scholarly journals Nominal term structure and term premia: evidence from Chile

2016 ◽  
Vol 48 (29) ◽  
pp. 2721-2735
Author(s):  
Luis Ceballos ◽  
Alberto Naudon ◽  
Damián Romero
Keyword(s):  
Term Structure ◽  
Nominal Term ◽  
Term Premia

Unspanned Global Macro Risks in Bond Returns

2021 ◽  
Author(s):  
Feng Zhao ◽  
Guofu Zhou ◽  
Xiaoneng Zhu
Keyword(s):  
Term Structure ◽  
Predictive Power ◽  
International Markets ◽  
Bond Markets ◽  
Market Prices ◽  
Macroeconomic Variables ◽  
Bond Returns ◽  
Large Panel ◽  
Term Premia ◽  
Macro Finance

We examine the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macroeconomic variables that are not subject to revisions, we find that global macro factors have predictive power for bond returns unspanned by yield factors. Furthermore, we estimate macro-finance term structure models with the unspanned global macro factors and find that the global macro factors influence the market prices of level and slope risks and induce comovements in forward term premia in global bond markets. This paper was accepted by David Simchi-Levi, finance.

Term Premium Dynamics and the Taylor Rule

2017 ◽  
Vol 07 (04) ◽  
pp. 1750011 ◽  
Author(s):  
Michael Gallmeyer ◽  
Burton Hollifield ◽  
Francisco Palomino ◽  
Stanley Zin
Keyword(s):  
Monetary Policy ◽  
Term Structure ◽  
Taylor Rule ◽  
Exchange Economy ◽  
Bond Pricing ◽  
Time Varying ◽  
Inflation Dynamics ◽  
Term Premium ◽  
Nominal Term

We explore the bond-pricing implications of an exchange economy where preference shocks result in time-varying term premiums in real yields with a Taylor rule determining inflation dynamics and nominal term premiums. We calibrate the model by matching the term structure of the means and volatilities of nominal yields. Unlike a model with exogenous inflation, a Taylor rule matching empirical properties of inflation leads to nominal term premiums that are volatile at long maturities. Increasing monetary policy aggressiveness decreases the level and volatility of nominal yields.

scholarly journals Bond risk premia in consumption‐based models

10.3982/qe887 ◽  
2020 ◽  
Vol 11 (4) ◽  
pp. 1461-1484 ◽  
Author(s):  
Drew D. Creal ◽  
Jing Cynthia Wu
Keyword(s):  
Term Structure ◽  
Time Preference ◽  
Risk Premia ◽  
Recursive Preferences ◽  
Affine Term Structure ◽  
Affine Term Structure Models ◽  
Bond Risk Premia ◽  
Bond Risk ◽  
Term Premia ◽  
Conditional Means

Gaussian affine term structure models attribute time‐varying bond risk premia to changing risk prices driven by the conditional means of the risk factors, while structural models with recursive preferences credit it to stochastic volatility. We reconcile these competing channels by introducing a novel form of stochastic rate of time preference into an otherwise standard model with recursive preferences. Our model is affine and has analytical bond prices making it empirically tractable. We use particle Markov chain Monte Carlo to estimate the model, and find that time variation in bond term premia is predominantly driven by the risk price channel.

scholarly journals Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment

2014 ◽  
Vol 104 (1) ◽  
pp. 323-337 ◽  
Author(s):  
Michael D. Bauer ◽  
Glenn D. Rudebusch ◽  
Jing Cynthia Wu
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Small Sample ◽  
Maximum Likelihood Estimates ◽  
Affine Term Structure ◽  
Term Premium ◽  
Affine Term Structure Models ◽  
International Panel ◽  
Term Premia ◽  
Macroeconomic Determinants

Term premia implied by maximum likelihood estimates of affine term structure models are misleading because of small-sample bias. We show that accounting for this bias alters the conclusions about the trend, cycle, and macroeconomic determinants of the term premia estimated in Wright (2011). His term premium estimates are essentially acyclical, and often just parallel the secular trend in longterm interest rates. In contrast, bias-corrected term premia show pronounced countercyclical behavior, consistent with theoretical and empirical arguments about movements in risk premia. (JEL E31, E43, E52, G12, H63)

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