Long Run Risks in the Term Structure of Interest Rates
Author | : Taeyoung Doh |
Publisher | : |
Total Pages | : 44 |
Release | : 2013 |
ISBN-10 | : OCLC:1290235130 |
ISBN-13 | : |
Rating | : 4/5 (30 Downloads) |
Download or read book Long Run Risks in the Term Structure of Interest Rates written by Taeyoung Doh and published by . This book was released on 2013 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using Bayesian methods, this paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their timevarying volatility determine asset price variation. The analysis of the U.S. nominal term structure data from 1953 to 2006 shows that i) agents dislike high uncertainty and demand compensation for volatility risks, ii) the time variation of the term premium is driven by the compensation for fluctuating inflation volatility, and iii) estimates of risk factors are broadly consistent with survey data evidence.