Add to ORKGThere is a debate on the excess volatility of long-term bond yields. It is found that whether long-term bond yields are excessively volatile or excessively smooth depends critically on the knowledge of the long-run properties of the short-term interest rate process. Uses a span of 200 years of data on interest rates and finds that the short rates from the USA and the UK are characterized by stationarity after the tests for unit root have accounted for structural breaks. Volatility tests reveal for the whole and sub-sample periods that the long rates are excessively smooth.Bonds, Interest rates, Long-range planning, Tests
Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory ef...
This article demonstrates that long rates exhibit both domestic excess variance and international ex...
Around the turn of the Twentieth century, US and euro area long-term bond yields experienced a remar...
This paper develops and tests restrictions on the variance of innovations in long-term bond yields i...
We develop an almost affine term-structure model with a closed-form solution for factor loadings in ...
We develop an almost affine term-structure model with a closed-form solution for factor loadings in ...
This paper explores time variation in bond risk, as measured by the covariation of bond returns with...
There is strong empirical evidence that risk premia in long-term interest rates are time-varying. Th...
In recent years, US and euro area long-term bond yields experienced a remarkable decline and remaine...
We address two empirical issues related to the long end of the yield curve based on euro swap rates....
In 2004 and 2005, long-term interest rates remained remarkably low despite improving economic condit...
Entre 2004 et 2006, alors que la banque centrale américaine a augmenté ses taux directeurs à chaque ...
We analyse if and to what extent fundamental macroeconomic factors, temporary influences or more str...
This paper estimates a joint econometric model of consumption growth and long-term real interest rat...
The paper documents a persistent and thus far largely overlooked empirical regularity in the yield c...
Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory ef...
This article demonstrates that long rates exhibit both domestic excess variance and international ex...
Around the turn of the Twentieth century, US and euro area long-term bond yields experienced a remar...
This paper develops and tests restrictions on the variance of innovations in long-term bond yields i...
We develop an almost affine term-structure model with a closed-form solution for factor loadings in ...
We develop an almost affine term-structure model with a closed-form solution for factor loadings in ...
This paper explores time variation in bond risk, as measured by the covariation of bond returns with...
There is strong empirical evidence that risk premia in long-term interest rates are time-varying. Th...
In recent years, US and euro area long-term bond yields experienced a remarkable decline and remaine...
We address two empirical issues related to the long end of the yield curve based on euro swap rates....
In 2004 and 2005, long-term interest rates remained remarkably low despite improving economic condit...
Entre 2004 et 2006, alors que la banque centrale américaine a augmenté ses taux directeurs à chaque ...
We analyse if and to what extent fundamental macroeconomic factors, temporary influences or more str...
This paper estimates a joint econometric model of consumption growth and long-term real interest rat...
The paper documents a persistent and thus far largely overlooked empirical regularity in the yield c...
Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory ef...
This article demonstrates that long rates exhibit both domestic excess variance and international ex...
Around the turn of the Twentieth century, US and euro area long-term bond yields experienced a remar...