Bond Risk PremiaThis paper studies time variation in expected excess bond returns. We run regressions of annual excess returns on forward rates. We find that a single factor prdoi:10.2139/ssrn.1851854Cochrane, John H.Piazzesi, MonikaSocial Science Electronic Publishing...
Secondly, by allowing for a time-varying price of risk proportional to disagreement, we substantially improve the forecasting power of a standard affine model for expected returns. Thirdly, while the predictive content of the return forecasting factor (Cochrane and Piazzesi (2005)) is cut ...
Bond Risk Premia Stanford University(债券风险溢价斯坦福大学).pdf,Bond Risk Premia By JOHN H. COCHRANE AND MONIKA PIAZZESI* We study time variation in expected excess bond returns. We run regressions of one-year excess returns on initial forward rates.
BOND RISK PREMIA John H. Cochrane Monika Piazzesi Working Paper 9178 http://.nber/papers/w9178 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 September 2002 We thank Geert Bekaert, Michael Brandt, Lars Hansen, Bob Hodrick, Narayana Kocherlakota, Pedro Santa- ...
Bond risk premiaeconomic valueglobal common factorreturn predictabilityout-of-sample forecastsWe endogenously construct a global common Cochrane-Piazzesi (2005) factor. We find that the global factor, a zigzag-shaped linear combination of international forward rates, strongly predicts international bond ...
suggest that bond market risk premia are time-varying and seem correlated with macroeconomic conditions. 1 While the bond risk premia predictability literature has investigated the predictive ability of using the various economic predictors, such as forward rates (e.g., Cochrane and Piazzesi, 2005) ...
Bond Risk Premia 喜欢 0 阅读量: 607 作者:JOHN,H.,COCHRANE,MONIKA,PIAZZESI 摘要: We study time variation in expected excess bond returns. We run regressions of one-year excess returns on initial forward rates. We find that a single factor, a single tent-shaped linear combination of forward ...
Against the expectations hypothesis, Fama and Bliss (1987), Campbell and Shiller (1991), Dai and Singleton (2002), and Cochrane and Piazzesi (2005) provide evidence for bond return predictability using yield spreads and forward rates as predictors. While accounting for the bond return ...
our bond excess return forecasts are strongly negatively correlated with economic growth prospects (thus being higher during recessions) and strongly positively correlated with inflation uncertainty. This suggests that our bond return forecasts are, at least in part, driven by time-varying risk premia....
J. Cochrane Understanding policy in the Great Recessionsome unpleasant fiscal arithmetic Eur. Econ. Rev. (2011) Q. Dai et al. Expectation puzzles, time-varying risk premia, and affine models of the term structure J. Financ. Econ. (2002) T. Davig et al. Inflation and the fiscal limit Eu...