Inflation modelling Insights
... At the end of December 2007, inflation expectations for 2008 derived from inflation swaps were 2.4%, 2.4% and 2.6% for the UK, euro area and US respectively. The actual inflation outcomes in 2008 were 0.90%, 1.60% and 0.10%. To the extent that inflation derived from inflation swaps provides a pure ...
... At the end of December 2007, inflation expectations for 2008 derived from inflation swaps were 2.4%, 2.4% and 2.6% for the UK, euro area and US respectively. The actual inflation outcomes in 2008 were 0.90%, 1.60% and 0.10%. To the extent that inflation derived from inflation swaps provides a pure ...
The market for borrowing corporate bonds
... to facilitate a short sale of that bond. Aside from market making activities, investors short bonds for the same reason they short stocks: to bet that the security will decline in price. If short sellers focus on overvalued firms and can either short the stock or the bond, it would seem that they wou ...
... to facilitate a short sale of that bond. Aside from market making activities, investors short bonds for the same reason they short stocks: to bet that the security will decline in price. If short sellers focus on overvalued firms and can either short the stock or the bond, it would seem that they wou ...
Commodity Market Capital Flow and Asset Return Predictability ∗ Harrison Hong
... or less to maturity. These contracts are typically illiquid because futures traders do not want to take delivery of the underlying physical commodity. We therefore rule out investment strategies that require holding futures contracts to maturity. While Gorton and Rouwenhorst (2006) isolate the contr ...
... or less to maturity. These contracts are typically illiquid because futures traders do not want to take delivery of the underlying physical commodity. We therefore rule out investment strategies that require holding futures contracts to maturity. While Gorton and Rouwenhorst (2006) isolate the contr ...
What Difference Do Dividends Make?
... Sample and Methodology Using data from the Center for Research in Security Prices (CRSP) and Compustat, we examined the benefits of alternative dividend exposures across investment styles, with relative value delineated by using BE/ME and size measured as the market value of equity. We also combined ...
... Sample and Methodology Using data from the Center for Research in Security Prices (CRSP) and Compustat, we examined the benefits of alternative dividend exposures across investment styles, with relative value delineated by using BE/ME and size measured as the market value of equity. We also combined ...
analysis of structural problems in the us economy. why long term
... 2012. The model used consists of two curves the Beveridge curve and the job creation curve and the intersection point of these two curves is the point where the labor market is at equilibrium at every moment in time. This paper uses the same long term job creation curve estimated by Daly, Hobijn, Sa ...
... 2012. The model used consists of two curves the Beveridge curve and the job creation curve and the intersection point of these two curves is the point where the labor market is at equilibrium at every moment in time. This paper uses the same long term job creation curve estimated by Daly, Hobijn, Sa ...
First Pages - Yale Economics
... too little for retirement, why stock market bubbles occur, and how used-car markets behave when people’s information is limited. A significant recent example illustrating behavioral principles came when millions of people took out “subprime mortgages” to buy homes in the 2000s. They did not read or ...
... too little for retirement, why stock market bubbles occur, and how used-car markets behave when people’s information is limited. A significant recent example illustrating behavioral principles came when millions of people took out “subprime mortgages” to buy homes in the 2000s. They did not read or ...
Monopoly
... Natural Monopoly a situation in which ATC declines continually with increased output. So a single firm would be the lowest cost producer of the output demanded. ...
... Natural Monopoly a situation in which ATC declines continually with increased output. So a single firm would be the lowest cost producer of the output demanded. ...
Conference Report: JOLTS Symposium
... model, but these separation flows cannot explain the Beveridge curve gap. On the other hand, the current level of hires per vacancy (the same vacancy yield measure used by Davis, Faberman, and Haltiwanger) is about 28 percent less than predicted by the estimated model, and low levels of vacancy yiel ...
... model, but these separation flows cannot explain the Beveridge curve gap. On the other hand, the current level of hires per vacancy (the same vacancy yield measure used by Davis, Faberman, and Haltiwanger) is about 28 percent less than predicted by the estimated model, and low levels of vacancy yiel ...
Preferred Habitat and the Optimal Maturity Structure of Government Debt
... The government-bond market involves many distinct investor clienteles. For example, pension funds and insurance companies invest typically in long maturities as a way to hedge their longterm liabilities, while asset managers and banks’ treasury departments hold shorter maturities. Clienteles’ demand ...
... The government-bond market involves many distinct investor clienteles. For example, pension funds and insurance companies invest typically in long maturities as a way to hedge their longterm liabilities, while asset managers and banks’ treasury departments hold shorter maturities. Clienteles’ demand ...
applied statistics
... Let ‘E’ be the point of interaction of the demand curve and the supply curve. Then ‘P0’ is the equilibrium price and ‘Q0’ is the equilibrium quantity. Suppose the price were above the equilibrium price, say at ‘P1’. At this point producers would try to produce and sell more than what consumers are w ...
... Let ‘E’ be the point of interaction of the demand curve and the supply curve. Then ‘P0’ is the equilibrium price and ‘Q0’ is the equilibrium quantity. Suppose the price were above the equilibrium price, say at ‘P1’. At this point producers would try to produce and sell more than what consumers are w ...
2013 CFA Level 1 - Book 5 - Apache
... why its price may e. expl dicalculate ffer fromandparinterpret value. (page 29) and dollar duration of a bond. (page 30) the duration describrisk. e yiel(page d-curve32)risk and explain why duration does not account for yield g. curve ain34)the disadvantages of a callable or prepayable security to ...
... why its price may e. expl dicalculate ffer fromandparinterpret value. (page 29) and dollar duration of a bond. (page 30) the duration describrisk. e yiel(page d-curve32)risk and explain why duration does not account for yield g. curve ain34)the disadvantages of a callable or prepayable security to ...
Perfectly Competitive Markets and Monopoly
... In the short-run (SR), perfectly competitive …rms may make an economic pro…t or loss. The SR equilibrium simply requires …rms to produce their pro…t-maximizing quantity, which is described in detail in the preceding sections. However, long-run equilibrium in perfectly competitive markets requires …r ...
... In the short-run (SR), perfectly competitive …rms may make an economic pro…t or loss. The SR equilibrium simply requires …rms to produce their pro…t-maximizing quantity, which is described in detail in the preceding sections. However, long-run equilibrium in perfectly competitive markets requires …r ...
Expected Returns on Major Asset Classes
... RF Ilmanen_052012.book Page viii Thursday, May 31, 2012 11:49 AM ...
... RF Ilmanen_052012.book Page viii Thursday, May 31, 2012 11:49 AM ...
Expected Returns on Major Asset Classes
... Expected returns are arguably the most important input into investment decisions. Many investors determine their expectations for returns on investments in highly subjective ways, based on discretionary views. More objective predictions are anchored on historical experience, financial theories, and ...
... Expected returns are arguably the most important input into investment decisions. Many investors determine their expectations for returns on investments in highly subjective ways, based on discretionary views. More objective predictions are anchored on historical experience, financial theories, and ...
Global Fixed Income Portfolio
... The farther into the future a cash flow is received, the lower its present value will be. The higher the discount rate (yield to maturity) is, the lower the value of the bond will be, all other factors being equal. A bond’s price and YTM are inversely related. An increase in YTM decreases the price ...
... The farther into the future a cash flow is received, the lower its present value will be. The higher the discount rate (yield to maturity) is, the lower the value of the bond will be, all other factors being equal. A bond’s price and YTM are inversely related. An increase in YTM decreases the price ...
Heat Waves, Meteor Showers, and Trading Volume: An Analysis of
... Descriptive statistics for the five-year note=s intraday yield changes and trading volume are presented in Table 1. The preponderance of yield movements during New York trading hours is clearly demonstrated by the per hour, yield change variances: 0.3 in Tokyo, 0.6 in London, and 4.1 in New York. Th ...
... Descriptive statistics for the five-year note=s intraday yield changes and trading volume are presented in Table 1. The preponderance of yield movements during New York trading hours is clearly demonstrated by the per hour, yield change variances: 0.3 in Tokyo, 0.6 in London, and 4.1 in New York. Th ...
International Spillovers of Large
... as a result of LSAP2 fall within this range (about 4-5 bps). In section 5, we also conduct sensitivity analysis to analyze under which conditions the effects of LSAPs can be smaller or larger. 2 Long-term yields increased in the beginning of LSAP2 mainly because central banks in many countries hiked ...
... as a result of LSAP2 fall within this range (about 4-5 bps). In section 5, we also conduct sensitivity analysis to analyze under which conditions the effects of LSAPs can be smaller or larger. 2 Long-term yields increased in the beginning of LSAP2 mainly because central banks in many countries hiked ...
Affine Term Structure Modeling and Macroeconomic Risks at the
... lower bound binds, as the fear of de ation arises. A lot of these uctuations are oset by the short-term real term premium, producing a very low nominal risk premium component. In comparison, the long-term in ation risk premium is low and slowly uctuating between −30bps and 30bps, emphasizing econ ...
... lower bound binds, as the fear of de ation arises. A lot of these uctuations are oset by the short-term real term premium, producing a very low nominal risk premium component. In comparison, the long-term in ation risk premium is low and slowly uctuating between −30bps and 30bps, emphasizing econ ...
Yield curve
In finance, the yield curve is a curve showing several yields or interest rates across different contract lengths (2 month, 2 year, 20 year, etc...) for a similar debt contract. The curve shows the relation between the (level of) interest rate (or cost of borrowing) and the time to maturity, known as the ""term"", of the debt for a given borrower in a given currency. For example, the U.S. dollar interest rates paid on U.S. Treasury securities for various maturities are closely watched by many traders, and are commonly plotted on a graph such as the one on the right which is informally called ""the yield curve"". More formal mathematical descriptions of this relation are often called the term structure of interest rates.The shape of the yield curve indicates the cumulative priorities of all lenders relative to a particular borrower, (such as the US Treasury or the Treasury of Japan) or the priorities of a single lender relative to all possible borrowers. With other factors held equal, lenders will prefer to have funds at their disposal, rather than at the disposal of a third party. The interest rate is the ""price"" paid to convince them to lend. As the term of the loan increases, lenders demand an increase in the interest received. In addition, lenders may be concerned about future circumstances, e.g. a potential default (or rising rates of inflation), so they offer higher interest rates on long-term loans than they offer on shorter-term loans to compensate for the increased risk. Occasionally, when lenders are seeking long-term debt contracts more aggressively than short-term debt contracts, the yield curve ""inverts"", with interest rates (yields) being lower for the longer periods of repayment so that lenders can attract long-term borrowing.The yield of a debt instrument is the overall rate of return available on the investment. In general the percentage per year that can be earned is dependent on the length of time that the money is invested. For example, a bank may offer a ""savings rate"" higher than the normal checking account rate if the customer is prepared to leave money untouched for five years. Investing for a period of time t gives a yield Y(t).This function Y is called the yield curve, and it is often, but not always, an increasing function of t. Yield curves are used by fixed income analysts, who analyze bonds and related securities, to understand conditions in financial markets and to seek trading opportunities. Economists use the curves to understand economic conditions.The yield curve function Y is actually only known with certainty for a few specific maturity dates, while the other maturities are calculated by interpolation (see Construction of the full yield curve from market data below).