scholarly journals Consumption Volatility Risk and the Inversion of the Yield Curve

2018 ◽  
Author(s):  
Adriana Grasso ◽  
Filippo Natoli
Keyword(s):  
Yield Curve ◽  
Volatility Risk ◽  
Consumption Volatility

scholarly journals Consumption Volatility Risk and the Inversion of the Yield Curve

2018 ◽  
Author(s):  
Adriana Grasso ◽  
Filippo Natoli
Keyword(s):  
Yield Curve ◽  
Volatility Risk ◽  
Consumption Volatility

scholarly journals Volatility Risk Pass-Through

2021 ◽  
Author(s):  
Riccardo Colacito ◽  
Mariano M Croce ◽  
Yang Liu ◽  
Ivan Shaliastovich
Keyword(s):  
Risk Sharing ◽  
Output Volatility ◽  
Equity Prices ◽  
Volatility Risk ◽  
Consumption Volatility ◽  
Net Exports ◽  
Pass Through ◽  
Average Consumption ◽  
Macroeconomic Aggregates

Abstract We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks to macroeconomic aggregates, equity prices, and currencies. An increase in country’s output volatility is associated with a decrease in its output, consumption, and net exports. The average consumption pass-through is 50% (a 1% increase in output volatility increases consumption volatility by 0.5%) and it increases to 70% for shocks originating in smaller countries. The equity volatility pass-through is larger and in the order of 90%. A novel channel of risk sharing of volatility risks can explain our empirical findings.

Consumption Volatility Risk

2013 ◽  
Vol 68 (6) ◽  
pp. 2589-2615 ◽  
Author(s):  
OLIVER BOGUTH ◽  
LARS-ALEXANDER KUEHN
Keyword(s):  
Volatility Risk ◽  
Consumption Volatility

Consumption Volatility Risk

2011 ◽  
Author(s):  
Oliver Boguth ◽  
Lars-Alexander Kuehn
Keyword(s):  
Volatility Risk ◽  
Consumption Volatility

External Habit in a Production Economy: A Model of Asset Prices and Consumption Volatility Risk

2017 ◽  
Vol 30 (8) ◽  
pp. 2890-2932 ◽  
Author(s):  
Andrew Y. Chen
Keyword(s):  
Asset Prices ◽  
Production Economy ◽  
Volatility Risk ◽  
Consumption Volatility

The Equilibrium Yield Curve for Government Securities

1979 ◽  
Vol 35 (3) ◽  
pp. 31-39 ◽  
Author(s):  
Herbert F. Ayres ◽  
John Y. Barry
Keyword(s):  
Yield Curve ◽  
Equilibrium Yield

Modeling the green bond yield on bond offering

2020 ◽  
Vol 26 (12) ◽  
pp. 2858-2878
Author(s):  
M.I. Emets
Keyword(s):  
Linear Regression ◽  
Yield Curve ◽  
Bond Market ◽  
Third Party ◽  
Bond Pricing ◽  
Market Development ◽  
Fair Price ◽  
Lower Yield ◽  
Yield Curves ◽  
Bond Yield

Subject. The article addresses the green bond pricing as compared to bonds other than green ones. Objectives. The aims are to determine how the fact that a bond is identified as a green one, the issue amount, and the availability of third-party verification, influence the yield to maturity; to make recommendations on effective green bond pricing. Methods. The study employs econometric testing of hypotheses, using the multiple linear regression. The sample includes 318 green and 1695 conventional bonds. Results. Green bonds have a lower yield to maturity in comparison with conventional bonds. The yield to maturity of green bonds with third-party verification is lower, as contrasted with green bonds without verification. Conclusions. The next step in the green bond market development is creating a benchmark yield curve for sovereign green bonds, with parallel issuance of conventional, non-green bonds. The yield curve is crucial for effective bond pricing. Two yield curves, i.e. for green and non-green bonds, will enable investors to estimate the fair price on issuance, as well as to define, if there is a difference in pricing.

The influence of tracking error on volatility risk premium estimation

2007 ◽  
Vol 9 (3) ◽  
pp. 1-36 ◽  
Author(s):  
James Doran
Keyword(s):  
Risk Premium ◽  
Tracking Error ◽  
Volatility Risk ◽  
Volatility Risk Premium
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