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  1. Equity premium predictability over the business cycle
    Autor*in: Mönch, Emanuel; Stein, Tobias
    Erschienen: [2021]
    Verlag:  Deutsche Bundesbank, Frankfurt am Main

    The equity premium follows a pronounced v-shape pattern around the beginning of recessions. It sharply drops into negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are preceded by an... mehr

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    Standort:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 12
    Fernleihe:
    keine Fernleihe

     

    The equity premium follows a pronounced v-shape pattern around the beginning of recessions. It sharply drops into negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are preceded by an inverted yield curve. Thus probit models using the term spread as predictor time the beginning of recessions well. We show that such model-implied recession probabilities strongly improve equity premium prediction out-of-sample. We document a structural break in the mean of the term spread in 1982. When correcting for this break, the forecast performance further strengthens, outperforming other recently proposed benchmark predictors.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9783957298331
    Weitere Identifier:
    hdl: 10419/240197
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; no 2021, 25
    Schlagworte: Recession predictability; return predictability; business cycle; probit model; term spread
    Umfang: 1 Online-Ressource (circa 75 Seiten), Illustrationen
  2. Tests for jumps in yield spreads
    Autor*in: Winkelmann, Lars; Yao, Wenying
    Erschienen: [2021]
    Verlag:  Freie Universität Berlin, Berlin

    This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump.... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 79
    Fernleihe:
    keine Fernleihe

     

    This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential procedure in the context of an intersection union test in multiple testing and introduce a new bivariate jump test for pre-averaged intra-day returns. In an empirical application involving high-frequency data of U.S. government bonds, we contrast response patterns of term spreads and break-even in ation across monetary policy announcements, in ation, and employment news releases.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/246078
    Schriftenreihe: Array ; 2021, 15
    Schlagworte: High-frequency data; sequential testing; news announcements; term spread; break-even inflation
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  3. What drives long-term interest rates?
    evidence from the entire Swiss franc history 1852-2020
    Autor*in: Hauzenberger, Niko; Kaufmann, Daniel; Stuart, Rebecca; Tille, Cédric
    Erschienen: [2022]
    Verlag:  Université de Neuchâtel, Institute de Recherches Économiques, [Neuchâtel]

    We study domestic and international drivers of long-term interest rates using newly compiled financial market data for Switzerland starting in 1852. We use a time-varying parameter vector autoregressive model to estimate long-term trends in nominal... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 615
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    We study domestic and international drivers of long-term interest rates using newly compiled financial market data for Switzerland starting in 1852. We use a time-varying parameter vector autoregressive model to estimate long-term trends in nominal interest rates, exchange rate growth, and inflation. We then decompose the Swiss long-term interest rate trend into various drivers using an interest rate accounting framework. The decline in long-term interest rates since 1970 is mainly driven by a decline in the level of inflation. Comparing Switzerland with the rest of the world, we show that while Swiss real interest rates were higher during the 19th century, the pattern reversed after World War 2 with Swiss nominal and real rates becoming lower than foreign ones. However, this Swiss "low interest rate island" has disappeared in recent years. We document a connection between inflation risk and the Swiss term spread, as well between relative inflation risk and the difference between Swiss and foreign real interest rates.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/265181
    Schriftenreihe: IRENE working paper ; 22, 03
    Schlagworte: Natural rate of interest; exchange rate; inflation risk; term spread; uncovered interest parity; historical data
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  4. Why does the yield curve predict GDP growth?
    the role of banks
    Autor*in: Minoiu, Camelia; Schneider, Andrés; Wei, Min
    Erschienen: [2023]
    Verlag:  Federal Reserve Bank of Atlanta, Atlanta, GA

    We provide evidence on the effect of the slope of the yield curve on economic activity through bank lending. Using detailed data on banks' lending activities coupled with term premium shocks identified using high-frequency event study or instrumental... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 253
    Fernleihe:
    keine Fernleihe

     

    We provide evidence on the effect of the slope of the yield curve on economic activity through bank lending. Using detailed data on banks' lending activities coupled with term premium shocks identified using high-frequency event study or instrumental variables, we show that a steeper yield curve associated with higher term premiums (rather than higher expected short rates) boosts bank profits and the supply of bank loans. Intuitively, a higher term premium represents greater expected profits on maturity transformation, which is at the core of banks' business model, and therefore incentivizes bank lending. This effect is stronger for ex-ante more leveraged banks. We rationalize our findings in a portfolio model for banks.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/279469
    Schriftenreihe: Working paper series / Federal Reserve Bank of Atlanta ; 2023, 14 (September 2023)
    Schlagworte: predictive power of the yield curve; term spread; term premium; bank lending; bank probability; event study; instrumental variable
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  5. Tests for jumps in yield spreads
    Autor*in: Winkelmann, Lars; Yao, Wenying
    Erschienen: [2023]
    Verlag:  Berlin School of Economics, [Berlin]

    This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump.... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 840
    Fernleihe:
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    This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing inference only on a univariate jump test applied to the spread tends to overestimate the number of jumps in yield spreads and puts the coherence of test results at risk. We formalize the statistical approach in the context of an intersection union test in multiple testing. We document the relevance of coherent tests and their practicability via simulations and real data examples.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Discussion paper / Berlin School of Economics ; #0024 (September 2023)
    Schlagworte: High-frequency data; jumps; sequential testing; intersection union test; term spread; break-even inflation
    Umfang: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  6. Why does the yield curve predict GDP growth?
    the role of banks
    Autor*in: Minoiu, Camelia; Schneider, Andrés; Wei, Min
    Erschienen: July 10, 2023
    Verlag:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 412
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    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Auflage/Ausgabe: This draft: July 10, 2023
    Schriftenreihe: Finance and economics discussion series ; 2023, 049
    Schlagworte: predictive power of the yield curve; term spread; term premium; bank lending; bankprofitability; event study; instrumental variable
    Umfang: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  7. Term structure and real-time learning
    Autor*in: Aguilar, Pablo; Vázquez, Jesús
    Erschienen: 2018
    Verlag:  Banco de España, Madrid

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Hinweise zum Inhalt
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Documentos de trabajo / Banco de España, Eurosistema ; no. 1803
    Schlagworte: real-time adaptive learning; term spread; multi-period forecasting; short-versus long-sighted agents; SPF forecasts; medium-scale DSGE model
    Umfang: 1 Online-Ressource (circa 55 Seiten), Illustrationen