Fiscal policy driven bond risk premia
WebAbstract. We incorporate regime switching between monetary and fiscal policies in a general equilibrium model to explain three stylized facts: (1) the positive stock-bond return correlation from 1971 to 2000 and the negative one after 2000, (2) the negative correlation between consumption and inflation from 1971 to 2000 and the positive one ... WebCampbell (1999) and Wachter (2006) suggest that bond and equity risk premia should covary with a slow- moving habit driven by shocks to aggregate consumption. Brandt …
Fiscal policy driven bond risk premia
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WebSep 1, 2015 · When estimated, the model highlights a broad range of channels through which monetary policy affects risk premia and the economy, risk premia affect monetary policy and the economy, and... WebThe authors thank Hui Chen, Eric Leeper, Yang Liu, Deborah Lucas, Pengfei Wang, and participants in seminars and conferences at Cheung Kong Graduate School of Business, Tsinghua University’s People’s Bank of China School of …
WebSwitching between monetary and fiscal regimes is incorporated in a general-equilibrium model to explain three stylized facts: (1) a positive correlation of stock and bond returns in 1971–2001 and a negative correlation after 2001, (2) a negative correlation of consumption and inflation in 1971–2001 and a positive correlation after 2001, and (3) … WebErica X.N. Li, Tao Zha, Ji Zhang, and Hao Zhou Working Paper 2024-19 October 2024 Full text . Abstract: We incorporate regime switching between monetary and fiscal policies in …
Credibility improvements reduce the exposure to inflation risk and bond risk … Time-varying bond risk premia in the model are driven by fluctuating economic … This paper studies how rare disasters and uncertainty shocks affect risk premia in … Notes: Principal components of month-end observations of nominal bond yields are … Journal of Financial Economics 18 (1987) 91-110. North-Holland MULTIVARIATE … To illustrate the intuition behind the test, we plot the term structure of term … Research article Full text access Limited liability and investment: Evidence from … WebFiscal policy matters for bond risk premia. Empirically, government spending level and uncertainty predict bond excess returns, as well as term structure level and slope …
Webrole of fiscal institutions. After controlling for institutional changes, fiscal policy remains a significant determinant of risk premia in EMU. Better institutions are connected with …
WebOct 20, 2009 · Without the macro factors, risk premia appear virtually acyclical, whereas with the estimated factors risk premia have a marked countercyclical component, consistent with theories that imply investors must be compensated for risks associated with macroeconomic activity. JEL sia scotland contact numberWebSep 22, 2024 · If it holds true it would greatly simplify forecasting of interest rates and estimation of monetary policy expectations and bond risk premia, as such forecasts and estimates would not require any macroeconomic series, other asset prices or quantities, volatilities, or survey expectations, but only the information in the current yield curve. 2 sias childWebNov 5, 2024 · The literature thus suggests that the intensified sensitivity of sovereign risk premia to loose fiscal policy warrants caution in the use of debt-financed fiscal stimuli in times of economic and debt crises, during which investors are more likely to be risk averse. ... the change in the risk premium was most likely driven by fiscal ... sia scotch meaningWebFiscal policy matters for bond risk premia. Empirically, government spending level and uncertainty predict bond excess returns, as well as term structure level and slope … the people called by my nameWebFiscal policy driven bond risk premia; Save to my profile Fiscal policy driven bond risk premia. Journal. Journal of Financial Economics. Subject. Finance. Publishing details. … sia seafood mealWebpositively correlated with credit risk premia in both corporate bond excess returns and yield spreads; (iii) higher debt-to-GDP ratio is associated with lower real risk-free rates, (iv) higher ... is sizable and its time variation is driven by fiscal uncertainty. Furthermore, the model gener-ates an endogenous relationship between the debt-to ... sia security clothingWebThis paper explores the interactions between yield curve dynamics and nominal government debt maturity operations under fiscal stress in a New Keynesian model with endogenous bond risk premia. Violations of debt maturity neutrality occur when the yield curve slope is nonzero in a fiscally-led policy regime. sia / sean paul cheap thrills