Add to ORKGThis paper adopts the Constant Maturity Treasury (CMT) issuance and the Treasury Inflation Protected Securities (TIPS) to strip the general credit risk and liquidity risk of bonds. By reclassifying the reinvestment risk as a type of interest risk, we analyze the yield spread of inflation risk and interest rate risk. As TIPS is free of inflation risk, we focus on the source of its unique major risk: interest rate risk. We employ daily data and Granger causality test and Johansen cointegration test to conclude that market sentiment, measured by the Chicago volatility (VIX) series, affects the yield related to interest rate risk significantly. Such impact is persistent in all different term of maturity over 10 years. However, when inflation ri...
This paper attempts to explain the yield spreads charged to new corporate debt issues by comparing t...
This paper studies the market price of credit risk incorporated into one of the most important credi...
Understanding the behaviour of the equity yield and its relation to the bond yield is important for ...
This paper adopts the Constant Maturity Treasury (CMT) issuance and the Treasury Inflation Protected...
This paper explores time variation in bond risk, as measured by the covariation of bond returns with...
We study risk premium in U.S. Treasury bonds. We decompose Treasury yields into inflation expectatio...
The valuation of risky debt is central to theoretical and empirical work in corporate finance. Altho...
The valuation of risky debt is central to theoretical and empirical work in corporate finance. Altho...
I provide empirical evidence of changes in the U.S. Treasury yield curve and related macroeconomic f...
In recent years, monetary policymakers have monitored several meas-ures of market expectations of fu...
In recent years, monetary policymakers have monitored several measures of market expectations of fut...
Less than you think. Macro-finance term structure models rely too heavily on the volatility of expec...
We study risk premium in U.S. Treasury bonds. We decompose Treasury yields into inflation expectatio...
This study examines the significance of risk modelling and asymmetries when researchers test the pop...
In recent years, monetary policymakers have monitored several meas-ures of market expectations of fu...
This paper attempts to explain the yield spreads charged to new corporate debt issues by comparing t...
This paper studies the market price of credit risk incorporated into one of the most important credi...
Understanding the behaviour of the equity yield and its relation to the bond yield is important for ...
This paper adopts the Constant Maturity Treasury (CMT) issuance and the Treasury Inflation Protected...
This paper explores time variation in bond risk, as measured by the covariation of bond returns with...
We study risk premium in U.S. Treasury bonds. We decompose Treasury yields into inflation expectatio...
The valuation of risky debt is central to theoretical and empirical work in corporate finance. Altho...
The valuation of risky debt is central to theoretical and empirical work in corporate finance. Altho...
I provide empirical evidence of changes in the U.S. Treasury yield curve and related macroeconomic f...
In recent years, monetary policymakers have monitored several meas-ures of market expectations of fu...
In recent years, monetary policymakers have monitored several measures of market expectations of fut...
Less than you think. Macro-finance term structure models rely too heavily on the volatility of expec...
We study risk premium in U.S. Treasury bonds. We decompose Treasury yields into inflation expectatio...
This study examines the significance of risk modelling and asymmetries when researchers test the pop...
In recent years, monetary policymakers have monitored several meas-ures of market expectations of fu...
This paper attempts to explain the yield spreads charged to new corporate debt issues by comparing t...
This paper studies the market price of credit risk incorporated into one of the most important credi...
Understanding the behaviour of the equity yield and its relation to the bond yield is important for ...