Haddad, Valentin, and David Sraer, 2015. The banking view of bond risk premia. Discussion paper, .Haddad, V and D Sraer (2015): "The banking view of bond risk premia", Princeton University Working Paper Series, no 07/15, July.Haddad, V. and D. A. Sraer (2018): "The Banking View...
The model is able to reproduce a sizeable risk premium on long-term bonds and the cyclicality of fiscal policy has an impact on the bond premium that is quantitatively important. Technology, government spending, and mark-up shocks are the main drivers of the time-variation in bond premia. ...
Our EMD team continues to favor high-yield issuers over high-grade issuers, and remains strategically overweight in higher-yielding, frontier markets, where we believe the risk premia continue to overcompensate investors for credit risk and volatility. However, we still see scope for fundamental diffe...
In 2023, we witnessed a series of dramatic changes in global capital markets. The United States experienced the banking crisis, and the continued increasing interest rates cumulatively by 100 basis points of the whole year. However, the Nasdaq index surged by an impressive 43.42%, setting a new...
In 2023, we witnessed a series of dramatic changes in global capital markets. The United States experienced the banking crisis, and the continued increasing interest rates cumulatively by 100 basis points of the whole year. However, the Nasdaq index surged by an impressive 43.42%, setting a new...
the bond yields will decline, and bond prices will rally. As an entry point, the market is already responding to that. But I think that is sort of the most straightforward thing this year, is that when inflation comes down, bonds do well. That's the simplest thing to do this year. ...
pass on the higher costs to their customers. Interest rates on consumer borrowing, including mortgage rates, tend to go up. And as short-term interest rates increase, long-term interest rates typically also rise. As this happens, and as the interest rate on the 10-year Treasury bond moves ...
The Fund is generally intended to have a low correlation to the equity, bond and credit markets. The Fund also is not designed to match the performance of any hedge fund index. In order to minimize market impact and reduce trading costs, where applicable, the Fund will utilize a proprietary...
In 2023, we witnessed a series of dramatic changes in global capital markets. The United States experienced the banking crisis, and the continued increasing interest rates cumulatively by 100 basis points of the whole year. However, the Nasdaq index surged by an impressive 43.42%, setting a new...
bond risk premiaemerging marketsfactor extraction methodsout‐of‐sample forecastingIn this paper, we forecast local currency debt of five major emerging market countries (Brazil, Indonesia, Mexico, South Africa, and Turkey) over the period January 2010 to January 2019 (with an in﹕ample period: ...