A Study on the Estimation of Time-varing Risk Premium and the Yield Spread in the Asian Government Bonds Market

2017 ◽  
Vol 14 (3) ◽  
pp. 1-19
Author(s):  
Byung Jo Yoon
Keyword(s):  
Risk Premium ◽  
Yield Spread ◽  
Government Bonds ◽  
Asian Government ◽  
Estimation Of Time

The nineteenth-century US whaling industry: Where is the risk premium? New materials facilitate updated view

2021 ◽  
Vol 33 (2) ◽  
pp. 344-363
Author(s):  
Barbara L. Coffey
Keyword(s):  
Nineteenth Century ◽  
Risk Premium ◽  
Financial Returns ◽  
New Materials ◽  
Government Bonds ◽  
Us Government ◽  
Whaling Industry ◽  
The Mean ◽  
Printed Materials

Materials that were born digital, and printed materials that have been digitized, have aided an updated examination of nineteenth-century US whaling voyages’ financial returns. Items included the American Offshore Whaling Voyages dataset from whalinghistory.org , The Whalemen’s Shipping List and Merchant’s Transcript, a congressman’s speech and a state’s census reports. These works and others, with analysis, showed that for the 11,257 analysable voyages ending in the 1800s, the mean return was 4.7% and 4.6% for whaling and US government bonds, respectively. Ideally, this work will place the nineteenth-century US whaling industry returns in context of other investments.

scholarly journals A Balanced Portfolio Can Have a Higher Geometric Return than the Risky Asset

2021 ◽  
Vol 14 (9) ◽  
pp. 409
Author(s):  
Miriam Arden ◽  
Tiemen Woutersen
Keyword(s):  
Risk Premium ◽  
Large Fraction ◽  
Developed Countries ◽  
Policy Implications ◽  
Government Bonds ◽  
Stock Portfolios ◽  
Bond Portfolio ◽  
Target Date ◽  
Stock Portfolio ◽  
The U.S

In the U.S., the geometric return on stocks has been higher than the geometric return on bonds over long periods. We study whether balanced portfolios have a larger geometric return (and expected log return) than stock portfolios when the risk premium is low. We use a theoretical model and historical data and find that this is the case. This low-risk premium is often observed in other developed countries. Further, in the past two decades, a balanced portfolio with 70% or 90% invested in the U.S. stock market (with the remainder invested in U.S. government bonds) performed better than a 100% stock or bond portfolio. The reason for this is that a pure stock portfolio loses a large fraction of its value in a downturn. We show that this result is not driven by outliers, and that it occurs even when the returns are log normally distributed. This result has broad policy implications for the construction of pension systems and target-date mutual funds.

Optimal Portfolios For Different Holding Periods

2010 ◽  
Vol 8 (10) ◽  
Author(s):  
Byeongyong Paul Choi ◽  
Sandip Mukherji
Keyword(s):  
Risk Premium ◽  
Bootstrap Method ◽  
Investment Horizon ◽  
Financial Assets ◽  
Small Company ◽  
Optimal Portfolios ◽  
Treasury Bills ◽  
Government Bonds ◽  
Holding Period ◽  
Random Samples

<p class="MsoBodyText" style="text-align: justify; line-height: normal; margin: 0in 0.5in 0pt; mso-pagination: none;"><span style="color: black; font-size: 10pt; mso-themecolor: text1;"><span style="font-family: Times New Roman;">This study uses a block bootstrap method to construct random samples of returns of six major financial assets and identifies optimal portfolios for three different objectives relating to risk and return for short, medium, and long holding periods. Optimal portfolios minimizing risk consist solely of Treasury Bills and small company stocks for all periods, with an increasing allocation to small company stocks as the investment horizon lengthens. Optimal portfolios minimizing risk relative to return, as well as those maximizing the risk premium relative to risk, contain intermediate-term government bonds and stocks for all horizons, and the proportions of stocks in these portfolios increase with the investment horizon, small company stocks becoming the major component of the optimal portfolios for 10 years. These results indicate that, for investors optimizing any of these three objectives, the optimal portfolios contain increasing allocations of riskier assets, and decreasing allocations of safer assets, as the holding period increases.<strong style="mso-bidi-font-weight: normal;"></strong></span></span></p>

Default Risk and the Effects of Fiscal Policy on Interest Rates: 1929–1945

1988 ◽  
Vol 16 (3) ◽  
pp. 357-373
Author(s):  
David Bowles ◽  
Holley Ulbrich ◽  
Myles Wallace
Keyword(s):  
Fiscal Policy ◽  
Interest Rates ◽  
Empirical Evidence ◽  
Risk Premium ◽  
Default Risk ◽  
Corporate Bonds ◽  
Private Investment ◽  
Crowding Out ◽  
Government Bonds ◽  
Macroeconomic Models

Conventional macroeconomic models suggest that expansionary fiscal policy causes higher interest rates, resulting in crowding out of private investment. In this article, we argue that such models ignore the default risk differential between the interest rates on government bonds and corporate bonds. If expansionary fiscal policy causes an expansion in real GNP, default risk falls on corporate bonds. Our model suggests that if the default risk premium falls, (1) corporate interest rates may fall relative to rates on government bonds and (2) private investment is crowded in. We find some supporting empirical evidence of this effect for the period 1929–1945.

scholarly journals A Model of Monetary Transmission Mechanism

2020 ◽  
Author(s):  
Yuuki Maruyama
Keyword(s):  
Interest Rate ◽  
Lower Bound ◽  
Risk Aversion ◽  
Risk Premium ◽  
Market Price ◽  
Zero Lower Bound ◽  
Government Bonds ◽  
Total Investment ◽  
The Interest Rate ◽  
Interest Rate Channel

The point of this model is that total investment in the economy is not determined by the equilibrium of the interest rate alone, but by the equilibrium of both the interest rate and the market price of risk (risk premium). In this model, the lower the discount rate or risk aversion of people, the higher the total investment. This model shows that when the interest rate is not at the zero lower bound, the total investment is only slightly affected by people's risk aversion, but at the zero lower bound, the total investment is inversely proportional to people's risk aversion. In addition, this model is used to analyze monetary policy. It is shown that the interest rate channel and the credit channel can be analyzed with the same formula and the effect of the interest rate channel is small. This explains why a central bank can greatly increase the total investment with small changes in the interest rate. Additionally, this paper analyzes fiscal policy, helicopter money, and government bonds.

Measuring inflation expectations in Russia using stock market data

2017 ◽  
pp. 111-122 ◽  
Author(s):  
M. Zhemkov ◽  
O. Kuznetsova
Keyword(s):  
Stock Market ◽  
Risk Premium ◽  
Liquidity Risk ◽  
Information Policy ◽  
Inflation Expectations ◽  
Government Bonds ◽  
Inflation Risk ◽  
Market Data ◽  
Inflation Risk Premium ◽  
The Difference

This paper is devoted to the measurement of inflation expectations in Russia based on stock market data for the period from July 2015 to December 2016. It calculates the difference between the yields of the nominal and inflation-indexed government bonds and adjusts it to the inflation risk premium and liquidity risk premium to obtain inflation expectations. This net indicator represents inflation expectations of the participants of the stock market. The estimated inflation expectations can be used to analyze the effectiveness of the information policy.

Institutions, Reforms, and Country Risk: Lessons from Japanese Government Debt in the Meiji Era

2000 ◽  
Vol 60 (2) ◽  
pp. 442-467 ◽  
Author(s):  
Nathan Sussman ◽  
Yishay Yafeh
Keyword(s):  
Risk Premium ◽  
Gold Standard ◽  
Perceived Risk ◽  
Country Risk ◽  
Japanese Government ◽  
Government Bonds ◽  
Meiji Era ◽  
Debt Capacity ◽  
Military Victory ◽  
The Military

We investigate the effect of the establishment of modern institutions on the risk premium associated with Japanese government bonds traded in London between 1870 and 1914. While most institutional innovations failed to elicit an immediate market response, the adoption of the gold standard did significantly reduce the perceived risk associated with Japanese bonds. In addition, some geopolitical events, especially the military victory over Russia, improved Japan's debt capacity.

scholarly journals The Impact of Bail-in Risk on Bank Bondholders

2020 ◽  
Vol 15 (9) ◽  
pp. 105
Author(s):  
Lorenzo Gai ◽  
Federica Ielasi ◽  
Martina Mainini
Keyword(s):  
Euro Area ◽  
Risk Premium ◽  
Panel Regression ◽  
Yield Spread ◽  
Regression Analyses ◽  
Secondary Markets ◽  
Using Data ◽  
The Impact

The paper investigates the impact of the bail-in regulation on bank bond secondary markets. Using data on outstanding bonds issued by significant Euro-Area banks, the study carries out pooled panel regression analyses to determine the association between yields of &ldquo;bailinable&rdquo; and &ldquo;bailinable&rdquo; bonds. The paper also analyses the impact of the bail-in tool in relation to bank leverage, which affects the potential severity of losses for bondholders in the case of bail-in. With a sample of 4,855 bonds issued by 45 banks from January 2006 to December 2016, we find an increase in the risk premium for unsecured bonds, and senior unsecured bonds show the greatest effect on yields and yield spread when bail-in regulation came into force. Moreover, a &ldquo;bail-in severity&rdquo; premium, related to bank leverage, is identified.

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