Add to ORKGI estimate a Gaussian two-factor affine term structure model of bond yields for three countries, the United States, the United Kingdom and Germany. I find a considerable time-varying component of excess returns in the data. They are positively correlated with the slope of the term structure and negatively with the short-term policy rate. In addition, the panel clearly indicates to co-movements in the same directions on an international level. When testing the estimated model for the expectations puzzle of the the term structure, at least at one end of the yield curve, this puzzle can be resolved when applying risk-adjusted yield changes
This paper introduces global factors within a FAVAR framework in an empirical affine ter m structu...
Using data for U.S. and Canada, we find evidence of the time-varying nature of risk premia, which ar...
This paper tests the Expectations Hypothesis (EH) of the term structure of interest rates using new ...
The purpose of this study is to extend the empirical research on the term structure dynamics for int...
Thesis (Ph. D.)--University of Washington, 2006.Recent studies by Dai and Singleton (2002), Duffee (...
We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factor...
We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of mode...
This paper estimates the size and dynamics of ination risk premia in the euro area, based on a joint...
The modeling of the term structure dynamics is important for a variety of reasons. Forecasting is a ...
In this paper we model and predict the term structure of US interest rates in a data-rich and unstab...
This paper is an empirical investigation of the predictability and comovement of risk premia in the ...
This paper provides an overview of the analysis of the term structure of interest rates with a speci...
We develop a new way of modeling time variation in term premia, based on the stochastic discount fac...
This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of...
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the dire...
This paper introduces global factors within a FAVAR framework in an empirical affine ter m structu...
Using data for U.S. and Canada, we find evidence of the time-varying nature of risk premia, which ar...
This paper tests the Expectations Hypothesis (EH) of the term structure of interest rates using new ...
The purpose of this study is to extend the empirical research on the term structure dynamics for int...
Thesis (Ph. D.)--University of Washington, 2006.Recent studies by Dai and Singleton (2002), Duffee (...
We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factor...
We forecast the term structure of U.S. Treasury zero-coupon bond yields by analyzing a range of mode...
This paper estimates the size and dynamics of ination risk premia in the euro area, based on a joint...
The modeling of the term structure dynamics is important for a variety of reasons. Forecasting is a ...
In this paper we model and predict the term structure of US interest rates in a data-rich and unstab...
This paper is an empirical investigation of the predictability and comovement of risk premia in the ...
This paper provides an overview of the analysis of the term structure of interest rates with a speci...
We develop a new way of modeling time variation in term premia, based on the stochastic discount fac...
This PhD thesis contains three main chapters on macro finance, with a focus on the term structure of...
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the dire...
This paper introduces global factors within a FAVAR framework in an empirical affine ter m structu...
Using data for U.S. and Canada, we find evidence of the time-varying nature of risk premia, which ar...
This paper tests the Expectations Hypothesis (EH) of the term structure of interest rates using new ...