-
Notifications
You must be signed in to change notification settings - Fork 1
/
ref_these.bib.bak
2180 lines (2066 loc) · 98 KB
/
ref_these.bib.bak
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
884
885
886
887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
943
944
945
946
947
948
949
950
951
952
953
954
955
956
957
958
959
960
961
962
963
964
965
966
967
968
969
970
971
972
973
974
975
976
977
978
979
980
981
982
983
984
985
986
987
988
989
990
991
992
993
994
995
996
997
998
999
1000
% This file was created with JabRef 2.7.2.
% Encoding: Cp1252
@TECHREPORT{adrian_2009,
author = {Tobias Adrian and Hao Wu},
title = {The term structure of inflation expectations},
institution = {Federal Reserve Bank of New York},
year = {2009},
type = {Staff Reports},
number = {362},
abstract = {We present estimates of the term structure of inflation expectations,
derived from an affine model of real and nominal yield curves. The
model features stochastic covariation of inflation with the real
pricing kernel, enabling us to extract a time-varying inflation risk
premium. We fit the model not only to yields, but also to the yields'
variance-covariance matrix, thus increasing identification power.
We find that model-implied inflation expectations can differ substantially
from break-even inflation rates when market volatility is high. Our
model's ability to be updated weekly makes it suitable for real-time
monetary policy analysis.},
keywords = {Inflation risk ; Asset pricing ; Financial markets ; Stochastic analysis},
url = {http://ideas.repec.org/p/fip/fednsr/362.html}
}
@ARTICLE{ahn_2004,
author = {Ahn, Dong-Hyun},
title = {Common Factors and Local Factors: Implications for Term Structures
and Exchange Rates},
journal = {Journal of Financial and Quantitative Analysis},
year = {2004},
volume = {39},
pages = {69-102},
number = {01},
month = {March},
abstract = {No abstract is available for this item.},
url = {http://ideas.repec.org/a/cup/jfinqa/v39y2004i01p69-102_00.html}
}
@ARTICLE{ahn_2002,
author = {Ahn, Dong-Hyun and Dittmar, Robert F. and Gallant, A. Ronald},
title = {Quadratic Term Structure Models: Theory and Evidence.},
journal = {Review of Financial Studies},
year = {2002},
owner = {sarah},
timestamp = {2014.07.27}
}
@ARTICLE{almeida_2008,
author = {Almeida, Caio and Vicente, José},
title = {The role of no-arbitrage on forecasting: Lessons from a parametric
term structure model},
journal = {Journal of Banking \& Finance},
year = {2008},
volume = {32},
pages = {2695-2705},
number = {12},
month = {December},
abstract = {Parametric term structure models have been successfully applied to
numerous problems in fixed income markets, including pricing, hedging,
managing risk, as well as to the study of monetary policy implications.
In turn, dynamic term structure models, equipped with stronger economic
structure, have been mainly adopted to price derivatives and explain
empirical stylized facts. In this paper, we combine flavors of those
two classes of models to test whether no-arbitrage affects forecasting.
We construct cross-sectional (allowing arbitrages) and arbitrage-free
versions of a parametric polynomial model to analyze how well they
predict out-of-sample interest rates. Based on US Treasury yield
data, we find that no-arbitrage restrictions significantly improve
forecasts. Arbitrage-free versions achieve overall smaller biases
and root mean square errors for most maturities and forecasting horizons.
Furthermore, a decomposition of forecasts into forward-rates and
holding return premia indicates that the superior performance of
no-arbitrage versions is due to a better identification of bond risk
premium.},
keywords = { Dynamic models No-arbitrage Forecasting Bond risk premia},
url = {http://ideas.repec.org/a/eee/jbfina/v32y2008i12p2695-2705.html}
}
@TECHREPORT{andersen_2007,
author = {Torben G. Andersen and Luca Benzoni},
title = {Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification
test for Affine Term Structure Models},
institution = {National Bureau of Economic Research},
year = {2007},
type = {Working Paper},
number = {12962},
month = {March},
abstract = {We investigate whether bonds span the volatility risk in the U.S.
Treasury market, as predicted by most 'affine' term structure models.
To this end, we construct powerful and model-free empirical measures
of the quadratic yield variation for a cross-section of fixed-maturity
zero-coupon bonds ("realized yield volatility") through the use of
high-frequency data. We find that the yield curve fails to span yield
volatility, as the systematic volatility factors are largely unrelated
to the cross-section of yields. We conclude that a broad class of
affine diffusive, Gaussian-quadratic and affine jump-diffusive models
is incapable of accommodating the observed yield volatility dynamics.
An important implication is that the bond markets per se are incomplete
and yield volatility risk cannot be hedged by taking positions solely
in the Treasury bond market. We also advocate using the empirical
realized yield volatility measures more broadly as a basis for specification
testing and (parametric) model selection within the term structure
literature.},
doi = {10.3386/w12962},
series = {Working Paper Series},
url = {http://www.nber.org/papers/w12962}
}
@ARTICLE{anderson_2010,
author = {Anderson, Bing and Hammond, Peter J. and Ramezani, Cyrus A.},
title = {Affine Models of the Joint Dynamics of Exchange Rates and Interest
Rates},
journal = {Journal of Financial and Quantitative Analysis},
year = {2010},
volume = {45},
pages = {1341-1365},
number = {05},
month = {October},
abstract = {No abstract is available for this item.},
url = {http://ideas.repec.org/a/cup/jfinqa/v45y2010i05p1341-1365_00.html}
}
@ARTICLE{piazzesi_taylor_2007,
author = {Andrew Ang and Sen Dong and Monika Piazzesi},
title = {No-arbitrage Taylor rules},
journal = {Proceedings},
year = {2005},
abstract = {We estimate Taylor (1993) rules and identify monetary policy shocks
using no-arbitrage pricing techniques. Long-term interest rates are
risk-adjusted expected values of future short rates and thus provide
strong over-identifying restrictions about the policy rule used by
the Federal Reserve. The no-arbitrage framework also accommodates
backward-looking and forward-looking Taylor rules. We find that inflation
and GDP growth account for over half of the time-variation of yield
levels and we attribute almost all of the movements in the term spread
to inflation. Taylor rules estimated with no-arbitrage restrictions
differ substantially from Taylor rules estimated by OLS and monetary
policy shocks identified with no-arbitrage techniques are less volatile
than their OLS counterparts.},
keywords = {Taylor's rule ; Fiscal policy ; Monetary policy},
url = {http://ideas.repec.org/a/fip/fedfpr/y2005x14.html}
}
@ARTICLE{piazzesi_2003,
author = {Ang, Andrew and Piazzesi, Monika},
title = {A no-arbitrage vector autoregression of term structure dynamics with
macroeconomic and latent variables},
journal = {Journal of Monetary Economics},
year = {2003},
volume = {50},
pages = {745-787},
number = {4},
month = {May},
abstract = {This paper describes the joint dynamics of bond yields and macroeconomic
variables in a Vector Autoregression, where identifying restrictions
are based on the absence of arbitrage. Using a term structure model
with inflation and economic growth factors, we investigate how macro
variables affect bond prices and the dynamics of the yield curve.
The setup accommodates higher order autoregressive lags for the macro
factors. The macro variables are augmented by traditional unobserved
term structure factors. We find that the forecasting performance
of a VAR improves when no-arbitrage restrictions are imposed. Models
that incorporate macro factors forecast better than traditional term
structure models with only unobservable factors. Variance decompositions
show that macro factors explain up to 85\% of the variation in bond
yields. Macro factors primarily explain movements at the short end
and middle of the yield curve while unobservable factors still account
for most of the movement at the long end of the yield curve.<P>(This
abstract was borrowed from another version of this item.)},
url = {http://ideas.repec.org/a/eee/moneco/v50y2003i4p745-787.html}
}
@TECHREPORT{aruoba_2010,
author = {S. Boragan Aruoba and Francis X. Diebold},
title = {Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and
Interactions},
institution = {National Bureau of Economic Research},
year = {2010},
type = {Working Paper},
number = {15657},
month = {January},
abstract = {We sketch a framework for monitoring macroeconomic activity in real-time
and push it in new directions. In particular, we focus not only on
real activity, which has received most attention to date, but also
on inflation and its interaction with real activity. As for the recent
recession, we find that (1) it likely ended around July 2009; (2)
its most extreme aspects concern a real activity decline that was
unusually long but less unusually deep, and an inflation decline
that was unusually deep but brief; and (3) its real activity and
inflation interactions were strongly positive, consistent with an
adverse demand shock.},
doi = {10.3386/w15657},
series = {Working Paper Series},
url = {http://www.nber.org/papers/w15657}
}
@ARTICLE{backus_2001,
author = {David K. Backus},
title = {Affine Term Structure Models and the Forward Premium Anomaly},
journal = {Journal of Finance},
year = {2001},
volume = {56},
pages = {279-304},
number = {1},
month = {02},
abstract = { One of the most puzzling features of currency prices is the \"forward
premium anomaly\": the tendency for high interest rate currencies
to appreciate. We characterize the anomaly in the context of affine
models of the term structure of interest rates. In affine models,
the anomaly requires either that state variables have asymmetric
effects on state prices in different currencies or that nominal interest
rates take on negative values with positive probability. We find
the quantitative properties of either alternative to have important
shortcomings. Copyright The American Finance Association 2001.},
url = {http://ideas.repec.org/a/bla/jfinan/v56y2001i1p279-304.html}
}
@ARTICLE{bakshi_1997,
author = { Bakshi, Gurdip S and Chen, Zhiwu},
title = { Equilibrium Valuation of Foreign Exchange Claims},
journal = {Journal of Finance},
year = {1997},
volume = {52},
pages = {799-826},
number = {2},
month = {June},
abstract = { This article studies the equilibrium valuation of foreign exchange
contingent claims. Within a continuous-time Lucas (1982) two-country
model, exchange rates, interest rates, and, in particular, factor
risk prices are all endogenously and jointly determined. This guarantees
the internal consistency of these price processes with a general
equilibrium. In the same model, closed-form valuation formulas are
presented for currency options and currency futures options. Common
to these formulas is that stochastic volatility and stochastic interest
rates are admitted. Hedge ratios and other comparative statics are
also provided analytically. It is shown that most existing currency
option models are included as special cases. Copyright 1997 by American
Finance Association.},
url = {http://ideas.repec.org/a/bla/jfinan/v52y1997i2p799-826.html}
}
@ARTICLE{bansal_1997,
author = {Bansal, Ravi},
title = {An Exploration of the Forward Premium Puzzle in Currency Markets},
journal = {Review of Financial Studies},
year = {1997},
volume = {10},
pages = {369-403},
number = {2},
abstract = { A standard empirical finding is that expected changes in exchange
rates and interest rate differentials across countries are negatively
related, implying that uncovered interest rate parity is violated
in the data. This article provides new empirical evidence that suggests
that violations of uncovered interest rate parity, and its economic
implications, depend on the sign of the interest rate differentially.
A framework related to term structure models is developed to account
for the puzzling relationship between expected changes in exchange
rates and interest rate differentials. Estimation results suggest
that a particular term structure model can account for the puzzling
empirical evidence. Article published by Oxford University Press
on behalf of the Society for Financial Studies in its journal, The
Review of Financial Studies.},
url = {http://ideas.repec.org/a/oup/rfinst/v10y1997i2p369-403.html}
}
@ARTICLE{bansal_2000,
author = {Bansal, Ravi and Dahlquist, Magnus},
title = {The forward premium puzzle: different tales from developed and emerging
economies},
journal = {Journal of International Economics},
year = {2000},
volume = {51},
pages = {115-144},
number = {1},
month = {June},
abstract = {In this paper we document new results regarding the forward premium
puzzle. The often found negative correlation between the expected
currency depreciation and interest rate differential is, contrary
to popular belief, not a pervasive phenomenon. It is confined to
developed economies, and here only to states where the U.S. interest
rate exceeds foreign interest rates. Furthermore, we find that differences
across economies are systematically related to per capita GNP, average
inflation rates, and inflation volatility. Our empirical work suggests
that it is hard to justify the cross-sectional differences in the
risk premia as compensation for systematic risk. Instead, country-specific
attributes seem to be important in characterizing the cross-sectional
dispersion in the risk premia.<P>(This abstract was borrowed from
another version of this item.)},
url = {http://ideas.repec.org/a/eee/inecon/v51y2000i1p115-144.html}
}
@TECHREPORT{bauer_2012,
author = {Gregory H. Bauer and Antonio Diez de los Rios},
title = {An International Dynamic Term Structure Model with Economic Restrictions
and Unspanned Risks},
institution = {Bank of Canada},
year = {2012},
type = {Working Papers},
number = {12-5},
abstract = {We construct a multi-country affine term structure model that contains
unspanned macroeconomic and foreign exchange risks. The canonical
version of the model is derived and is shown to be easy to estimate.
We show that it is important to impose restrictions (including global
asset pricing, carry trade fundamentals and maximal Sharpe ratios)
on the prices of risk to obtain plausible decompositions of forward
curves. The forecasts of interest rates and exchange rates from the
restricted model match those from international survey data. Unspanned
macroeconomic variables are important drivers of international term
and foreign exchange risk premia as well as expected exchange rate
changes.},
keywords = {Asset Pricing; Exchange rates; Interest rates},
url = {http://ideas.repec.org/p/bca/bocawp/12-5.html}
}
@ARTICLE{bekaert_1996,
author = {Bekaert, Geert},
title = {The Time Variation of Risk and Return in Foreign Exchange Markets:
A General Equilibrium Perspective},
journal = {Review of Financial Studies},
year = {1996},
volume = {9},
pages = {427-70},
number = {2},
abstract = { This article successively introduces variable velocity, durability,
and habit persistence in a standard two-country general equilibrium
model and explores their effects on the variability of exchange rate
changes, forward premiums, and the foreign exchange risk premium.
A new feature of the model is that agents make decisions at a weekly
frequency and face conditionally heteroskedastic shocks. Nevertheless,
even the most complex model fails to deliver sufficiently variable
risk premiums without causing forward premiums and exchange rates
to be excessively variable. Unlike previous models, the model can
roughly match the persistence of forward premiums. Article published
by Oxford University Press on behalf of the Society for Financial
Studies in its journal, The Review of Financial Studies.},
owner = {sarah},
timestamp = {2014.05.31},
url = {http://ideas.repec.org/a/oup/rfinst/v9y1996i2p427-70.html}
}
@ARTICLE{bekaert_1993,
author = {Bekaert, Geert and Hodrick, Robert J.},
title = {On biases in the measurement of foreign exchange risk premiums},
journal = {Journal of International Money and Finance},
year = {1993},
volume = {12},
pages = {115-138},
number = {2},
month = {April},
abstract = {The hypothesis that the forward rate is an unbiased predictor of the
future spot rate has been consistently rejected in recent empirical
studies. This paper examines several sources of measurement error
and misspecification that might induce biases in such studies. Although
previous inferences are shown to be robust to a failure to construct
true returns and to omitted variable bias arising from conditional
heteroskedasticity in spot rates, we show that the parameters were
not stable over the 1975-1989 sample period. Estimation that allows
for endogenous regime shifts in the parameters demonstrates that
deviations from unbiasedness were more severe in the 1980's.<P>(This
abstract was borrowed from another version of this item.)},
url = {http://ideas.repec.org/a/eee/jimfin/v12y1993i2p115-138.html}
}
@MISC{sorensen_,
author = {Bo Martin Bibby and Martin Jacobsen and Michael Sørensen},
title = {Estimating Functions for Discretely Sampled Diffusion-Type Models},
year = {2003}
}
@ARTICLE{chernov_2010,
author = {Bikbov, Ruslan and Chernov, Mikhail},
title = {No-arbitrage macroeconomic determinants of the yield curve},
journal = {Journal of Econometrics},
year = {2010},
volume = {159},
pages = {166-182},
number = {1},
month = {November},
abstract = {No-arbitrage macro-finance models use variance decompositions to gauge
the extent of association between the macro variables and yields.
We show that results generated by this approach are sensitive to
the order of variables in the recursive identification scheme. In
a four-factor model, one may obtain 18 different sets of answers
out of 24 possible. We propose an alternative measure that is based
on levels of macro variables as opposed to shocks. We account for
the correlation between the macro and latent factors via projection
of the latter onto the former. As a result, the association between
macro variables and yields can be computed uniquely via an R2. Macro
variables explain 80\% of the variation in the short rate and 50\%
of the slope, and 54\% to 68\% of the term premia.},
keywords = { Macro-finance models Term structure Variance decomposition Kalman
filter},
url = {http://ideas.repec.org/a/eee/econom/v159y2010i1p166-182.html}
}
@ARTICLE{black_1995,
author = {Black, Fischer},
title = {Interest Rates as Options},
journal = {The Journal of Finance},
year = {1995},
volume = {50},
pages = {1371--1376},
number = {5},
doi = {10.1111/j.1540-6261.1995.tb05182.x},
issn = {1540-6261},
publisher = {Blackwell Publishing Ltd},
url = {http://dx.doi.org/10.1111/j.1540-6261.1995.tb05182.x}
}
@TECHREPORT{brandt_2002,
author = {Michael W. Brandt and Pedro Santa-Clara},
title = {Simulated Likelihood Estimation of Diffusions with an Application
to Exchange Rate Dynamics in Incomplete Markets},
institution = {National Bureau of Economic Research, Inc},
year = {2001},
type = {NBER Technical Working Papers},
number = {0274},
month = Aug,
abstract = {We present an econometric method for estimating the parameters of
a diffusion model from discretely sampled data. The estimator is
transparent, adaptive, and inherits the asymptotic properties of
the generally unattainable maximum likelihood estimator. We use this
method to estimate a new continuous-time model of the Joint dynamics
of interest rates in two countries and the exchange rate between
the two currencies. The model allows financial markets to be incomplete
and specifies the degree of incompleteness as a stochastic process.
Our empirical results offer several new insights into the dynamics
of exchange rates.},
owner = {sarah},
timestamp = {2014.05.31},
url = {http://ideas.repec.org/p/nbr/nberte/0274.html}
}
@ARTICLE{brennan_equity_2004,
author = {Brennan, Michael J. and Wang, Ashley W. and Xia, Yihong},
title = {Estimation and Test of a Simple Model of Intertemporal Capital Asset
Pricing},
journal = {The Journal of Finance},
year = {2004},
volume = {59},
pages = {1743--1776},
number = {4},
doi = {10.1111/j.1540-6261.2004.00678.x},
issn = {1540-6261},
owner = {sarah},
publisher = {Blackwell Science Inc},
timestamp = {2014.05.31},
url = {http://dx.doi.org/10.1111/j.1540-6261.2004.00678.x}
}
@ARTICLE{brennan_2006,
author = {Brennan, Michael J and Xia, Yihong},
title = {International Capital Markets and Foreign Exchange Risk},
journal = {The Review of Financial Studies},
year = {2006},
volume = {19},
pages = {753-795},
number = {3},
month = {Fall}
}
@ARTICLE{buraschi_2005,
author = {Buraschi, Andrea and Jiltsov, Alexei},
title = {Inflation risk premia and the expectations hypothesis},
journal = {Journal of Financial Economics},
year = {2005},
volume = {75},
pages = {429-490},
number = {2},
month = {February},
abstract = {No abstract is available for this item.},
owner = {sarah},
timestamp = {2013.06.24},
url = {http://ideas.repec.org/a/eee/jfinec/v75y2005i2p429-490.html}
}
@ARTICLE{campbell_1991,
author = {Campbell, John Y and Shiller, Robert J},
title = {Yield Spreads and Interest Rate Movements: A Bird's Eye View},
journal = {Review of Economic Studies},
year = {1991},
volume = {58},
pages = {495-514},
number = {3},
month = {May},
abstract = { This paper examines postwar U.S. term structure data and finds that,
for almost any combination of maturities between one month and ten
years, a high-yield spread between a longer-term and a shorter-term
interest rate forecasts rising shorter-term interest rates over the
long term, but a declining yield on the longer-term bond over the
short term. This pattern is inconsistent with the expectations theory
of the term structure, but is consistent with a model in which the
spread is proportional to the value implied by the expectations theory.
Copyright 1991 by The Review of Economic Studies Limited.},
url = {http://ideas.repec.org/a/bla/restud/v58y1991i3p495-514.html}
}
@ARTICLE{campbell_2003,
author = {John Y. Campbell and Glen B. Taksler},
title = {Equity Volatility and Corporate Bond Yields},
journal = {Journal of Finance},
year = {2003},
volume = {58},
pages = {2321-2350},
number = {6},
month = {December},
abstract = { This paper explores the effect of equity volatility on corporate
bond yields. Panel data for the late 1990s show that idiosyncratic
firm-level volatility can explain as much cross-sectional variation
in yields as can credit ratings. This finding, together with the
upward trend in idiosyncratic equity volatility documented by Campbell,
Lettau, Malkiel, and Xu (2001) , helps to explain recent increases
in corporate bond yields. Copyright 2003 by the American Finance
Association.},
url = {http://ideas.repec.org/a/bla/jfinan/v58y2003i6p2321-2350.html}
}
@ARTICLE{carriero_2011,
author = {Andrea Carriero},
title = {Forecasting The Yield Curve Using Priors From No-Arbitrage Affine
Term Structure Models},
journal = {International Economic Review},
year = {2011},
volume = {52},
pages = {425-459},
number = {2},
month = {05},
abstract = { In this paper we propose a strategy for forecasting the term structure
of interest rates which may produce significant gains in predictive
accuracy. The key idea is to use the restrictions implied by Affine
Term Structure Models (ATSM) on a vector autoregression (VAR) as
prior information rather than imposing them dogmatically. This allows
to account for possible model misspecification. We apply the method
to a system of five US yields, and we find that the gains in predictive
accuracy can be substantial. In particular, for horizons longer than
1-step ahead, our proposed method produces systematically better
forecasts than those obtained by using a pure ATSM or an unrestricted
VAR, and it also outperforms very competitive benchmarks as the Minnesota
prior, the Diebold-Li (2006) model, and the random walk.<P>(This
abstract was borrowed from another version of this item.)},
url = {http://ideas.repec.org/a/ier/iecrev/v52y2011i2p425-459.html}
}
@TECHREPORT{chen_2003,
author = {Li Chen and Damir Filipovic},
title = {Credit Derivatives in an Affine Framework},
institution = {EconWPA},
year = {2003},
type = {Finance},
number = {0307002},
month = Jul,
abstract = {We develop a general and efficient method for valuating credit derivatives
based on multiple entities in an affine framework. This includes
interdependence of market and credit risk, joint credit migration
and counterparty default risk of multiple firms. As an application
we provide closed form expressions for the joint distribution of
default times, default correlations, and credit default spreads in
the presence of counterparty default risk.},
keywords = {credit derivatives; joint default correlation; affine models},
url = {http://ideas.repec.org/p/wpa/wuwpfi/0307002.html}
}
@ARTICLE{chen_2005,
author = {Chen, Ren-Raw and Liu , Bo and Cheng, Xiaolin},
title = {Inflation, Fisher Equation, and the Term Structure of Inflation Risk
Premia: Theory and Evidence from TIPS},
year = {2005},
owner = {sarah},
timestamp = {2013.07.13}
}
@ARTICLE{chen_1995,
author = {Ren-Raw Chen and Louis Scott},
title = {Interest Rate Options in Multifactor Cox-Ingersoll-Ross Models of
the Term Structure},
journal = {The Journal of Derivatives},
year = {1995},
volume = {3},
pages = {53-72},
number = {2},
month = {Winter}
}
@ARTICLE{cheridito_2004,
author = {Patrick Cheridito and Damir Filipovic and Robert L. Kimmel},
title = {Market price of risk specifications for affine models: Theory and
evidence},
journal = {Journal of Financial Economics},
year = {2007},
volume = {83},
pages = {123--170},
doi = {10.1016/j.jfineco.2005.09.008},
issue = {1},
masid = {10248583}
}
@ARTICLE{chevnov_2012,
author = {Chernov, Mikhail and Mueller, Philippe},
title = {The term structure of inflation expectations},
journal = {Journal of Financial Economics},
year = {2012},
volume = {106},
pages = {367-394},
number = {2},
abstract = {We use information in the term structure of survey-based forecasts
of inflation to estimate a factor hidden in the nominal yield curve.
We construct a model that accommodates forecasts over multiple horizons
from multiple surveys and Treasury real and nominal yields by allowing
for differences between risk-neutral, subjective, and objective probability
measures. We establish that model-based inflation expectations are
driven by inflation, output, and one latent factor. We find that
this factor affects inflation expectations at all horizons but has
almost no effect on the nominal yields; that is, the latent factor
is hidden. We show that this hidden factor is not related to either
current and past inflation or the standard set of macro variables
studied in the literature. Consistent with the theoretical property
of a hidden factor, our model outperforms a standard macro-finance
model in its forecasting of inflation and yields.},
keywords = {Affine term structure models; Macro factors; Hidden factors; Survey
forecasts},
owner = {sarah},
timestamp = {2013.06.24},
url = {http://ideas.repec.org/a/eee/jfinec/v106y2012i2p367-394.html}
}
@ARTICLE{cdr_2011,
author = {Christensen, Jens H.E. and Diebold, Francis X. and Rudebusch, Glenn
D.},
title = {The affine arbitrage-free class of Nelson-Siegel term structure models},
journal = {Journal of Econometrics},
year = {2011},
volume = {164},
pages = {4-20},
number = {1},
month = {September},
abstract = {We derive the class of affine arbitrage-free dynamic term structure
models that approximate the widely used Nelson-Siegel yield curve
specification. These arbitrage-free Nelson-Siegel (AFNS) models can
be expressed as slightly restricted versions of the canonical representation
of the three-factor affine arbitrage-free model. Imposing the Nelson-Siegel
structure on the canonical model greatly facilitates estimation and
can improve predictive performance. In the future, AFNS models appear
likely to be a useful workhorse representation for term structure
research.},
keywords = { Yield curve Interest rate Bond market Factor model Forecasting},
url = {http://ideas.repec.org/a/eee/econom/v164y2011i1p4-20.html}
}
@TECHREPORT{christensen_2013,
author = {Jens H.E. Christensen and Glenn D. Rudebusch},
title = {Estimating shadow-rate term structure models with near-zero yields},
institution = {Federal Reserve Bank of San Francisco},
year = {2013},
type = {Working Paper Series},
number = {2013-07},
abstract = {Standard Gaussian term structure models have often been criticized
for not ruling out negative nominal interest rates, but this flaw
has been especially conspicuous with interest rates near zero in
many countries. We provide a tractable means to estimate an alternative
Gaussian shadow-rate dynamic term structure model that enforces the
zero lower bound on bond yields. We illustrate this model by estimating
one-, two-, and three-factor shadow-rate models on a sample of positive
and near-zero Japanese bond yields. We find that the level of the
shadow rate is sensitive to model fit and specification, including
the number of factors employed.},
keywords = {Interest rates ; Econometric models},
url = {http://ideas.repec.org/p/fip/fedfwp/2013-07.html}
}
@UNPUBLISHED{christensen_2012,
author = {Jens H.E. Christensen and Glenn D. Rudebusch},
title = {The response of interest rates to U.S. and U.K. quantitative easing},
year = {2012},
abstract = {We analyze the declines in government bond yields that followed the
announcements of plans by the Federal Reserve and the Bank of England
to buy longer-term government debt. Using empirical dynamic term
structure models, we decompose these declines into changes in expectations
about future monetary policy and changes in term premiums. We find
that declines in U.S. Treasury yields mainly reflected lower policy
expectations, while declines in U.K. yields appeared to reflect reduced
term premiums. Thus, the relative importance of the signaling and
portfolio balance channels of quantitative easing may depend on market
institutional structures and central bank communications policies.},
institution = {Federal Reserve Bank of San Francisco},
keywords = {Monetary policy},
number = {2012-06},
type = {Working Paper Series},
url = {http://ideas.repec.org/p/fip/fedfwp/2012-06.html}
}
@ARTICLE{christensen_2009,
author = {Jens H. E. Christensen and Francis X. Diebold and Glenn D. Rudebusch},
title = {An arbitrage-free generalized Nelson--Siegel term structure model},
journal = {Econometrics Journal},
year = {2009},
volume = {12},
pages = {C33-C64},
number = {3},
month = {November},
abstract = { The Svensson generalization of the popular Nelson--Siegel term structure
model is widely used by practitioners and central banks. Unfortunately,
like the original Nelson--Siegel specification, this generalization,
in its dynamic form, does not enforce arbitrage-free consistency
over time. Indeed, we show that the factor loadings of the Svensson
generalization cannot be obtained in a standard finance arbitrage-free
affine term structure representation. Therefore, we introduce a closely
related generalized Nelson--Siegel model on which the no-arbitrage
condition can be imposed. We estimate this new AFGNS model and demonstrate
its tractability and good in-sample fit. Copyright The Author(s).
Journal compilation Royal Economic Society 2009},
url = {http://ideas.repec.org/a/ect/emjrnl/v12y2009i3pc33-c64.html}
}
@ARTICLE{christensen_2010,
author = {Jens H. E. Christensen and Jose A. Lopez and Glenn D. Rudebusch},
title = {Inflation Expectations and Risk Premiums in an Arbitrage-Free Model
of Nominal and Real Bond Yields},
journal = {Journal of Money, Credit and Banking},
year = {2010},
volume = {42},
pages = {143-178},
number = {s1},
month = {09},
abstract = { Differences between yields on comparable-maturity U.S. Treasury nominal
and real debt, the so-called breakeven inflation (BEI) rates, are
widely used indicators of inflation expectations. However, better
measures of inflation expectations could be obtained by subtracting
inflation risk premiums (IRP) from the BEI rates. We provide such
decompositions using an affine arbitrage-free model of the term structure
that captures the pricing of both nominal and real Treasury securities.
Our empirical results suggest that long-term inflation expectations
have been well anchored over the past few years, and IRP, although
volatile, have been close to zero on average. Copyright (c) 2010
The Ohio State University No claim to original US government works.},
url = {http://ideas.repec.org/a/mcb/jmoncb/v42y2010is1p143-178.html}
}
@TECHREPORT{christensen_lopez_2010,
author = {Jens H. E. Christensen and Jose A. Lopez and Glenn D. Rudebusch},
title = {Can Spanned Term Structure Factors Drive Stochastic Volatility?},
institution = {Federal Reserve Bank of San Francisco},
year = {2010},
type = {unpublished work},
owner = {sarah},
timestamp = {2014.05.31}
}
@TECHREPORT{pesaran_2014,
author = {Chudik, Alexander and Pesaran, M. Hashem},
title = {Theory and practice of GVAR modeling},
institution = {Federal Reserve Bank of Dallas},
year = {2014},
type = {Globalization and Monetary Policy Institute Working Paper},
number = {180},
month = May,
abstract = {The Global Vector Autoregressive (GVAR) approach has proven to be
a very useful approach to analyze interactions in the global macroeconomy
and other data networks where both the cross-section and the time
dimensions are large. This paper surveys the latest developments
in the GVAR modeling, examining both the theoretical foundations
of the approach and its numerous empirical applications. We provide
a synthesis of existing literature and highlight areas for future
research.},
keywords = {Global Vector Autoregressive; global macroeconomy},
url = {http://ideas.repec.org/p/fip/feddgw/180.html}
}
@ARTICLE{chun_2011,
author = {Albert Lee Chun},
title = {Expectations, Bond Yields, and Monetary Policy},
journal = {Review of Financial Studies},
year = {2011},
volume = {24},
pages = {208-247},
number = {1},
abstract = { Through explicitly incorporating analysts' forecasts as observable
factors in a dynamic arbitrage-free model of the yield curve, this
research proposes a framework for studying the impact of shifts in
market sentiment on interest rates of all maturities. An empirical
examination reveals that survey expectations about inflation, output
growth, and the anticipated path of monetary policy actions contain
important information for explaining movements in bond yields. Estimates
from a forward-looking monetary policy rule suggest that the central
bank exhibits a preemptive response to inflationary expectations
while accommodating output growth and monetary policy expectations.
Forecasted GDP growth plays a significant role in explaining time
variation in the market prices of risk. The sensitivity of long yields
is linked to the persistence of expected inflation under the risk-neutral
measure. Models of this type may provide traders and policymakers
with a new set of tools for formally assessing the reaction of bond
yields to shifts in market expectations. The Author 2010. Published
by Oxford University Press on behalf of The Society for Financial
Studies. All rights reserved. For Permissions, please e-mail: [email protected].,
Oxford University Press.},
url = {http://ideas.repec.org/a/oup/rfinst/v24y2011i1p208-247.html}
}
@BOOK{cochrane_ap_2005,
title = {Asset Pricing: (Revised)},
publisher = {Princeton University Press},
year = {2005},
author = {Cochrane, John H.},
month = jan,
abstract = {{<p>Winner of the prestigious Paul A. Samuelson Award for scholarly
writing on lifelong financial security, John Cochrane's Asset Pricing
now appears in a revised edition that unifies and brings the science
of asset pricing up to date for advanced students and professionals.
Cochrane traces the pricing of all assets back to a single idea--price
equals expected discounted payoff--that captures the macro-economic
risks underlying each security's value. By using a single, stochastic
discount factor rather than a separate set of tricks for each asset
class, Cochrane builds a unified account of modern asset pricing.
He presents applications to stocks, bonds, and options. Each model--consumption
based, CAPM, multifactor, term structure, and option pricing--is
derived as a different specification of the discounted factor.</p><p>The
discount factor framework also leads to a state-space geometry for
mean-variance frontiers and asset pricing models. It puts payoffs
in different states of nature on the axes rather than mean and variance
of return, leading to a new and conveniently linear geometrical representation
of asset pricing ideas.</p><p>Cochrane approaches empirical work
with the Generalized Method of Moments, which studies sample average
prices and discounted payoffs to determine whether price does equal
expected discounted payoff. He translates between the discount factor,
GMM, and state-space language and the beta, mean-variance, and regression
language common in empirical work and earlier theory.</p><p>The book
also includes a review of recent empirical work on return predictability,
value and other puzzles in the cross section, and equity premium
puzzles and their resolution. Written to be a summary for academics
and professionals as well as a textbook, this book condenses and
advances recent scholarship in financial economics.</p>}},
citeulike-article-id = {1204955},
citeulike-linkout-0 = {http://home.business.utah.edu/finmll/fin787/papers/cochraneassetpricingbook.pdf},
citeulike-linkout-1 = {http://www.amazon.ca/exec/obidos/redirect?tag=citeulike09-20\&path=ASIN/0691121370},
citeulike-linkout-10 = {http://www.librarything.com/isbn/0691121370},
citeulike-linkout-2 = {http://www.amazon.de/exec/obidos/redirect?tag=citeulike01-21\&path=ASIN/0691121370},
citeulike-linkout-3 = {http://www.amazon.fr/exec/obidos/redirect?tag=citeulike06-21\&path=ASIN/0691121370},
citeulike-linkout-4 = {http://www.amazon.jp/exec/obidos/ASIN/0691121370},
citeulike-linkout-5 = {http://www.amazon.co.uk/exec/obidos/ASIN/0691121370/citeulike00-21},
citeulike-linkout-6 = {http://www.amazon.com/exec/obidos/redirect?tag=citeulike07-20\&path=ASIN/0691121370},
citeulike-linkout-7 = {http://www.worldcat.org/isbn/0691121370},
citeulike-linkout-8 = {http://books.google.com/books?vid=ISBN0691121370},
citeulike-linkout-9 = {http://www.amazon.com/gp/search?keywords=0691121370\&index=books\&linkCode=qs},
day = {03},
howpublished = {Hardcover},
isbn = {0691121370},
posted-at = {2009-01-23 11:15:24},
priority = {2},
url = {http://home.business.utah.edu/finmll/fin787/papers/cochraneassetpricingbook.pdf}
}
@ARTICLE{cochrane_2005,
author = {John H. Cochrane and Monika Piazzesi},
title = {Bond Risk Premia},
journal = {American Economic Review},
year = {2005},
volume = {95},
pages = {138-160},
number = {1},
month = {March},
abstract = {We study time variation in expected excess bond returns. We run regressions
of one-year excess returns on initial forward rates. We find that
a single factor, a single tent-shaped linear combination of forward
rates, predicts excess returns on one- to five-year maturity bonds
with R2 up to 0.44. The return-forecasting factor is countercyclical
and forecasts stock returns. An important component of the return-forecasting
factor is unrelated to the level, slope, and curvature movements
described by most term structure models. We document that measurement
errors do not affect our central results.},
url = {http://ideas.repec.org/a/aea/aecrev/v95y2005i1p138-160.html}
}
@UNPUBLISHED{giannone_,
author = {Laura Coroneo and Domenico Giannone and Michele Modugno},
title = {Spanned and unspanned macro risk in the yield curve},
year = {2012}
}
@ARTICLE{dellacorte_2009,
author = {Pasquale Della Corte and Lucio Sarno and Ilias Tsiakas},
title = {An Economic Evaluation of Empirical Exchange Rate Models},
journal = {Review of Financial Studies},
year = {2009},
volume = {22},
pages = {3491-3530},
number = {9},
month = {September},
abstract = { This paper provides a comprehensive evaluation of the short-horizon
predictive ability of economic fundamentals and forward premiums
on monthly exchange-rate returns in a framework that allows for volatility
timing. We implement Bayesian methods for estimation and ranking
of a set of empirical exchange rate models, and construct combined
forecasts based on Bayesian model averaging. More importantly, we
assess the economic value of the in-sample and out-of-sample forecasting
power of the empirical models, and find two key results: (1) a risk-averse
investor will pay a high performance fee to switch from a dynamic
portfolio strategy based on the random walk model to one that conditions
on the forward premium with stochastic volatility innovations and
(2) strategies based on combined forecasts yield large economic gains
over the random walk benchmark. These two results are robust to reasonably
high transaction costs. The Author 2008. Published by Oxford University
Press on behalf of The Society for Financial Studies. All rights
reserved. For Permissions, please email: [email protected],
Oxford University Press.},
url = {http://ideas.repec.org/a/oup/rfinst/v22y2009i9p3491-3530.html}
}
@ARTICLE{cir_1985,
author = {Cox, John C and Ingersoll, Jonathan E, Jr and Ross, Stephen A},
title = {A Theory of the Term Structure of Interest Rates},
journal = {Econometrica},
year = {1985},
volume = {53},
pages = {385-407},
number = {2},
month = {March},
abstract = {No abstract is available for this item.},
url = {http://ideas.repec.org/a/ecm/emetrp/v53y1985i2p385-407.html}
}
@PHDTHESIS{cuchiero_master,
author = {Cuchiero, Christa},
title = {Affine interest rate models: theory and practice}
}
@PHDTHESIS{cuchiero_phd,
author = {Cuchiero, Christa},
title = {Affine and polynomial processes}
}
@UNPUBLISHED{cuchiero_filipovic_,
author = {Cuchiero, Christa and Filipovic, Damir and Teichmann, Josef},
title = {Affine models}
}
@ARTICLE{cuchiero_polynomial_2012,
author = {Cuchiero, Christa and Keller-Ressel, Martin and Teichmann, Josef},
title = {Polynomial processes and their applications to mathematical finance},
journal = {Finance and Stochastics},
year = {2012},
pages = {1-30},
doi = {10.1007/s00780-012-0188-x},
issn = {0949-2984},
keywords = {Markov processes; Diffusions with jumps; Affine processes; Analytic
tractability; Pricing; Hedging; 60J25; 91B70; C02; G12},
language = {English},
publisher = {Springer-Verlag},
url = {http://dx.doi.org/10.1007/s00780-012-0188-x}
}
@TECHREPORT{damico_2010,
author = {Stefania D'Amico and Don H. Kim and Min Wei},
title = {Tips from TIPS: the informational content of Treasury Inflation-Protected
Security prices},
institution = {Board of Governors of the Federal Reserve System (U.S.)},
year = {2010},
type = {Finance and Economics Discussion Series},
number = {2010-19},
abstract = {TIPS breakeven inflation rate, defined as the difference between nominal
and TIPS yields of comparable maturities, is potentially useful as
a real-time measure of market inflation expectations. In this paper,
we provide evidence that a fairly large TIPS liquidity premium existed
until recently, using a multifactor no-arbitrage term structure model
estimated with nominal and TIPS yields, inflation and survey forecasts
of interest rates. Ignoring the TIPS liquidity premiums leads to
counterintuitive implications for inflation expectations and inflation
risk premium, and produces large pricing errors for TIPS. In contrast,
models incorporating a TIPS liquidity factor generate much better
fit for these variables and reveal a TIPS liquidity premium that
was until recently quite large (~1\%) but has come down in recent
years, consistent with the common perception that TIPS market grew
and liquidity conditions improved. Our results indicate that after
taking proper account of the liquidity conditions in the TIPS market,
the movement in TIPS breakeven inflation rate can provide useful
information for identifying real yields, expected inflation and inflation
risk premium.},
keywords = {Liquidity (Economics) ; Inflation (Finance)},
url = {http://ideas.repec.org/p/fip/fedgfe/2010-19.html}
}
@UNPUBLISHED{dai_le_2006,
author = {Qiang Dai and Anh Le and Kenneth J. Singleton},
title = {Discrete-time dynamic term structure models with generalized market
prices of risk, Working paper},
year = {2006}
}
@ARTICLE{dai_2002,
author = {Dai, Qiang and Singleton, Kenneth J.},
title = {Expectation puzzles, time-varying risk premia, and affine models
of the term structure},
journal = {Journal of Financial Economics},
year = {2002},
volume = {63},
pages = {415-441},
number = {3},
month = {March},
abstract = {No abstract is available for this item.},
url = {http://ideas.repec.org/a/eee/jfinec/v63y2002i3p415-441.html}
}