Fiscal policy driven bond risk premia

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 … Webturity. Long bonds’ expected excess returns load more heavily on our return-forecasting factor than do short bonds’ expected excess returns. If we wish to explain these facts with a factor risk premium (the same for all bonds) multiplied by a covariance of each bond with a shock, then we must find a shock that affects all bond returns in ...

EconPapers: Fiscal policy driven bond risk premia - Research …

WebNov 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 ... WebThis 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. photo of a tick on a dog https://danielanoir.com

Sovereign default risk premia, fiscal limits, and fiscal policy

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 … 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 … WebJan 25, 2024 · During periods of high debt, larger risk premia imply that fiscal policy is more uncertain, becomes counterproductive, and can lead to debt crises. Therefore, a high debt level makes fiscal policy riskier and less desirable. ... Fiscal policy driven bond risk premia. J Financ Econ, 138 (1) (2024), pp. 53-73. View PDF View article View in Scopus ... how does joint custody affect child support

Fiscal Policy Driven Bond Risk Premia - SSRN

Category:Government debt and risk premia - ResearchGate

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Fiscal policy driven bond risk premia

Fiscal Policy Driven Bond Risk Premia - SSRN

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 … WebMar 1, 2005 · Fiscal Policy Health Insurance Europe Media Teaching Asset Pricing BLOG. Folder: ABOUT. Back. About Me Short Bio Vita Disclosures Soaring CONTACT Bond Risk Premia. Research. Mar 1. Written By LeAnn Mae Racoma. With Monika Piazzesi. American Economic Review 95:1, 138-160 (2005). We forecast one year bond excess returns with …

Fiscal policy driven bond risk premia

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WebSep 16, 2014 · We develop a macroeconomic model in which the government does not guarantee to repay debt. We ask whether movements in the price of government bonds …

WebMay 1, 2024 · Fiscal policy matters for bond risk premia. Empirically, government spending level and uncertainty predict bond excess returns, as well as term structure … WebSep 28, 2024 · Abstract. We explore an important role of monetary-fiscal policy interactions in explaining three stylized facts: (1) a positive correlation of stock and bond returns in 1971-2001 and a negative one after 2001, (2) a negative correlation of consumption and inflation in 1971-2001 and a positive one after 2001, and (3) the coexistence of a positive …

Webbond risk premia. We investigate the empirical link between scal policy and the term structure of Trea-sury yields both in the time-series and in the cross-section. To study the … WebAug 5, 2024 · We show that accounting for government debt and distortionary taxes help the New Keynesian model match the level of the nominal term premium with a lower relative …

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...

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 ... photo of a tulipWebNov 5, 2024 · Given the countercyclical nature of fiscal policy, the government automatically responds to the decline in output by reducing taxes further, causing … how does joining the military workWebJan 1, 2024 · Fiscal policy matters for bond risk premia. Empirically, government spending level and uncertainty predict bond excess returns, as well as term structure level and slope movements. how does joint credit workWebSep 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 photo of a vacoum boxWebAbstract:Fiscal policy matters for bond risk premia. Empirically, government spending level and uncertainty predict bond excess returns, as well as term structure level and … how does joint custody work in floridaWebFiscal policy matters for bond risk premia. Empirically, government spending level and uncertainty predict bond excess returns, as well as term structure level and slope … photo of a valentine heartWebFiscal policy driven bond risk premia Lorenzo Bretscher Alex Hsuy Andrea Tamoniz This draft: December 29, 2024 Abstract Fiscal policy matters for bond risk premia. Empirically, … photo of a stork