Results

Yield curve, time varying term premia, and business cycle fluctuations,
Matteo Modena, from University Library of Munich, Germany (2008)
Keywords: Term Structure; Term Premia; Kalman Filtering; Industrial Production Growth

International Interest-Rate Risk Premia in Affine Term Structure Models,
Felix Geiger, from Department of Economics, University of Hohenheim, Germany (2009)
Keywords: Term Structure of Interest Rates, Term Premia, Kalman Filter, Maximum Likelihood

What do negative inflation risk premia tell us?,
Kei Imakubo and Jouchi Nakajima, from Bank of Japan (2015)
Keywords: Inflation risk premia; Term premia; Term structure

Term premia and short rate expectations in the euro area,
Andrea Berardi, in Journal of Empirical Finance (2023)
Keywords: Term structure; Term premia; Expected short rates; Convexity; Euro sovereign bonds;

Inflation targeting and term premia estimates for Latin America,
Andrew Blake, Garreth Rule and Ole Rummel, in Latin American Economic Review (2015)
Keywords: Inflation targeting, Term premia, Affine term structure model, E43, E58, G12, G17,

Time Variation in Term Premia: International Evidence,
Christian Wolff, Willem Verschoor and Ron Jongen, from C.E.P.R. Discussion Papers (2005)
Keywords: Interest rate expectations; Ems; Expectations hypothesis; Rationality; Survey data; Term structure; Time-varying term premia

Risk Premia at the ZLB: A Macroeconomic Interpretation,
Francois Gourio and Phuong Ngo, from Federal Reserve Bank of Chicago (2020)
Keywords: Liquidity trap; inflation premia; risk premia; term premia; stock market

Interest Rate Spillovers from the United States: Expectations, Term Premia and Macro-Financial Vulnerabilities,
Aaron Mehrotra, Richhild Moessner and Chang Shu, from CESifo (2019)
Keywords: interest rate spillovers, term premia, emerging economies

Interest rate spillovers from the United States: expectations, term premia and macro-financial vulnerabilities,
Aaron Mehrotra, Richhild Moessner and Chang Shu Author-X-Name_First: Chang, from Bank for International Settlements (2019)
Keywords: interest rate spillovers, term premia, emerging economies

Effects of asset purchases and financial stability measures on term premia in the euro area,
Richhild Moessner, from National Institute of Economic and Social Research (2018)
Keywords: Monetary policy, asset purchases, financial stability, term premia

Long-term interest rates, risk premia and unconventional monetary policy,
Callum Jones and Mariano Kulish, in Journal of Economic Dynamics and Control (2013)
Keywords: Unconventional monetary policy; Taylor rule; Risk premia; Term structure;

Long-term Interest Rates, Risk Premia and Unconventional Monetary Policy,
Callum Jones and Mariano Kulish, from Reserve Bank of Australia (2011)
Keywords: unconventional monetary policy; Taylor rule; risk premia; term structure

Effects of asset purchases and financial stability measures on term premia in the euro area,
Richhild Moessner, from Bank for International Settlements (2018)
Keywords: monetary policy, asset purchases, financial stability, term premia

On the term structure of default premia in the Swap and Libor markets,
Bruno Solnik and Pierre Collin-Dufresne, from HAL (2000)
Keywords: term structure,default premia,Swap,Libor,swap market,treasury market,corporate yields,LIBOR-swap spread

Risk Premia and Volatilities in a Nonlinear Term Structure Model*,
Peter Feldhütter, Christian Heyerdahl-Larsen and Philipp Illeditsch, in Review of Finance (2018)
Keywords: Nonlinear term structure models, Expected excess returns, Stochastic volatility, Unspanned Risk Premia, Unspanned Stochastic Volatility

Short-Dated Term Premia and the Level of Inflation,
Richard Crump, Charles Smith and Peter Van Tassel, from Federal Reserve Bank of New York (2022)
Keywords: term premia; inflation; monetary policy expectations; Federal Open Market Committee (FOMC)

Time-variation in term premia: International survey-based evidence,
Ron Jongen, Willem Verschoor and Christian Wolff, in Journal of International Money and Finance (2011)
Keywords: Expectations hypothesis Term structure Time-varying term premia Interest rate expectations Rationality Survey data

Real term premia in consumption-based models,
Errikos Melissinos, from Leibniz Institute for Financial Research SAFE (2024)
Keywords: term premia, consumption-based models, habit, long-run risk, limited arbitrage, high consumption volatility, recursive utility, solution methods

Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves,
Michael Joyce, Peter Lildholdt and Steffen Sorensen, in Journal of Banking & Finance (2010)
Keywords: Inflation expectations Inflation risk premia Affine term structure model

Effects of monetary policy announcements on term premia in the euro area during the COVID-19 pandemic,
Richhild Moessner and Jakob de Haan, in Finance Research Letters (2022)
Keywords: Monetary policy; Asset purchases; Term premia; Sovereign risk;

An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia,
Sarah Mouabbi, from Banque de France (2014)
Keywords: term structure of interest rates; affine; exchange rates; risk premia.

Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves,
Michael Joyce, Peter Lildholdt and Steffen Sorensen, from Bank of England (2009)
Keywords: Inflation expectations; inflation risk premia; affine term structure model

The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach,
Ronald Henry Lange, in International Review of Economics & Finance (2018)
Keywords: Yield curve; Term premia; Dynamic-factor model; State-space model; Regime-switching estimation;

Long-term foreign exchange risk premia and inflation risk,
Daehwan Kim and Fabio Moneta, in International Review of Financial Analysis (2021)
Keywords: Foreign exchange risk premia; Real interest rates; Inflation risk; Affine term structure model; Inflation volatility;

The international integration of the term structure of expected market risk premia,
Gonzalo Rubio, Pedro Serrano and Antoni Vaello-Sebastià, in Finance Research Letters (2023)
Keywords: Term structure of expected risk premia; Risk-neutral variance; Option prices; International integration; Risk factor sensitivities;

The Term Structure of Equity Risk Premia: Levered Noise and New Estimates*,
Oliver Boguth, Murray Carlson, Adlai Fisher and Mikhail Simutin, in Review of Finance (2023)
Keywords: Equity risk premium, Dividend strips, Term structure of equity risk premia, Limits to arbitrage, Microstructure frictions

Risk Premia at the ZLB: A Macroeconomic Interpretation,
Francois Gourio and Phuong Ngo, from Federal Reserve Bank of Chicago (2020)
Keywords: zero lower bound; liquidity traps; stock market; inflation premia; term premia; risk premia

The term structure of carbon premia,
Fan Dora Xia and Omar Zulaica, from Bank for International Settlements (2022)
Keywords: climate change, carbon emissions, corporate bond spread, term structure.

No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth,
Caroline Jardet, Alain Monfort and Fulvio Pegoraro, from Banque de France (2009)
Keywords: Near-Cointegrated VAR(p) model ; Term structure of interest rates ; Term premia ; GDP growth ; No-arbitrage affine term structure model ; New Information Response Function.

Equity Volatility Term Premia,
Peter Van Tassel, from Federal Reserve Bank of New York (2018)
Keywords: options; variance risk premium; variance swaps; term structures; return predictability; VIX futures

Equity Volatility Term Premia,
Charles Smith and Peter Van Tassel, from Federal Reserve Bank of New York (2021)
Keywords: variance swaps; VIX futures; term structures; variance risk premium; return predictability

No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth,
Caroline Jardet, Alain Monfort and Fulvio Pegoraro, in Journal of Banking & Finance (2013)
Keywords: Averaging estimators; Persistence problem; Near-cointegration analysis; No-arbitrage affine term structure model; Term premia; GDP growth; New Information Response Functions;

Multi-Lag Term Structure Models with Stochastic Risk Premia,
Alain Monfort and Fulvio Pegoraro, from Banque de France (2007)
Keywords: Discrete-time Affine Term Structure Models ; Stochastic Discount Factor, Gaussian VAR(p) processes ; Stochastic risk premia ; Moving Average or discrete-time HJM representations ; Exact Fitting of the currently-observed yield curve.

Economic determinants of risk premia in the term structure of interest rates,
Peter Hördahl, Oreste Tristani and David Vestin, in Research Bulletin (2005)
Keywords: risk premia, interest rates

The term structure and the expectations hypothesis: a threshold model,
Matteo Modena, from University Library of Munich, Germany (2008)
Keywords: Expectations Hypothesis, Term Premia, Threshold Models

The Term Structure and the Expectations Hypothesis: a Threshold Model,
Matteo Modena, from Business School - Economics, University of Glasgow (2008)
Keywords: Expectations Hypothesis, Term Premia, Threshold Models.

(Un)expected monetary policy shocks and term premia,
Martin Kliem and Alexander Meyer-Gohde, from Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS) (2019)
Keywords: DSGE model, Bayesian estimation, Time-varying risk premia, Monetary policy

Inflation risk premia in the US and the euro area,
Oreste Tristani and Peter Hördahl, from European Central Bank (2010)
Keywords: central bank credibility, inflation risk premia, term structure of interest rates

Macro-finance VARs and bond risk premia: A caveat,
Marco Taboga, in Review of Financial Economics (2009)
Keywords: Bond risk premia Term structure Bond yield conundrum

Monetary policy, bond risk premia, and the economy,
Peter Ireland, in Journal of Monetary Economics (2015)
Keywords: Bond risk premia; Monetary policy; Term structure of interest rates;

Fiscal policy driven bond risk premia,
Lorenzo Bretscher, Alex Hsu and Andrea Tamoni, in Journal of Financial Economics (2020)
Keywords: Term structure; Bond risk premia; Fiscal policy; Uncertainty;

Bond Risk Premia and Restrictions on Risk Prices,
Constantino Hevia and Martin Sola, in JRFM (2018)
Keywords: bond risk premia; affine term structure models; risk prices

Bond risk premia and restrictions on risk prices,
Constantino Hevia and Martin Sola, from Universidad Torcuato Di Tella (2018)
Keywords: Bond risk premia, affine term structure models, risk prices

Inflation Risk Premia, Yield Volatility, and Macro Factors,
Andrea Berardi and Alberto Plazzi, in Journal of Financial Econometrics (2019)
Keywords: inflation risk premia, macro factors, term structure, TIPS, yield volatility

Inflation Risk Premia, Yield Volatility and Macro Factors,
Andrea Berardi and Alberto Plazzi, from Swiss Finance Institute (2018)
Keywords: Term Structure, Inflation Risk Premia, TIPS, Yield Volatility, Macro Factors

Inflation Risk Premia, Yield Volatility and Macro Factors,
Andrea Berardi, from University of Verona, Department of Economics (2013)
Keywords: Keywords: Term Structure and Macroeconomy, Inflation Risk Premia, TIPS, Yield Volatility

Inflation risk premia in the US and the euro area,
Peter Hördahl and Oreste Tristani, from Bank for International Settlements (2010)
Keywords: term structure of interest rates, inflation risk premia, central bank credibility

Monetary Policy, Bond Risk Premia, and the Economy,
Peter Ireland, from Boston College Department of Economics (2014)
Keywords: term structure, risk premia, monetary policy, macroeconomic performance

The term structure of equity risk premia,
Ravi Bansal, Shane Miller, Dongho Song and Amir Yaron, in Journal of Financial Economics (2021)
Keywords: Asset pricing; Business cycle phases; Dividend strips; Equity term structure; Regime switching;

Risk Premia: Short and Long-term,
Stanislav Khrapov, from New Economic School (NES) (2012)
Keywords: term structure of risk premium; Epstein-Zin utility; generalized disappointment aversion; finite state economy; Markov chain

Risk Premia: Short and Long-term,
Stanislav Khrapov, from Center for Economic and Financial Research (CEFIR) (2012)
Keywords: term structure of risk premium; Epstein-Zin utility; generalized disappointment aversion; finite state economy; Markov chain

Macroeconomic Sources of Risk in the Term Structure,
Hiona Balfoussia, Michael Wickens and Michael R. Wickens, from CESifo (2004)
Keywords: term structure, the stochastic discount factor model, term premia, GARCH

Macroeconomic Sources of Risk in the Term Structure,
Michael Wickens and Hiona Balfoussia, from Tor Vergata University, CEIS (2004)
Keywords: term structure, the stochastic discount factor model, term premia, GARCH

Decomposing market-based measures of inflation compensation into inflation expectations and risk premia,
Valentin Burban, Bruno De Backer, Fabian Schupp and Andreea Liliana Vladu, in Economic Bulletin Boxes (2022)
Keywords: expectations, Inflation-linked swaps, inflation risk premia, term structure

Interpreting implied risk-neutral densities: the role of risk premia,
David Vestin and Peter Hördahl, from European Central Bank (2003)
Keywords: essentially affine term structure model, Risk-neutral densities, risk premia

Modelling the Term Structure with Trends in Yields and Cycles in Excess Returns,
Carlo A. Favero and Ruben Fernandez-Fuertes, from BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy (2023)
Keywords: Affine Term Structure Models, Trends and Cycles, Term Premia

Stationarity and persistence of the term premia in the Polish money market,
Michał Markun and Anna Mospan, from Narodowy Bank Polski (2015)
Keywords: short-term interest rate, expectations, term premium, persistence, surveys,Poland

Monetary Policy and Long-Term Interest Rates in Korea: A Decomposition Analysis,
Sangyong Joo, Daehwan Kim and Jeffrey Nilsen, in Korean Economic Review (2021)
Keywords: Monetary Policy, Long-term Interest Rates, Real Term Premia, Inflation Expectations, Inflation Risk Premia

Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme,
Wolfgang Lemke and Thomas Werner, from European Central Bank (2017)
Keywords: large-scale asset purchases, term premia, term structure of interest rates

Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme,
Wolfgang Lemke and Thomas Werner, in Journal of Banking & Finance (2020)
Keywords: Term structure of interest rates; Large-scale asset purchases; Term premia;

Inflation risk premia in the term structure of interest rates,
Peter Hördahl and Oreste Tristani, from European Central Bank (2007)
Keywords: central bank credibility., in, term structure of interest rates

Expectations and term premia in EFSF bond yields,
Andrea Carriero, Lorenzo Ricci and Elisabetta Vangelista, from European Stability Mechanism (2022)
Keywords: Term structure, volatility, density forecasting, no arbitrage

Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries,
Leonardo Iania, Marco Lyrio and Liana Nersisyan, from Université catholique de Louvain, Louvain Finance (LFIN) (2023)
Keywords: Oil prices shocks ; affine term structure models ; bond risk premia

Bond Risk Premia in Emerging Markets: Evidence from Brazil, China, Mexico, and Russia,
Leonardo Iania, Marco Lyrio and Rubens Moura, from Université catholique de Louvain, Louvain Finance (LFIN) (2020)
Keywords: Risk Premia, Term Structure of Interest Rates, International Finance, Emerging Markets

Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries,
Leonardo Iania, Marco Lyrio and Liana Nersisyan, from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2024)
Keywords: Oil prices shocks ; affine term structure models ; bond risk premia

Oil price shocks and bond risk premia: Evidence from a panel of 15 countries,
Leonardo Iania, Marco Lyrio and Liana Nersisyan, in Energy Economics (2024)
Keywords: Oil prices shocks; Affine term structure models; Bond risk premia;

Beauty contests and the term structure,
Martin Ellison and Andreas Tischbirek, from London School of Economics and Political Science, LSE Library (2018)
Keywords: yield curve; term premia; information friction; beauty contest; asset pricing

Beauty Contests and the Term Structure,
Martin Ellison and Andreas Tischbirek, from C.E.P.R. Discussion Papers (2018)
Keywords: Term premia; Information friction; Beauty contest; Asset pricing; Yield curve

Beauty Contests and the Term Structure,
Martin Ellison and Andreas Tischbirek, from University of Oxford, Department of Economics (2018)
Keywords: Yield Curve, Term Premia, Information Friction, Beauty Contest, Asset Pricing

Beauty Contests and the Term Structure,
Martin Ellison and Andreas Tischbirek, from Centre for Macroeconomics (CFM) (2018)
Keywords: Yield curve, Term premia, Information friction, Beauty contest, Asset pricing

Inflation risks and inflation risk premia,
Garcí­a, Juan Angel and Thomas Werner, from European Central Bank (2010)
Keywords: affine term structure models, inflation compensation, inflation risk, inflation risk premia, inflation risks, state-space modelling

The cross-section of currency volatility premia,
Pasquale Della Corte, Roman Kozhan and Anthony Neuberger, in Journal of Financial Economics (2021)
Keywords: Currency volatility risk premia; Forward volatility agreement; Foreign exchange volatility; Term structure;

(Un)expected monetary policy shocks and term premia,
Martin Kliem and Alexander Meyer-Gohde, from Deutsche Bundesbank (2017)
Keywords: DSGE model, Bayesian estimation, Term structure, Monetary policy

(Un)expected Monetary Policy Shocks and Term Premia,
Martin Kliem and Alexander Meyer-Gohde, from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2017)
Keywords: DSGE model, Bayesian estimation, Term structure, Monetary policy

Utility-implied term structures of equity risk premia,
Louis R. Piccotti, in Economics Letters (2024)
Keywords: Asset pricing; Equity risk premium term structure; Frequency domain;

Predicting risk premia in short-term interest rates and exchange rates,
Johannes Gräb and Thomas Kostka, from European Central Bank (2018)
Keywords: exchange rates, interest rates, predictability, risk premia, yield curve

Euro area equity risk premia and monetary policy: a longer-term perspective,
Daniel Kapp and Kristian Kristiansen, from European Central Bank (2021)
Keywords: equity risk premia, monetary policy shocks, monetary policy transmission

Conditional moment testing, term premia and affine term structure models,
Jes Taulbjerg, from University of Aarhus, Aarhus School of Business, Department of Business Studies (2003)
Keywords: Finance; Interest rate theory; Term structure

Stochastic correlation and risk premia in term structure models,
Carl Chiarella, Chih-Ying Hsiao and Thuy-Duong Tô, in Journal of Empirical Finance (2016)
Keywords: Term structure; Stochastic correlation; Risk premium; Wishart; Extended affine; Multidimensional CIR;

The term structure of equity and variance risk premia,
Yacine Ait-Sahalia, Mustafa Karaman and Loriano Mancini, in Journal of Econometrics (2020)
Keywords: Variance swap; Stochastic volatility; Likelihood approximation; Term structure; Equity risk premium; Variance risk premium;

Nelson–Siegel decay factor and term premia in Japan,
Junko Koeda and Atsushi Sekine, in Journal of the Japanese and International Economies (2022)
Keywords: Decay factor; Nelson–Siegel; Term premium; Yield curve control; Japan; Regime switching; State space model;

The Term Structure of Variance Swaps and Risk Premia,
Yacine Ait-Sahalia, Mustafa Karaman and Loriano Mancini, from Swiss Finance Institute (2018)
Keywords: Variance Swap, Stochastic Volatility, Likelihood Approximation, Term Structure, Equity Risk Premium, Variance Risk Premium

Nelson-Siegel Decay Factor and Term Premia in Japan,
Junko Koeda and Atsushi Sekine, from Waseda University, Faculty of Political Science and Economics (2021)
Keywords: decay factor, Nelson Siegel, term premium, yield curve control, Japan, nonlinear state space model

Global variance term premia and intermediary risk appetite,
Peter Van Tassel and Erik Vogt, from Federal Reserve Bank of New York (2016)
Keywords: variance swaps; variance risk premium; term structures; empirical asset pricing; volatility; financial intermediaries

Stochastic Correlation and Risk Premia in Term Structure Models,
Carl Chiarella, Chih-Ying Hsiao and Thuy-Duong To, from Quantitative Finance Research Centre, University of Technology, Sydney (2011)
Keywords: Term structure; Stochastic correlation, Risk premium; Wishart; Affine; Extended affine; Multidimensional CIR

Risk Premia in the Term Structure of Swaps in Pesetas,
Alfonso Novales and Pilar Abad, from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico (2002)
Keywords: Term structure, Interest rate swaps, Expectations theory, Forwad rate, Risk premium.

A Term Structure Decomposition of the Australian Yield Curve,
Richard Finlay and Mark Chambers, from Reserve Bank of Australia (2008)
Keywords: expected future short rate; term premia; term structure decomposition; affine term structure model; zero-coupon yield

Real Risk, Inflation Risk, and the Term Structure,
Martin Evans, from Georgetown University, Department of Economics (2002)
Keywords: Term Structure, Risk Premia, Inflation Risk, Markov-Switching

The term structure of interest rates in a DSGE model,
Marina Emiris, from National Bank of Belgium (2006)
Keywords: term structure of interest rates, policy rules, risk premia

The time-varying bond risk premia in China,
Han Zhang, Bin Guo and Lanbiao Liu, in Journal of Empirical Finance (2022)
Keywords: Bond risk premia; Chinese bond market; In- and out-of-sample predictions; Dynamic term structure model;