Bauer, Michael D., and James D. Hamilton, 2015. "Robust Bond Risk Premia" Federal Reserve Bank of San Francisco Working Paper.Hamilton, J. D. and M. D. Bauer (2015). Robust bond risk premia. Unpublished manuscript.Bauer, Michael D. and James D. Hamilton, "Robust bond risk premia,"...
Robust Bond Risk Premia? Michael D. Bauer?and James D. Hamilton? April 16, 2015 Revised: May 14, 2015 Abstract Recent studies appear to have found evidence that information not re?ected in the yield curve helps predict interest rates and excess bond returns. These studies reject the Markov...
We find that adding a measure of market jump volatility risk to a regression of excess bond returns on the term structure of forward rates nearly doubles t... J Wright,Z Hao - 《Finance & Economics Discussion》 被引量: 39发表: 2008年 International Capital Flows and Bond Risk Premia We in...
A consistent empirical feature of bond yields is that term premia are, on average, positive. The majority of theoretical explanations for this observation ... A Geromichalos,L Herrenbrueck,K Salyer - 《Theoretical Economics》 被引量: 36发表: 2016年 Macroeconomic-Driven Prepayment Risk and the ...
interest parity (UIP) condition:EteRoW,EA,t+1eRoW,EA,t1+iRoW,t=1+iEA,t+εEA,tbw+αEAbw0+αEAbw1eRoW,EA,tBEA,tbwPEA,tYYEA,twhere εEA,tbw captures a bond premium shock between EA and RoW (exchange rate shock), and αEAbw1 is a debt-dependent country risk premium on NFA ...
Lastly, it should be noted that the duration on the International Bond Index has almost doubled over the last 10 years. Therefore, if portfolio allocations to international bonds have remained static over the last 10 years, the risk of this allocation has increased along with the total portfolio...
Lastly, it should be noted that the duration on the International Bond Index has almost doubled over the last 10 years. Therefore, if portfolio allocations to international bonds have remained static over the last 10 years, the risk of this allocation has increased along with the total portfolio...
Empirically, we apply the model to forecast US bond risk premia, and find that the observed macroeconomic characteristics contain strong explanatory powers of the factors. The gain of forecast is more substantial when these characteristics are incorporated to estimate the common factors than directly ...
The traded securities include the risk-free rate, four stock-market factors (Fama and French (1992), Carhart (1997)) and two bond-market factors proxied, respectively, by: (i) the one-month T-bill (from Kenneth French’s website), denoted by RF, (ii) the excess return (in excess ...